本研究透過西德州輕級原油、紐約黃金價格與美元兌南非蘭特匯率，分析對南非約翰尼斯堡綜合股價指數之影響，由2004年2月至2014年2月的月資料，共120筆資料。透過非線性方法之平滑移轉模型，以西德州輕級原油、紐約黃金價格與美元兌南非蘭特匯率作為解釋變數，並將黃金價格設為門檻變數，探討黃金價格在不同區間之下，原油與美元對南非股市報酬之影響。 研究結果顯示，在門檻值上下，黃金價格與南非股市約翰尼斯堡綜合股價指數為負相關，美元兌蘭特匯率則與南非股價指數呈現正相關，西德州輕級原油價格則是與南非股價指數無相關。 This study is to investigate the impact of West Texas Light sweet crude oil, New York gold price and the U.S. dollar against South African Rand exchange rate on Johannesburg, South Africa Stock Price Index, the monthly data from February 2004 to February 2014, a total of 120 documents. By using Smooth Transition Model of nonlinear method, I use West Texas Light sweet crude oil, New York gold price and the U.S. dollar against South African Rand exchange rate as Independent variables, and the gold price is set as a threshold variable to explore the impact of crude oil and the U.S. dollar on South African stock market returns under different intervals of gold price. The results show that, whether the gold price is greater or less than the threshold value, the gold price is negatively correlated with South African stock Price Index, while the U.S. dollar against the South African rand exchange rate is positively correlated with South African stock Price Index and there is no relevance between West Texas Light sweet crude oil price and South African stock Price Index .
