臺灣博碩士論文加值系統

本研究應用對稱、非對稱動態條件相關模型 (簡稱DCC, ADCC) 與多變量AR(1)-GARCH模型研究2000年1月4日至2018年10月10日止，並將樣本期間分割為金融海嘯前期、後期，檢視黃金、原油、S&P500股市、美國債券市場之間波動外溢效果，藉此探討跨市場間之動態相關性以及報酬外溢與波動外溢效果傳遞機制之型態是否有所差異。由DCC、ADCC實證結果發現，除了黃金與S&P500股價指數之動態條件相關介於 -0.7至+0.6之間劇烈波動、黃金與美國債券動態條件相關多呈現負相關外，S&P500股市與債券市場、黃金與原油商品，或是原油與S&P500股市、債券市場之間動態條件相關則多呈現正相關。顯示黃金與原油之間不適合作為商品市場之避險投資組合，而投資S&P500股市或美國債券市場者可選擇黃金來規避風險。
透過多變量AR(1)-GARCH模型探討跨市場波動外溢效果發現，在全期樣本下，S&P500股價前期非預期衝擊與前期波動顯著影響黃金、原油、及美國債券等市場波動度，且S&P500股價波動度亦受到其他跨市場之前期非預期衝擊與前期波動顯著影響。而在金融海嘯後期，黃金前期非預期衝擊顯著影響其他跨市場波動度，且黃金波動度亦受到其他跨市場之前期非預期衝擊顯著影響。顯示在全期下跨市場波動外溢效果的傳遞機制主要是從S&P500股市傳遞至商品、債券市場，S&P500股票市場之波動將會影響黃金與原油等商品、債券市場的波動行為。金融海嘯後期，因各國採行量化寬鬆政策，黃金避險需求提高，黃金市場之過去衝擊將會影響其他跨市場波動度。另外，在金融海嘯前期，原油與黃金波動間存在雙向波動外溢效果，可能是2000年至2006年原物料走多頭行情，當原油價格波動變大時，將使黃金市場也跟著波動變大；然而當黃金波動變大時，卻誘使投資人將資金從原油市場抽離轉向黃金市場。

This study employs the DCC model, ADCC model and multivariate AR(1)-GARCH model to investigate the volatility spillovers between the gold, crude oil, S&P500 stock market and US bond market from January 4, 2000 to October 10, 2018. The sample period is partitioned into periods before the financial crisis and after the crisis. The study finds there is a difference in the dynamic correlations between the markets and volatility spillover effects before and after the financial crisis. The empirical results of DCC and ADCC show that the correlations between the gold and S&P500 index or the correlations between the gold and US bond market are negative. On the other hand, the dynamic conditional correlations between the gold and crude oil, or the crude oil and S&P500 stock market, or the crude oil and bond market are positively correlated. It shows that gold and crude oil do not act as a hedge against each other for commodity portfolios, while investors should add gold in their stocks and bonds portfolios to manage the risk.
Through multivariate AR(1)-GARCH model, under the full-term sample, the unanticipated shock and past volatility of S&P500 index significantly affects the gold, crude oil, and US bond markets. The volatility of S&P500 index is also significantly affected by the unanticipated shocks and past volatilities of the other markets. The volatility transmission takes place mainly from the S&P 500 to the gold, crude oil and bond markets in the whole period. After the financial crisis, the unanticipated shock of gold significantly affects the volatility of other markets, and the volatility of gold is also significantly affected by other unanticipated shocks. Due to the quantitative easing policies, the demand for gold increases, and the past shock of the gold market will affect the other markets. In addition, before the financial crisis, there was bidirectional volatility spillover effect between the crude oil and gold. It may be that the raw materials went into the long market from 2000 to 2006. The past oil volatility has heightening effects on gold market. In contrast, the past volatility of gold market has calming effects on oil market.

中文摘要 .Ⅰ
英文摘要 .Ⅱ
誌謝 .Ⅲ
目錄 .Ⅳ
圖目錄 .Ⅴ
表目錄 .Ⅵ
第一章 緒論 .1
第一節 研究背景和動機 .1
第二節 研究目的 .3
第三節 研究架構與流程 .3
第二章 變數市場概況與文獻回顧 .6
第一節 變數市場概況 .6
第二節 文獻回顧 .16
第三章 研究方法 .22
第一節 ARCH-GARCH模型 .22
第二節 DCC-GARCH模型、ADCC-GARCH模型 .24
第三節 多變量AR(1)-GARCH、AR(1)-AGARCH模型 .26
第四章 實證結果分析 .28
第一節 資料來源與樣本處理 .28
第二節 敘述統計分析 .30
第三節 單根檢定 .32
第四節 動態條件相關係數 .33
第五節ARCH-GARCH效果檢定、AR(1)-GARCH(1,1)模型 .39
第五章 結論與建議 .49
第一節 研究結論 .49
第二節 研究貢獻 .51
第三節 研究限制 .51
第四節 研究建議 .51
參考文獻 .52
中文參考文獻 .52
英文參考文獻 .53

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