南華大學機構典藏系統:Item 987654321/16464
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    Please use this identifier to cite or link to this item: http://nhuir.nhu.edu.tw/handle/987654321/16464


    Title: 我國黃金期貨與國際黃金現貨價格趨勢之相關性
    Other Titles: Relationship between International Gold Spot Prices and Taiwanese Gold Futures Premium
    Authors: 李方智;黃宜侯;謝明峰
    Fan-Gjhy Li;Alex Yi-Hou Huang;Ming-Feng Hsieh
    Contributors: 興國管理學院財經法律學系;元智大學管理學院財務金融學群;台灣科技大學財務金融所
    Keywords: 黃金現貨價格;黃金期貨價格;向量誤差修正模型
    Gold spot price;Gold futures price;Vector Error Correction Model
    Date: 2011-12-01
    Issue Date: 2014-01-02 13:43:04 (UTC+8)
    Publisher: 南華大學企業管理學系
    Abstract: 本研究以黃金商品價格為研究標的，探討國際黃金現貨市場與台灣黃金期貨市場間的互動關係。本研究採用時間序列之單根檢定、共整合檢定、向量誤差修正模型與Granger因果關係檢定等研究方法進行實證分析。結果顯示國際黃金現貨及台灣黃金期貨價格皆為非定態，然現貨和期貨價格間皆具共整合的特性，即長期而言，黃金商品的平價關係處於均衡狀態。至於價格間短期之動態關係，本文發現台灣台幣計價黃金期貨之價格，與倫敦和紐約的黃金現貨價格趨勢一致，並領先香港黃金現貨的價格走勢，而台灣美元計價黃金期貨的價格趨勢，則明顯落後國際黃金現貨價格。本研究希望能提供個人與機構投資者，依其交易目的的不同，藉由國外現貨市場價格的觀察，掌握黃金期貨價格之趨勢，進一步較有效能的交易國內黃金期貨。
    This paper investigates the relationship between international gold spot prices and Taiwanese gold futures premium. Time series methods including unit root, cointegration, VECM, and Granger causality test are applied. This paper finds that series of international gold spot prices and Taiwanese gold futures premium are nonstationary. The two variables are cointegrated and thus have statistically significant long run relationship. In the short run interdependence, the Taiwanese gold futures premium which is traded by Taiwanese dollar interacts synchronically with spot prices of London and New York gold markets but leads the one in Hong Kong market. On the contrary, the Taiwanese gold futures premium which is traded by US dollar is generally led by international gold spot prices. This study seeks to provide valuable empirical findings of to investors, who can then extend their knowledge and have better use of the gold derivative product.
    Relation: 經營管理論叢
    7卷2期
    Appears in Collections:[The Journals of Nanhua University ] Operation management reviews
    [Department of Business Administration, Master/Ph.D Program in Management Sciences] Operation management reviews

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