黃金是否為避風港資產?-國際股市之實證分析

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：52

、訪客IP：18.218.63.176

姓名

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)

相關論文

★ 從巴塞爾協定三談商業銀行資金流動性穩健指標	★ 三大法人於台灣期貨市場擇時能力之探討
★ 奢侈稅課徵對於台灣房價之影響	★ 外匯曝險對台灣半導體產業之現金流量的影響
★ 金控法規範的利害關係人非授信交易之探討	★ 歐債危機是否會影響台灣股市?以台灣指數股票型基金為例
★ 寬鬆貨幣政策對於歐元匯率的影響	★ 影響境外人民幣和境內人民幣價差變化的因素
★ 台灣銀行業高階經理人薪酬與銀行特性之關連性分析	★ 承銷業務對證券分析師盈餘預測之影響
★ 經紀業務對分析師盈餘預測影響	★ 領導者或追隨者：被忽略公司分析師盈餘預測行為之研究
★ 個別投資人日內交易損益:臺灣期貨市場實證分析	★ 外匯市場私有訊息之程度對於匯率變動之影響
★ 外國機構投資人和外匯市場：以臺北外匯交易市場為例	★ 散戶與三大法人之處份效果研究:以台灣加權股價指數期貨為例

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

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

參考文獻

Ahmed, R. (2020). Global Flight-to-Safety Shocks. Available at SSRN 3711790.
Akhtaruzzaman, M., Boubaker, S., Lucey, B. M., & Sensoy, A. (2020). Is gold a hedge or safe haven asset during COVID–19 crisis? Available at SSRN 3621358.
AlAli, M. S. (2020). SAFE HAVEN ASSETS: ARE THEY STILL SAFE DURING COVID-19 PANDEMIC PERIOD? European Journal of Economic and Financial Research.
Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic, lockdowns and US equity markets: The case of COVID-19 pandemic. Finance Research Letters, 38, 101701.
Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market reaction to COVID-19. The Review of Asset Pricing Studies, 10(4), 742-758.
Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020). Covid-induced economic uncertainty (No. w26983). National Bureau of Economic Research
Batten, J. A., Ciner, C., & Lucey, B. M. (2014). On the economic determinants of the gold–inflation relation. Resources Policy, 41, 101-108.
Baur, D. G., Beckmann, J., & Czudaj, R. L. (2020). The Relative Valuation of Gold. Macroeconomic Dynamics, 24(6), 1346-1391.
Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229.
Baur, D. G., & McDermott, T. K. (2012). Safe haven assets and investor behaviour under uncertainty. Institute for International Integration Studies.
Baur, D. G., McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898.
Beber, A., Brandt, M. W., & Kavajecz, K. A. (2009). Flight-to-quality or flight-to-liquidity? Evidence from the euro-area bond market. The Review of Financial Studies, 22(3), 925-957.
Bekiros, S., Boubaker, S., Nguyen, D. K., & Uddin, G. S. (2017). Black swan events and safe havens: The role of gold in globally integrated emerging markets. Journal of International Money and Finance, 73, 317-334.
Bilgin, M. H., Gozgor, G., Lau, C. K. M., & Sheng, X. (2018). The effects of uncertainty measures on the price of gold. International Review of Financial Analysis, 58, 1-7.
Chang, Y.-T., Gau, Y.-F., Hsu, C.-C. (2017). Liquidity commonality in foreign exchange markets during the global financial crisis and the sovereign debt crisis: Effects of macroeconomic and quantitative easing announcements. The North American Journal of Economics and Finance, 42, 172-192.
Choudhry, T., Hassan, S. S., & Shabi, S. (2015). Relationship between gold and stock markets during the global financial crisis: Evidence from nonlinear causality tests. International Review of Financial Analysis, 41, 247-256.
Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
Conlon, T., Corbet, S., & McGee, R. J. (2020). Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic. Research in International Business & Finance, 54, 101248.
Coudert, V., & Raymond, H. (2011). Gold and financial assets: are there any safe havens in bear markets. Economics Bulletin, 31(2), 1613-1622.
Gürgün, G., & Ünalmış, İ. (2014). Is gold a safe haven against equity market investment in emerging and developing countries? Finance Research Letters, 11(4), 341-348.
Habib, M. M., & Stracca, L. (2012). Getting beyond carry trade: What makes a safe haven currency? Journal of International Economics, 87(1), 50-64.
Haroon, O., & Rizvi, S. A. R. (2020). COVID-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343.
Hillier, D., Draper, P., & Faff, R. (2006). Do precious metals shine? An investment perspective. Financial Analysts Journal, 62(2), 98-106.
Hood, M., & Malik, F. (2013). Is gold the best hedge and a safe haven under changing stock market volatility? . Review of Financial Economics, 22(2), 47-52.
Huang, D., & Kilic, M. (2019). Gold, platinum, and expected stock returns. Journal of Financial Economics, 132(3), 50-75.
Jubinski, D., & Lipton, A. F. (2013). VIX, gold, silver, and oil: how do commodities react to financial market volatility? Journal of Accounting and Finance, 13(1), 70-88.
Kaul, A., & Sapp, S. (2006). Y2K fears and safe haven trading of the US dollar. Journal of International Money and Finance, 25(5), 760-779.
Kliesen, K. L., & Smith, D. C. (2010). Measuring financial market stress. Economic Synopses, Federal Reserve Bank of St. Louis.
Mensi, W., Hammoudeh, S., Reboredo, J. C., & Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review, 19, 1-17.
Mensi, W., Hkiri, B., Al-Yahyaee, K. H., & Kang, S. H. (2018). Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach. International Review of Economics & Finance, 54, 74-102.
Ongena, S., Popov, A., & Van Horen, N. (2019). The invisible hand of the government: Moral suasion during the European sovereign debt crisis. American Economic Journal: Macroeconomics, 11(4), 346-379.
Sarwar, G. (2012). Is VIX an investor fear gauge in BRIC equity markets?. Journal of Multinational Financial Management, 22(3), 55-65.
Tversky, A., & Kahneman, D. (1991). Loss aversion in riskless choice: A reference-dependent model. The quarterly journal of economics, 106(4), 1039-1061.

指導教授

高櫻芬(Yin-Feng Gau)

審核日期

2021-6-22

推文