黃金是否為避風港資產?-國際股市之實證分析

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賴怡靜(Yi-Jing Lai) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

黃金是否為避風港資產?-國際股市之實證分析
(Is Gold a Safe Haven?-Evidence from International Stock Markets)

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摘要(中)

本文研究期間為2000年至2020年，旨在探討當金融市場處於股價極端低落、市場不確定性高、以及危機期間等情況的時候，黃金分別對於澳洲、加拿大、法國、德國、義大利、日本、美國、英國，以及金磚五國的股市是否存在避險 (hedge) 關係以及安全避風港 (safe haven) 效果，並研究是否黃金報酬分別與已開發國家和開發中國家的股市報酬之間有不同的效果。本文採用STLFSI 2.0指數、VIX指數、與SKEW指數來衡量市場的不確定性。實證結果顯示黃金對於加拿大、以及金磚國家股市的避險和安全避風港的效果較弱。相較之下，在澳洲、法國、德國、義大利、日本、美國、英國這七個已開發國家中，黃金作為股市的避險以及安全避風港效果則普遍存在。此外，本文也發現在2010年歐洲主權公債危機以及2020年的COVID-19疫情爆發的期間，黃金對於各國股市皆不具有安全避風港效果。

摘要(英)

This thesis aims to investigate whether there is a hedge and a safe-haven effect between gold and the stock markets in Australia, Canada, France, Germany, Italy, Japan, the United States, the United Kingdom and the BRICS, when the markets are in conditions with extremely low stock prices, high market uncertainty, and during financial crises. This thesis also studies whether gold returns have different relationships with stock market returns in developed countries and in developing countries. The sample period of this study is from 2000 to 2020. Considering the STLFSI 2.0 index, VIX index, and SKEW index to measure market uncertainty, the empirical results show evidence of weak hedge and weak safe-haven effects in stock markets in Canada and the BRICS countries. By contrast, strong hedge and safe-haven effects existed in stock markets of seven developed countries, namely, Australia, France, Germany, Italy, Japan, the United States and the United Kingdom. Furthermore, the results also show that the safe-haven effects of gold does not exist during periods of the European sovereign debt crisis in 2010 and the COVID-19 in 2020.

關鍵字(中)

★ 黃金報酬
★ 股市報酬
★ 不確定性指標
★ 避險
★ 安全避風港

關鍵字(英)

★ Gold returns
★ Stock returns
★ Uncertainty index
★ Hedge
★ Safe haven

論文目次

中文摘要 i
英文摘要 ii
誌謝 iii
目錄 iv
表目錄 v
圖目錄 v
第壹章緒論 1
第貳章文獻回顧 3
第一節黃金的特性與黃金交易市場簡介 3
第二節安全避風港 (Safe Haven) 與黃金報酬 4
第三節市場不確定性與黃金報酬 5
第四節黃金在已開發國家、金磚國家的角色差異 7
第五節 COVID-19疫情與黃金報酬 8
第參章研究方法 10
第一節研究樣本期間與資料來源 10
第二節定義說明 11
第三節實證模型 14
第肆章實證結果 18
第一節敘述統計與相關性分析 18
第二節各國股市極端低落時，黃金對於股市的避險及安全避風港效果 19
第三節市場不確定性極端高時，黃金對於股市的避險及安全避風港效果 21
第四節在危機期間，黃金對於各國股市的避險及安全避風港效果 24
第伍章結論 25
參考文獻 26

表目錄
表1變數資料 30
表2 敘述統計 31
表2-1敘述統計-各國股市報酬、黃金報酬 31
表2-2 敘述統計-不確定性指標 32
表3相關係數 33
表3-1相關係數-各國股市報酬與黃金報酬 33
表3-2 相關係數-不確定性指標 33
表4各國股市極端低落時，黃金作為股市的避險、避風港效果 34
表5以不確定性指標衡量市場波動時，黃金作為股市的避險、避風港效果 37
表5- 1 STLFSI 2.0 37
表5- 2 VIX 40
表5- 3 SKEW 42
表6 在危機期間黃金作為股市的避險、避風港效果 44

圖目錄
圖1 英國倫敦黃金價格走勢圖 47
圖2 各國股價走勢圖 48
圖3 不確定性指標走勢圖 49

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指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2021-6-22

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