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  • 學位論文

原油價格、黃金價格與股價指數相關性研究-以美國及香港為例

The Price Relationship among Oil, Gold, and Stock Indexes: Evidence from American and Hong Kong

指導教授 : 洪仁杰

摘要


本文主要研究目的在於,探討美國區域及香港區域油價、金價與股價指數間(西德州原油價格、紐約黃金現貨價格與美國道瓊工業指數及香港黃金現貨價格與香港恆生指數)是否存在一長期的整合關係以及兩區域各自彼此間領先、落後的連動關係。 本文採用時間序列方法來檢驗美國區域及香港區域油價、金價與股價指數之間的互動關係,得到以下實證結果: 1.在單根檢定中,無論是原油價格、黃金價格或美國道瓊、香港恆生的股價指數,均呈現隨機漫步的走勢。但經過一階的差分後,則成為恆定狀態。 2.經由Johansen共整合分析實證結果顯示美國紐約黃金價格、美國道瓊工業指數、西德州原油價格三者之間不存在長期均衡關係;香港黃金價格、香港恆生指數、西德州原油價格三者之間存在著長期均衡關係。原油價格、黃金價格及股價指數之間可因地域不同的因素而影響彼此間有不同的關係。 3.經由Granger因果關係檢定結果顯示香港恆生指數為香港黃金價格及西德州原油價格的領先指標。香港黃金價格與西德州原油價格兩者無顯著的因果關係,彼此無「領先-落後」關係。 4.經由衝擊反應結果顯示香港黃金價格、香港恆生指數及西德州原油價格均是一個具有資訊傳導效率性的市場;在面對衝擊來自於自身的反應程度均較為強烈,反應期間內的型態或正或負,均屬於反覆跳動型態。

並列摘要


The main purposes of this paper are to investigate the long run relationships among oil prices, gold prices and stock indexes in USA and Hong Kong and to investigate the lead-lag relationships among the variables. This paper employs several time series models to conduct empirical study. The results are as follows: 1. ADF tests show that all variables including oil prices, gold prices, Dow Jones Industrial Average (DJIA)and Hang-Seng Index(HSI)exhibit random walk process. All the time series become stationary after taking first difference on the original time series. 2. The results of Johansen test show that there does not exist long run relationship among New York gold price, DJIA, and West Texas Intermediate(WTI). However,there exhibits long run relationship among Hong Kong gold price, HSI and WTI. 3. The results of Granger causality show that HSI leads Hong Kong gold price and WTI. There is no Granger causality between Hong Kong gold price and WTI. 4. The results of impulse response show that Hong Kong gold price,HSI and WTI are information ally efficient. The impulse response exhibits repeated positive-negative jumps conversely.

參考文獻


Blose, L., and Shieh, J., 1995, “The Impact of Gold Price on The Value of Gold Mining Stock,”Review of Financial Economics, 4, 125 - 139.
Hammoudeh, S., and Li, H., 2005, “Oil Sensitivity and Systematic Risk in Oil-Sensitive Stock Indices,”Journal of Economics and Business, 57, 1-21.
Sadorsky, P., 1999, “Oil Prices Shocks and Stock Market Activity Energy Economics,”21, 5, 449-469.
Sadorsky, P., 2003, “The Macroeconomic Determinants of Technology Stock Price Volatility,”Review of Financial Economics, 12, 191-205.
一、中文

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