The relationship of oil and gold prices with all individual Taiwan Industrial Group Stock Indices

• Main Authors: Jin Ting Chen, 陳金廷
• Other Authors: Shih Ren Liao
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/66081978318153822296

碩士 === 樹德科技大學 === 金融保險研究所 === 94 === As the oil price and gold price keep rising to the record high level, both financial market and macro economy have been impacted. Because most of recent studies only focus on the relationship between oil price and the overall stock market indices, this research extends this topic to the relationship of oil and gold prices with all individual Taiwan Industrial Group Stock Indices. In order to precisely fit the spectacular characteristics of leptokurtic, volatility clustering, and volatility asymmetric reaction of stock returns, TGARCH is applied to explore their best time-series relationship. In addition, which Taiwan Industrial Group Stock Indices will be influenced by the oil and gold prices are pursued. The samples are collected from January 3rd, 1998 to December 30th, 2005. The empirical results indicate the following conclusions: 1. The Volatility Spillover Effects of oil price to gold price shows that the fluctuations of gold price will be effected by the wild fluctuations of oil price. 2. The fluctuation of oil price has positive correlation with the Electronic Industry Stock Index as well as the Rubber Stock Industry Index. 3. The Chemical Stock Industry Index, Cement Stock Industry Index, Automobile Stock Industry Index and Textiles Stock Industry Index have positive correlations with the fluctuations of gold price except for the Food Stock Industry Index.