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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31462

    Title: 黃金現貨與黃金ETF相關性之研究
    Other Titles: The relationship between gold Spot and gold ETF markets
    Authors: 沈子鈞;Shen, Tzu-chun
    Contributors: 淡江大學財務金融學系碩士在職專班
    李命志;Lee, Ming-chih
    Keywords: EGARCH;共整合;共移性;波動外溢;EGARCH;Cointegration;co-movement;spillovers
    Date: 2009
    Issue Date: 2010-01-11 00:45:24 (UTC+8)
    Abstract: ETF為近年來市場流行的金融商品,是種可以在證交所公開市場買賣的投資標的,其交易方式與買賣股票相同,投資方式相對簡單。本論文之黃金ETF選取樣本以gShares收盤價為基礎,gShares為黃金ETF商品之一,於2004年11月18日在NYSE (New York Stock Exchange)掛牌交易。然而黃金ETF與黃金現貨兩者之間理應有一定程度的關連性,故本文利用EGARCH模型分析兩種金融資產間之關連性,並探討黃金現貨價格與gShares收盤價間之領先落後關係,最後分析兩者間之波動外溢效果及黃金現貨價格與gShares收盤價間之傳遞效果。實證結果整理於下:
    This thesis examined the relationship between gold spot and gold ETF index by using exponential GARCH model. Howerer, the gold ETF index and the gold spot price should be contemporaneously correlated. However, numerous studies found this paradoxical finding that the lead–lag relationship exists between gold spot price and gShares index. The empirical results indicated that: (1) Gold spot price and gShares index are highly cointegrated. (2) Gold spot price and gShare index have influences to each other. (3) Gold spot price represents a powerful position and leads the movement of gShares index. (4) For the volatility spillovers, the gold spot price has stronger volatility spillovers than gShare index.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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