A Study on the Relationship among Crude Oil price,Gold price,Exchange Rate and Stock Price

• Main Authors: I-tzu Liu, 劉怡孜
• Other Authors: Fen-ying Chen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/09436802132510471173

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 99 === 　　This purpose of the thesis is to examine the relationship between the oil price, gold price, exchange rate and stock price（Referring to 21 different industrial stock indexes in Taiwan, including Cement, Foods, Plastics etc.）.The period of samples was from January 1st, 2000 to September 30, 2010. The empirical data is divided into the period of low oil prices as well as the period of high oil prices. Application of ADF root test, Vector Auto regression model, Granger Causality test, Impulse Reponse and Forecast Error Variance Decomposition were used to examine the relationship between the changes of stock price and variables. 　　The empirical results indicate that during the period of low oil prices and high oil prices, various stock indices are mainly subjected to their own hit, with the positive short-term response. Oil price, gold price, and exchange rate have no significant impacts on them. During the periods of high and low oil prices, oil prices have positive affects while exchange rates have negative affects on some of the classification of stock indices. However, the effects from gold prices are determined by the prices of oil. When the oil price is low, price of gold has negative impacts on them but when price of oil is high, the price of gold has positive impacts on them. In addition, during the periods of the low and high oil prices, the changes in oil prices are leading the changes in the plastic, textile fiber, electrical cable type, chemical, glass ceramic, and plastic chemical stocks while the changes in prices of gold are leading the food stock, and the exchange rate is leading the auto stock. The empirical results also indicate that, regardless of price of oil, various stock prices have the highest self-explanatory power with the greatest impact. 　　In summary, oil prices, gold prices, and exchange rates have no significant impacts on the changes of stock prices. The changes in stock prices are mostly due to their own short term shocks. The correlation among price of oil, gold, exchange rates and stock price exists with the leading or backward causation. The impacts of oil prices on stock prices are significantly larger when oil prices are high than when they are low; the impacts of gold prices on the stock prices are significantly larger when oil prices are low than when they are high; and the impacts of exchange rates on stock prices are significantly larger when oil prices are high than when they are low.