臺灣博碩士論文加值系統

究利用BEKK-GARCH模型分析石油、黃金與美元的報酬與波動之外溢效果，而審查的實證研究數據期間為2001年至2010年間。不同於傳統文獻的探討文章裡，通常只選用兩個標的物做外溢效果分析，而我們使用三種具有指標性的標的物去探討它們彼此傳遞的效益，分析它們的顯著性、相關性與連動效果。實證結果顯示，有實質獲利上的交易領先訊息標的為石油，呈現風險意識敏感度較大的領先訊息標的為黃金。最後，本文的貢獻將於實證表明，投資者可適時地選擇並判斷欲投資的期間內何為敏感的投資領先標的物，並能透過實證結果顯示的歷史變動去安排並制定最佳的投資組合與投資策略。

This paper investigates the BEKK-GARCH model, was used to analyze the return and volatility spillover effects from the Oil, Gold and US dollars. The empirical findings from examining our data for the period of 2001 to 2010 imply that from spillover analysis to the Oil, Gold and US dollars. Unlike traditional literature on the components that usually use only two to analyze, we use three indicators of the components has to look at the benefits that they had the correlation of each other; we integrate and present some evidence of validity presented. The results strongly support the oil is the highest intensity changes the presence of return spillover effects; the gold is the highest intensity changes the presence of volatility spillover effects from the BEKK-GARCH model and all variables based on significant. Therefore, the evidence indicates that these findings have important message was displayed for investors when making the best investment and selecting the sensitive component to develop the best portfolio strategy.

Chapter 1 Introduction 1
Chapter 2 Research Method 5
2.1 Modeling Market Spillovers by BEKK-GARCH Model 5
Chapter 3 Empirical Application 7
3.1 Data Description 7
3.2 Empirical Results 8
Chapter 4 Conclusion 15
References 16

Table
Table 1. 9

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