| 摘要: | 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。;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. |
