紅酒指數與股價、商品指數之關聯性研究

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Title:	紅酒指數與股價、商品指數之關聯性研究
Other Titles:	Investigating the relationship among wine index, stock indices, and commodity indices
Authors:	黃晧庭;Huang, Hao-Ting
Contributors:	淡江大學管理科學學系碩士班婁國仁;Lou, Kuo-Ren
Keywords:	紅酒指數;領先落後指標;波動性外溢效果;Wine index;Lead-lag relationship;Volatility spillover effect
Date:	2014
Issue Date:	2015-05-04 09:49:07 (UTC+8)
Abstract:	本研究為探討紅酒指數與國際股價指數和商品指數之間的關聯性，分別以紅酒指數與道瓊奢侈品指數、道瓊工業指數、英國富時指數、中國上證指數、倫敦黃金現貨價格、布蘭特原油價格以及全球商品指數作為研究對象，並獲致以下之實證結果，其一、道瓊奢侈品和道瓊工業指數會影響紅酒指數的變動，亦為上述二者金融指數變動時會影響紅酒指數的變動。其二、大部份的股價指數與商品指數的波動亦會影響紅酒指數的波動，此亦說明紅酒與波動會受致於股價指數與商品指數的波動。 This study is to investigate the relationship between Liv-ex Fine Wine index and several well-known indices including Dow Jones Luxury Index, Dow Jones Industrial Average, Financial Times Stock Exchange 100 Index, Shanghai Stock Exchange 50 Index, Brent crude price, London Fix price, and Thomson Reuters/ Core Commodity CRB Index. We then derive the following findings as shown below. First, we reveal that either Dow Jones Luxury Index or Dow Jones Industrial Average would Granger-cause Liv-ex Fine Wine index, implying that Liv-ex Fine Wine index would be affected by these stock indices. Second, we show that the volatilities of most of stock indices and commodity indices would affect the volatilities of Liv-ex Fine Wine index, which indicates the volatilities of Liv-ex Fine Wine index would be affected by these well-known indices as well.
Appears in Collections:	[Department of Management Sciences] Thesis

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