金屬ETF與匯率避險或避風港關係之研究

A Study of the Hedge or Safe Haven Relationship between Metal ETFs and Exchange Rate

蘇瑄(Hsuan Su)

指導教授 ： 鄭婉秀

淡江大學/商管學院/財務金融學系碩士班/碩士(2017年)

https://doi.org/10.6846/TKU.2017.00534

摘要

本研究旨在檢視多種金屬ETF(黃金、白銀、白金、鈀、銅、鋁、鋅)與金屬綜合指數ETF對以美元為商品貨幣的多國匯率(加幣、歐元、英鎊、瑞士法郎、澳幣、人民幣、日圓、台幣)與美元指數是否可以作為避險或避風港的工具。依據Baur and McDermott(2010)所提出的實證模型，強(弱)避險定義為一個資產與另一個資產或投資組合大致呈現負相關(不相關)，強(弱)避風港定義為一個資產在市場極度蕭條時會與市場呈現負相關(不相關)。實證結果發現，貴金屬ETF、工業金屬ETF與綜合指數ETF仍為美元指數的避險及避風港工具，在其他匯率市場作為其他國家貨幣的避險及避風港工具效果較弱，換言之，當美元在其他國家貨幣市場貶值太多的時候，利用這些ETF來規避美元匯率波動的程度較弱。特別的是，本文發現綜合指數的實證結果與黃金ETF相似，但綜合指數ETF在避風港部分的表現表現得比純黃金的ETF更好，幾乎對於所有國家匯率都有顯著的避風港關係。

關鍵字

匯率 ； 金屬ETF ； 避險 ； 避風港

並列摘要

This study intends to investigate whether various metal (gold, silver, platinum, palladium, copper, aluminum and zinc) ETFs relative to exchange rate of numerous countries (CAD, EUR, GBP, CHF, AUD, CNY, JPY and TWD) and US Dollar Index can be a hedge or a safe haven. According to the regression model from Baur and McDermott(2010), a strong (weak) hedge is defined as an asset that is negatively correlated (uncorrelated) with another asset or portfolio on average. A strong (weak) safe haven is defined as an asset that is negatively correlated (uncorrelated) with another or portfolio in certain period only. The empirical result indicates that precious metal ETFs, industrial metal ETFs, and composite index ETFs relative to US exchange rate exist significantly hedge and safe haven relationships. However, they are weak tools to be hedges and safe havens of other countries in other market of rate. In other words, when US depreciate too much in other country markets, using these ETFs to avoid US rate changing is weak. Interestingly, this paper finds that the empirical result of composite index ETFs is similar to gold ETFs, but they have a better performances than gold ETFs in the portion of safe havens. They are almost significant in all countries.

並列關鍵字

Exchange rate ； Metal ETFs ； Hedge ； Safe Haven

參考文獻

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