COVID-19前後美元指數、黃金、石油對S&P500指數之外溢效應

Spillover Effect of the US Dollar Index, Gold, and Oil on the S&P500 Index Before and After COVID-19

林正倫(Cheng-Lun Lin)

指導教授 ： 李沃牆

淡江大學/商管學院/財務金融學系碩士班/碩士(2021年)

https://doi.org/10.6846/TKU.2021.00527

摘要

本研究旨在探討2020年初突發的黑天鵝事件-新冠肺炎疫情(COVID-19)前後對全球金融市場及主要商品的影響。並以美元指數、黃金、石油對S&P500指數的外溢效應做為研究對象。
本文利用2019年9月1日至2020年10月31日間在美國期貨交易所發行之S&P500期貨、WTI原油期貨、黃金期貨、美元指數期貨，透過將疫情前後時段作區分，並使用GARCH模型及VECM模型比較美元、石油、黃金等變數對股市變數在此種不確定且不正常的情況下是否有何連動性，並研究是否能有某種關係而使的投資人能提前發現，從而避免因變數的暴漲暴跌而導致巨額虧損的情況發生。
本文的實證結果顯示，在黑天鵝事件影響下，WTI原油會對S&P500造成助漲助跌的效果，並且黃金確實在股市大跌時可以做為資金的避風港，而美元指數則對股市的影響不大，但基本上也是對於股市呈現反向連動的關係。因此投資人可在資產配置時，藉由以上變數的關係決定自己的進出場方向。

關鍵字

S&P500 ； 黃金 ； WTI原油 ； 美元指數 ； 外溢效應

並列摘要

This study aims to explore the impact of the black swan incident in early 2020-the new crown pneumonia epidemic (COVID-19) on the global financial market and major commodities. And take the spillover effects of the US dollar index, gold, and oil on the S&P500 index as the research objects.
This article uses S&P500 futures, WTI crude oil futures, gold futures, and U.S. dollar index futures issued on the U.S. Futures Exchange from September 1, 2019 to October 31, 2020. By dividing the time period before and after the epidemic, the GARCH model and VECM are used. The model compares whether variables such as U.S. dollar, oil, gold, etc. have any relevance to stock market variables under such uncertain and abnormal circumstances, and studies whether there is a relationship that enables investors to find out in advance, so as to avoid dependent variables The sudden rise and fall of the country led to huge losses.
The empirical results of this article show that under the influence of the black swan event, WTI crude oil will have the effect of helping the S&P500 rise and fall, and gold can indeed be used as a safe haven for funds when the stock market plummets, while the US dollar index has no effect on the stock market. Large, but basically showing a reverse linkage relationship with the stock market. Therefore, investors can decide their own entry and exit directions based on the relationship of the above variables during asset allocation.

並列關鍵字

S&P500 ； Gold ； West Texas Intermediate ； US Dollar Index ； Spillover Effect

參考文獻

參考文獻

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