金融機構在給予其重要客戶市場投資研究報告中,常出現許多關鍵經濟因子,金價,股價,滙率,利率…等因素,VIX波動指數亦常出現在其中;財富管理部門中需要對這些經濟因數做綜合分析以提供理財需求客戶與投資人做為投資判斷決策之依據,同時也提供投資人對市場後勢看法的一個重要參考;本研究主要探討VIX指數、S&P500指數與黃金價格等變數之間的關聯性,資料期間自2004年1月5日至2014年7月16日以日資料為研究樣本,利用向量自我迴歸(VAR)模型、單根檢定、Granger因果關係檢定、衝擊反應函數檢定與預測誤差變異數分解等統計方法來探討三變數之間的關聯性。實證結果結論如下: 一、Granger因果關係檢定單存純探究因果關係,黃金價格與S&P500指數是會有相互影響的效果,黃金價格與VIX指數相同產生相互影響的效果。 二、在衝擊反應分析檢定中,VIX指數、S&P500指數與黃金價格單一變數均會受到其他二變數不同落後期數的影響,顯示彼此具有關聯性。 三、在預測誤差變異數分解探討中,S&P500指數受自身歷史資料影響程度最明顯;VIX指數受S&P500指數影響的程度高過於受自身變數影響的程度;黃金價格受自身變數影響的程度最高。
Financial institutions, especially in wealth management department, usually provide many important investment reports for customers. Among many key economic factors, VIX volatility index is frequently mentioned. This study focuses on the cause-effect interrelationships among the VIX index, S&P500 index and gold price. Daily data from Jan. 5, 2004 to Jul. 16, 2014 were collected. By using unit root test, Granger causality test, vector autoregressive model (VAR), impulse response function (IRF), and forecast error variance decomposition (FEVD) of statistical analyses, the empirical results are summarized as follows: 1.Granger causality tests show that mutual causal relationships exist among the gold price, S&P500 and VIX indexes. 2.In IRF analysis, VIX index, S&P500 index and gold price are affected by the other two variables, indicating the three variables are interrelated. 3.In FEVD analysis, in the longer terms, S&P500 index are affected mainly by itself; VIX index is affected by both S&P500 and itself; gold price is mainly affected by itself.