臺灣博碩士論文加值系統

本研究主要驗證黃金市場是否符合價格壓力理論及回饋交易理論，並探討黃金ETF基金流量與黃金報酬之關聯。本文資料使用全球最大黃金ETF: SPDR Gold Shares的日資料及國際現貨金價：倫敦午盤定價。研究結果，由向量自我迴歸(VAR)模型顯示，前1天及前2天的黃金ETF基金流量對當天的黃金報酬為顯著正相關，前3至5天的黃金ETF基金流量對當天的黃金報酬為顯著負相關，表示當投資人買賣SPDR Gold Shares時，基金流量產生正相關的黃金報酬，但是随著時間經過，由基金流量改變所帶來的價格衝力(壓力)會減弱，黃金報酬會發生反轉現象，黃金市場支持價格壓力理論。另一方面，前1至3天的黃金報酬對當天的黃金ETF基金流量為顯著正相關，前1天的黃金報酬的係數最大，也就是說當前1-3天金價走高產生正的黃金報酬時，投資人會看好黃金市場，買入SPDR Gold Shares，反之亦然，尤其以前1天的黃金報酬對當天SPDR Gold Shares基金流量的影響程度最大，黃金市場支持回饋交易理論。另外，從Granger因果關係得知，黃金ETF基金流量與黃金報酬之間存在雙向因果關係，前期的黃金ETF基金流量Granger影響當期的黃金報酬，表示SPDR Gold Shares基金流量可作為投資人買賣黃金的參考因素之一，而前期的黃金報酬Granger影響當期的黃金ETF基金流量，表示一般大眾投資人確實運用黃金ETF做為進入黃金市場交易的投資工具。

The main purpose of this study is to explore whether the gold market support the Price Pressure hypotheses and the Feedback Trading hypotheses. This study also dissertates the relationship between gold ETF fund flows(FLOW) and gold market returns (RETURN). We use the daily data of SPDRR Gold Shares which is the biggest gold ETF of the world, and the London PM Fix to be the international gold price. The results from VAR model suggest that there existing positive relations from 1-2 days lagged FLOW to RETURN, and negative relations between 3-5 days lagged FLOW and RETURN. It means that if investors buy SPDR Gold Shares, FLOW will create a price pressure to arise RETURN. As time goes on, the price pressure will recede and RETURN will reverse. The results are compatible with the Price Pressure hypotheses. Furthermore, 1-3 days lagged RTEURN affect FLOW while they are having significant positive relations. The force of 1 day lagged RETURN to FLOW is stronger than the other days. It means that if the past 1-3 days performance of gold market returns is good, investors will buy SPDR Gold Shares. The conclusion is consonant with the Feedback Trading hypotheses. Moreover, the empirical evidence from Granger causality test indicates that there is a two-way feedback between FLOW and RETURN. Therefore, investors can rely on the past fund flows of SPDR Gold Shares to predict the performance of gold market returns. It also hints that common investors choose SPDRR Gold Shares to participate in the gold market.

目錄
圖目錄﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ iv
表目錄﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ iv

第一章 緒論
第一節　研究背景﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒1
第二節　研究動機與目的﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒5
第三節　研究架構與流程﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒6

第二章 黃金市場投資方式簡介
第一節 黃金市場的投資方式﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒8
第二節 黃金ETF簡介﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 10

第三章　價量相關理論與文獻回顧
第一節 價量相關理論﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 12
第二節 基金流量與市場報酬關聯性研究﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 13

第四章　研究假設與方法
第一節　研究假設﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 19
第二節 研究方法﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 20

第五章　實證結果分析
第一節 資料來源與變數定義﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 26
第二節 實證結果分析﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 27

第六章　結論與研究建議
第一節 結論﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 34
第二節 研究建議﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 35
參考文獻﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ ﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒﹒ 36

一、中文文獻
丁玉如(2003)，共同基金流量與股票報酬相關性之探討，朝陽科技大學財務金融學系碩士論文。
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菅瑞昌及林意真(2001)，「共同基金流量與股票市場報酬之研究」，中華管理評論，第4卷，第2期，頁13-24。
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楊凱婷(2002)，共同基金流量與證券市場報酬率關聯性之研究，東吳大學企業管理學系碩士論文。
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