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題名 英國脫歐前後黃金與其他資產報酬與波動的變化－GJR-GARCH模型實證
Volatilities of Gold and Other Assets Before and After Brexit－Evidence from the GJR-GARCH model
作者 蔡瑋真
Tsai, Wei-Chen
貢獻者 顏佑銘
蔡瑋真
Tsai, Wei-Chen
關鍵詞 黃金
波動性
波動的不對稱性
GJR-GARCH
日期 2020
上傳時間 3-Aug-2020 17:25:38 (UTC+8)
摘要 　　本文透過建構GJR－GARCH模型來了解英國脫歐前後，黃金與原油、匯率、債市、股市資產的報酬與波動變化，選用變數有原油、英鎊、歐元、英國十年期公債殖利率、美國十年期公債殖利率、FTSE 100指數以及S&P 500指數。研究過程利用單根檢定、Q平方檢定等方法建構適當之時間序列模型，並配合Baur（2012）所述黃金具有反的波動不對稱性，建構含波動槓桿項之GJR－GARCH模型。實證結果發現英國脫歐前後黃金與自身前期報酬及波動普遍無顯著相關性，也並非長期確實存在反的波動不對稱性，僅於英國脫歐後發現受黃金前期波動影響存在反的波動不對稱效果。黃金與其他資產在英國脫歐前基本不存在相關性，而英國脫歐後，黃金與英鎊報酬率存在負向相關，同時美國十年期公債殖利率對黃金具有波動外溢效果。
In this paper, we study the changes in returns and volatility between gold and crude oil, exchange rates, bond markets, and stock market assets before and after Brexit through the construction of the GJR-GARCH model. The selected variables are crude oil, pounds, euros, the British 10-year bond yield, the U.S. 10-year bond yield, FTSE 100 index and S&P 500 index. The research process used the unit-root test, Q square test and other methods to construct an appropriate time series model. Cooperated with Baur (2012) which presented gold has inverse volatility asymmetry, we use GJR-GARCH model with volatility leverage. The empirical results show that there is generally no significant correlation between gold and its own previous returns and volatility before and after Brexit. It is not that there is indeed a long-term inverse volatility asymmetry, only after Brexit has found that inverse volatility asymmetry existed. There is basically no correlation between gold and other assets before Brexit, while after Brexit gold and British pound returns are negatively correlated. At the same time, the U.S. 10-year bond yield had a volatility spillover effect on gold.
參考文獻 Baur, D. G. (2012). Asymmetric volatility in the gold market. The Journal of Alternative Investments, 14(4), 26-38.
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. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898.
Baur, D. G., & McDermott, T. K. (2016). Why is gold a safe haven?. Journal of Behavioral and Experimental Finance, 10, 63-71.
Bhunia, A. (2013). Cointegration and causal relationship among crude price, domestic gold price and financial variables: an evidence of BSE and NSE. Journal of contemporary issues in business research, 2(1), 1-10.
Black, F. (1976). The pricing of commodity contracts. Journal of financial economics, 3(1-2), 167-179.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278.
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.
Corti, C. W., & Holliday, R. J. (2005). Increasing gold demand: new industrial applications. Applied Earth Science, 114(2), 115-121.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
Ewing, B. T., & Malik, F. (2013). Volatility transmission between gold and oil futures under structural breaks. International Review of Economics & Finance, 25, 113-121.
Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105.
Ferderer, J. P. (1996). Oil price volatility and the macroeconomy. Journal of macroeconomics, 18(1), 1-26.
Fortune, J. N. (1987). The inflation rate of the price of gold, expected prices and interest rates. Journal of Macroeconomics, 9(1), 71-82.
Friedman, G. (2016). 3 Reasons Brits Voted For Brexit. Forbes, July, 5.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48(5), 1779-1801.
Granger, C. W., Newbold, P., & Econom, J. (1974). Spurious regressions in econometrics. Baltagi, Badi H. A Companion of Theoretical Econometrics, 557-61
Hunt, A., & Wheeler, B. (2017). Brexit: All you need to know about the UK leaving the EU. BBC News, 25.
Jaffe, J. F. (1989). Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal, 45(2), 53-59.
Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(5), 563-581.
Mandelbrot, B. (1963). New methods in statistical economics. Journal of political economy, 71(5), 421-440.
Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151-158.
Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. The Journal of Futures Markets (1986-1998), 10(2), 103.
Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling, 32, 15-22.
Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607.
Schwert, G. W. (1989). Why does stock market volatility change over time?. The journal of finance, 44(5), 1115-1153.
Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
Sjaastad, L. A., & Scacciavillani, F. (1996). The price of gold and the exchange rate. Journal of international money and finance, 15(6), 879-897.
Tschoegl, A. E. (1980). Efficiency in the gold market—a note. Journal of Banking & Finance, 4(4), 371-379.
Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
Währungsfonds, I. (2020). World Economic Outlook April 2020, The Great Lockdown. Washington, DC.
Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.
陳旭昇. 時間序列分析: 總體經濟與財務金融之應用. 臺灣東華, 2013.
描述 碩士
國立政治大學
國際經營與貿易學系
108351003
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108351003
資料類型 thesis
dc.contributor.advisor 顏佑銘zh_TW
dc.contributor.author (Authors) 蔡瑋真zh_TW
dc.contributor.author (Authors) Tsai, Wei-Chenen_US
dc.creator (作者) 蔡瑋真zh_TW
dc.creator (作者) Tsai, Wei-Chenen_US
dc.date (日期) 2020en_US
dc.date.accessioned 3-Aug-2020 17:25:38 (UTC+8)-
dc.date.available 3-Aug-2020 17:25:38 (UTC+8)-
dc.date.issued (上傳時間) 3-Aug-2020 17:25:38 (UTC+8)-
dc.identifier (Other Identifiers) G0108351003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130920-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 108351003zh_TW
dc.description.abstract (摘要) 　　本文透過建構GJR－GARCH模型來了解英國脫歐前後，黃金與原油、匯率、債市、股市資產的報酬與波動變化，選用變數有原油、英鎊、歐元、英國十年期公債殖利率、美國十年期公債殖利率、FTSE 100指數以及S&P 500指數。研究過程利用單根檢定、Q平方檢定等方法建構適當之時間序列模型，並配合Baur（2012）所述黃金具有反的波動不對稱性，建構含波動槓桿項之GJR－GARCH模型。實證結果發現英國脫歐前後黃金與自身前期報酬及波動普遍無顯著相關性，也並非長期確實存在反的波動不對稱性，僅於英國脫歐後發現受黃金前期波動影響存在反的波動不對稱效果。黃金與其他資產在英國脫歐前基本不存在相關性，而英國脫歐後，黃金與英鎊報酬率存在負向相關，同時美國十年期公債殖利率對黃金具有波動外溢效果。zh_TW
dc.description.abstract (摘要) In this paper, we study the changes in returns and volatility between gold and crude oil, exchange rates, bond markets, and stock market assets before and after Brexit through the construction of the GJR-GARCH model. The selected variables are crude oil, pounds, euros, the British 10-year bond yield, the U.S. 10-year bond yield, FTSE 100 index and S&P 500 index. The research process used the unit-root test, Q square test and other methods to construct an appropriate time series model. Cooperated with Baur (2012) which presented gold has inverse volatility asymmetry, we use GJR-GARCH model with volatility leverage. The empirical results show that there is generally no significant correlation between gold and its own previous returns and volatility before and after Brexit. It is not that there is indeed a long-term inverse volatility asymmetry, only after Brexit has found that inverse volatility asymmetry existed. There is basically no correlation between gold and other assets before Brexit, while after Brexit gold and British pound returns are negatively correlated. At the same time, the U.S. 10-year bond yield had a volatility spillover effect on gold.en_US
dc.description.tableofcontents 目　次 3
表　次 5
圖　次 6
第一章　緒論 7
第二章　文獻回顧 8
第一節　黃金 8
一、黃金與原油 9
二、黃金與匯率 10
三、黃金與利率 11
四、黃金與股市 12
五、其它影響黃金的因素 13
第二節　英國脫歐 13
第三章　資料說明與研究方法 15
第一節　資料來源及處理 15
一、資料來源 15
二、資料處理 16
第二節　研究方法 16
一、單根檢定 16
二、GARCH模型 18
三、GJR－GARCH模型 19
第三節　實證步驟 20
一、均數方程式（mean equation） 20
二、變異數異質性檢定（GARCH效果檢定） 21
三、變異數方程式（variance equation） 21
四、實證模型 21
第四章　實證結果與分析 23
第一節　基本統計量 23
一、樣本一 23
二、樣本二 24
第二節　時間序列恆定性檢定（單根檢定） 27
第三節　建構最適模型 28
一、均數方程式（mean equation） 28
二、變異數異質性檢定（GARCH效果檢定） 30
三、變異數方程式（variance equation） 31
四、英國脫歐開始前最適模型實證結果分析 32
五、英國脫歐開始後最適模型實證結果分析 34
第四節　實證結果比較 37
第五章　結論 38
參考資料 39		zh_TW
dc.format.extent 2152189 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108351003en_US
dc.subject (關鍵詞) 黃金zh_TW
dc.subject (關鍵詞) 波動性zh_TW
dc.subject (關鍵詞) 波動的不對稱性zh_TW
dc.subject (關鍵詞) GJR-GARCHen_US
dc.title (題名) 英國脫歐前後黃金與其他資產報酬與波動的變化－GJR-GARCH模型實證zh_TW
dc.title (題名) Volatilities of Gold and Other Assets Before and After Brexit－Evidence from the GJR-GARCH modelen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baur, D. G. (2012). Asymmetric volatility in the gold market. The Journal of Alternative Investments, 14(4), 26-38.
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. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898.
Baur, D. G., & McDermott, T. K. (2016). Why is gold a safe haven?. Journal of Behavioral and Experimental Finance, 10, 63-71.
Bhunia, A. (2013). Cointegration and causal relationship among crude price, domestic gold price and financial variables: an evidence of BSE and NSE. Journal of contemporary issues in business research, 2(1), 1-10.
Black, F. (1976). The pricing of commodity contracts. Journal of financial economics, 3(1-2), 167-179.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Cai, J., Cheung, Y. L., & Wong, M. C. (2001). What moves the gold market?. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(3), 257-278.
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.
Corti, C. W., & Holliday, R. J. (2005). Increasing gold demand: new industrial applications. Applied Earth Science, 114(2), 115-121.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
Ewing, B. T., & Malik, F. (2013). Volatility transmission between gold and oil futures under structural breaks. International Review of Economics & Finance, 25, 113-121.
Fama, E. F. (1965). The behavior of stock-market prices. The journal of Business, 38(1), 34-105.
Ferderer, J. P. (1996). Oil price volatility and the macroeconomy. Journal of macroeconomics, 18(1), 1-26.
Fortune, J. N. (1987). The inflation rate of the price of gold, expected prices and interest rates. Journal of Macroeconomics, 9(1), 71-82.
Friedman, G. (2016). 3 Reasons Brits Voted For Brexit. Forbes, July, 5.
Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The journal of finance, 48(5), 1779-1801.
Granger, C. W., Newbold, P., & Econom, J. (1974). Spurious regressions in econometrics. Baltagi, Badi H. A Companion of Theoretical Econometrics, 557-61
Hunt, A., & Wheeler, B. (2017). Brexit: All you need to know about the UK leaving the EU. BBC News, 25.
Jaffe, J. F. (1989). Gold and gold stocks as investments for institutional portfolios. Financial Analysts Journal, 45(2), 53-59.
Koutsoyiannis, A. (1983). A short-run pricing model for a speculative asset, tested with data from the gold bullion market. Applied Economics, 15(5), 563-581.
Mandelbrot, B. (1963). New methods in statistical economics. Journal of political economy, 71(5), 421-440.
Markowitz, H. (1952). The utility of wealth. Journal of political Economy, 60(2), 151-158.
Melvin, M., & Sultan, J. (1990). South African political unrest, oil prices, and the time varying risk premium in the gold futures market. The Journal of Futures Markets (1986-1998), 10(2), 103.
Mensi, W., Beljid, M., Boubaker, A., & Managi, S. (2013). Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold. Economic Modelling, 32, 15-22.
Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconmic time series: some evidence and implications. Journal of monetary economics, 10(2), 139-162.
Said, S. E., & Dickey, D. A. (1984). Testing for unit roots in autoregressive-moving average models of unknown order. Biometrika, 71(3), 599-607.
Schwert, G. W. (1989). Why does stock market volatility change over time?. The journal of finance, 44(5), 1115-1153.
Sjaastad, L. A. (2008). The price of gold and the exchange rates: Once again. Resources Policy, 33(2), 118-124.
Sjaastad, L. A., & Scacciavillani, F. (1996). The price of gold and the exchange rate. Journal of international money and finance, 15(6), 879-897.
Tschoegl, A. E. (1980). Efficiency in the gold market—a note. Journal of Banking & Finance, 4(4), 371-379.
Tully, E., & Lucey, B. M. (2007). A power GARCH examination of the gold market. Research in International Business and Finance, 21(2), 316-325.
Währungsfonds, I. (2020). World Economic Outlook April 2020, The Great Lockdown. Washington, DC.
Zhang, Y. J., & Wei, Y. M. (2010). The crude oil market and the gold market: Evidence for cointegration, causality and price discovery. Resources Policy, 35(3), 168-177.
陳旭昇. 時間序列分析: 總體經濟與財務金融之應用. 臺灣東華, 2013.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202000710en_US