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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/73980

    Title: 黃金、股票及債券市場關聯性之研究 : 以美國為例
    Other Titles: The relationship among gold, stocks and bond markets : the case of US
    Authors: 李昶佐;Li, Chang-Zuo
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang
    Keywords: 多變量GARCH模型;黃金;避險;安全避風港;價值儲存;Multivariate GARCH Model;Gold;hedge;safe haven;store value
    Date: 2011
    Issue Date: 2011-12-28 17:43:35 (UTC+8)
    Abstract: 本文使用多變量GARCH模型分析黃金、股票及債券三者彼此之間的關係,亦即檢測黃金報酬率在全樣本期間的避險、金融危機期間的安全避風港與價值儲存功能。
    This paper applies a multivariate GARCH model to analyze the relationships among gold, stocks and bond markets; that is, it examines whether gold is a hedge during the whole sample period, a safe haven during the financial crisis period and the function to store value.
    The empirical results show that: firstly, during the whole sample period, gold is a good hedge against stock. In addition, bidirectional hedge effect occurs between the gold and bond markets. Gold can store value when oil returns result in impacts on the gold return. Secondly, during the financial crisis period, gold is not a safe haven against the stocks and bonds in most cases. When oil price rises, gold price also raises. This means that gold could store value. Thirdly, by observing the impulse responses of gold return, stock return and the change rate of bond yield, we find that most of the impacts decay to zero after three periods. Therefore, this paper documents that even if gold, stock and bond markets can be affected by other markets, the impacts are only short-term not long-term.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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