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    Title: 金融危機下影響黃金現貨價格變動因素之探討
    Other Titles: A study on the factors of affecting gold prices under financial crisis
    Authors: 王秀香;Wang, Hsiu-Hsiang
    Contributors: 淡江大學財務金融學系碩士在職專班
    李沃牆
    Keywords: 恐慌指數;Logit模型;黃金;金融危機;Fear index;Logit model;Gold;Financial crisis
    Date: 2012
    Issue Date: 2013-04-13 10:51:41 (UTC+8)
    Abstract: 影響黃金價格的因素很多,本文檢定各種金融危機前後,影響黃金價格因素是否存在顯著差異,同時也應用Logit模型預測黃金漲跌方向。透過實證結果,獲得以下結論:全樣本的估計結果顯示,石油價格與黃金成正向關係,而美元指數與黃金呈反向變化;美國十年期公債殖利率卻呈反向關係,恐慌指標與黃金成正向變動關係,道瓊指數的變化與黃金呈反向關係。美元指數與黃金在不同樣本期間則呈正負相間的變化。而不同樣本期間結果顯示:透過多元迴歸分析可得出不同期間的變動關係,其中油價除了在次貸風暴期間為負號外,其他子樣本期間均與黃金呈正向關係。十年期公債殖利率則與黃金大多呈反向關係;恐慌指數在2009年3月之前與黃金大多呈反向關係,但之後卻與黃金呈正向關係變動。就二分類的Logit模型預測而言:應用二分類的Logit 模型來預測黃金現貨價格變動的方向,無論是全樣本或是各子樣本期間的預測均發現,其正確率均在50% 左右。這結果意涵影響黃金價格的因素很多,要有非常顯著的正確率是相當不容易的。
    There are many factors affect the price of gold. This examines if the factors affect gold price exited significantly different before and after various financial crisis. In the meantime applies Logit model to predict the direction of gold price increase and decrease. This thesis draws the following conclusions for full sample: 1) the crude oil price and gold price have positive relationship ,2) dollar index and the gold price is negatively related, 3) the 10 year bond yield and gold price is also negatively related, 4) the VIX index is positively related with gold price, 5) the DOW index is negatively related with gold price. As far as subsamples, through the mutivariable regression analysis this demonstrates the following conclusions: 1) except subprime period while the crude oil is negatively related with gold, the other subsample is positively related with gold price, 2) most of 10 years bond yield among subsample are negatively related with gold price, 3) most VIX index are negatively related with gold price among subsamples before March, 2009, after then, which are positively related with gold price, 4) through binary Logit model, this study predict the change direction of cash gold price, both full sample and subsample found about 50% accuracy rate, this result implies there are so many factors exited to affect gold price. It is very difficult to have significant accuracy rate.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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