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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73946

    Title: 黃金、原油與美元指數相關性之研究
    Other Titles: The relationship research between gold, crude oil and US dollar index markets
    Authors: 李文斌;Lee, Wen-Bin
    Contributors: 淡江大學財務金融學系碩士在職專班
    李命志;Lee, Ming-Chi
    Keywords: 黃金;原油;美元指數;自我相關條件異質變異模型;單根檢定;共整合;ADF;GARCH;Co-integration;co-movement.
    Date: 2011
    Issue Date: 2011-12-28 17:36:41 (UTC+8)
    Abstract: 本研究探討自2006年以來黃金現貨價格、原油價格及美元指數三者之相關性。樣本期間為2006年1月1日至2010年12月31日之倫敦黃金定盤價收盤價、紐約西德州原油收盤價及美元指數收盤價日資料。本文利用雙變量GARCH模型探討三種金融資產間之關連性,並探討黃金現貨、原油價格與美元指數收盤價之領先落後關係。實證結果整理於下:
    一、. 藉由共整合分析,除了原油與美元指數間存在有長期均衡關係外,黃金與美元指數、黃金與原油之間長期間不具有長期均衡關係。
    This paper explores the correlation and the lead-lag relationship between the spot prices of London gold, West Texas crude oil and USD index since 2006 by using bi-variable GARCH(1,1) model. The sample period is from January 1, 2006 to December 31, 2010. From the empirical results, we can find that, firstly, via the co-integration analysis, the co-integration relationship significantly exists between the crude oil and USD index while the others two groups (i.e. crude oil and gold; USD index and gold) don’t exist; Secondly, the gold, crude oil and USD index markets are all in efficiency, this indicates that we can not presume the future prices of the abovementioned three assets by their past information; Finally, obviously, the relationships between gold, crude oil and USD index seem to change in opposite sense under some financial impulse such as Asia financial crisis in 1997 and
    financial tsunami in 2008.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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