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研究生:林青宜
研究生(外文):LIN,CHING-YI
論文名稱:經濟不確定性對股票與商品之動態關連性之影響
論文名稱(外文):The effect of economic uncertainty on Stock-commodity correlations
指導教授:簡美瑟簡美瑟引用關係
指導教授(外文):CHIEN,MEI-SE
口試委員:張嘉倩許義忠簡美瑟
口試委員(外文):CHANG,CHIA-CHIENHSU,YI-CHUNGCHIEN,MEI-SE
口試日期:2021-06-04
學位類別:碩士
校院名稱:國立高雄科技大學
系所名稱:金融資訊系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2021
畢業學年度:109
語文別:中文
論文頁數:61
中文關鍵詞:動態條件相關係數門檻迴歸股價商品價格經濟不確定性全球流動性
外文關鍵詞:Dynamic conditional correlationThreshold regressionStock priceCommodity priceEconomic uncertaintyGlobal liquidity
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本文的研究目的在於探討不確定性與股票和商品之波動度的關聯性。本文以美國3種股票指數及17種商品做為研究對象,資料樣本期間為1999年1月至2020年4月,共計244筆月資料。研究步驟首先估算股價和商品價格的動態條件相關係數,是以Engle(2002)提出的DCC-GARCH模型來估計股價和商品價格的DCC值,接著再以線性及門檻最小平方法(OLS)模型來實證。本文的實證結果顯示,不論是以線性或是門檻之OLS模型,以標普500和道瓊二者與商品價格相關性來分析時,經濟不確定性之影響為正、金融不確定性之影響為負、全球流動性之影響為正。以納斯達克與商品價格相關性來分析時,金融不確定性較經濟不確定性顯著,且對各商品之影響較為正向影響。此外,以OLS估計分析不確定性和最適避險比率的關係之實證結果顯示其隱含避險的作用,且無論持有何種股票,在不確定性高的情況下皆會增加黃金之避險部位。
This paper explores the linkage between economic uncertainty and stock-commodity correlations by using the sample which covers three U.S. stock indices and seventeen commodity prices over the period 1999-2020. The dynamic conditional correlation (DCC) coefficients between stock return and commodity return is estimated by employing the DCC-GARCH model at first, and the OLS and threshold regression are executed to estimate how economic uncertainty affects these stock-commodity DCC coefficients. The key empirical results are as follows; Frist, the stock-commodity DCC coefficients based on S&P500 or DJI, macroeconomic uncertainty and global liquidity can cause positive effect on these DCC coefficients for both OLS and threshold regression, but financial uncertainty will cause negative impact. If the DCC coefficients are estimated by applying NASDAQ, comparing financial and macroeconomic uncertainty causing the effect on the DCC coefficients, the former can bring about significantly positive effect in more cases than the latter. Finally, based on the estimated results of the optimal hedge ratios, for all three U.S. stock indices, high economic uncertainty will increase the position of gold to hedge stock risks.
內容目錄

摘要 ..................................................................... I
致謝 .................................................................... III
致謝 .................................................................... IV
表目錄 ................................................................... V
第一章、緒論 ...............................................................1
第二章、文獻回顧 ...........................................................4
2.1 商品價格與股票價格相關性之相關文獻........................................4
2.2 不確定性衝擊對商品價格與股票價格影響之文獻回顧.............................6
第三章、研究方法............................................................10
3.1 DCC-GARCH模型 .........................................................10
3.2 最小平方法檢定..........................................................12
3.3 模型設定...............................................................13
第四章、實證結果 ...........................................................15
4.1 研究資料定義與敘述統計量 ................................................15
4.1.1 資料來源與定義........................................................15
4.1.1 敘述統計.............................................................16
4.2 股價報酬率及商品報酬率之動態條件相關性實證分析.............................17
4.3 OLS估計................................................................20
4.4 門檻迴歸估計............................................................29
4.4.1 以總體經濟不確定性(MU)為門檻之OLS迴歸估計...............................29
4.4.2 以金融不確定性(FU)為門檻之OLS迴歸估計..................................37
4.5 不確定性和最適比率的關係.................................................44
第五章、結論................................................................50
參考文獻...................................................................52
附錄.......................................................................56

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