ETF為近年來市場流行的金融商品,是種可以在證交所公開市場買賣的投資標的,其交易方式與買賣股票相同,投資方式相對簡單。本論文之黃金ETF選取樣本以gShares收盤價為基礎,gShares為黃金ETF商品之一,於2004年11月18日在NYSE (New York Stock Exchange)掛牌交易。然而黃金ETF與黃金現貨兩者之間理應有一定程度的關連性,故本文利用EGARCH模型分析兩種金融資產間之關連性,並探討黃金現貨價格與gShares收盤價間之領先落後關係,最後分析兩者間之波動外溢效果及黃金現貨價格與gShares收盤價間之傳遞效果。實證結果整理於下: 1.藉由共整合分析,黃金現貨價格與gShares收盤價間存在有長期均衡關係。 2.以黃金現貨價格為被解釋變數時,gShares收盤價有領先現貨的現象,而若以gShares收盤價為被解釋變數時,現貨價格則是有領先gShares收盤價的現象,顯示現貨價格與gShares收盤價具有雙向影響的關係。 3.當黃金現貨與gShares偏離均衡關係時,gShares收盤價回到均衡時需要調整幅度較黃金現貨價格調整幅度為大,顯示對黃金現貨價格具有價格領先的地位。 4.黃金現貨價格與gShares收盤價都有波動群聚的現象。在波動外溢效果方面,黃金現貨價格對gShares收盤價有較大的波動外溢效果。
This thesis examined the relationship between gold spot and gold ETF index by using exponential GARCH model. Howerer, the gold ETF index and the gold spot price should be contemporaneously correlated. However, numerous studies found this paradoxical finding that the lead–lag relationship exists between gold spot price and gShares index. The empirical results indicated that: (1) Gold spot price and gShares index are highly cointegrated. (2) Gold spot price and gShare index have influences to each other. (3) Gold spot price represents a powerful position and leads the movement of gShares index. (4) For the volatility spillovers, the gold spot price has stronger volatility spillovers than gShare index.