國際黃金市場價格動態關聯性研究

Abstract

本研究主要探討國際黃金價格的因果關係及長短期的動態關聯性，以倫敦、紐約、日本、香港和台灣五個市場為分析對象，採用2007年至2010年黃金價格日資料，所使用的研究方法包括單根檢定、共整合檢定以及誤差修正模型，利用Toda and Yamamoto（1995）所提出的無因果關係（Granger non-causality）檢定，希望可以找出台灣黃金價格與國際黃金價格的關聯性，提供投資人做為參考。 實證結果顯示，倫敦和紐約兩個市場之間為雙向回饋關係，紐約黃金價格領先其他四個市場，為最具有影響力的黃金市場。倫敦、紐約和香港三個市場黃金價格長期具有共整合關係，短期價格存在共移性，黃金價格彼此會相互影響，台灣市場的投資人在從事黃金商品投資時，除了可參考前一日倫敦和紐約的黃金價格變化，還可以參考當日香港黃金市場的價格走勢，擬定和調整投資策略。

The purpose of this study is to examine the interrelationships among the gold prices including five gold markets, the London, New York, Japan, Hong Kong, and Taiwan. It employs the unit root test (ADF), the Johansen co-integration test and vector error correction model (VECM) approaches, to analyze the long-run equilibrium and dynamic integration relations by examining the daily closing gold prices from 2008 to 2010. This study hopes to find the linkages effects between Taiwan and other international gold markets, expecting to provide the insights for investors and researchers with useful reference for their strategies of investment. The results show that, London, New York, Japan, Hong Kong, and Taiwan five gold markets are co-integrated. Utilizing the Granger non-causality test proposed by Toda and Yamamoto (1995), we find that bidirectional causality existing between London and New York gold markets, unidirectional causality running from New York to other markets, New York has gained its leading role in affecting international gold markets. In the long-term, there exist the co-integration relationships among London, New York, and Hong Kong, the gold price co-movement in the short-term, the changes in gold price of these three markets may be appropriate to provide information, as a predictor for informing the gold price under decision making process.