The Relationship Research between Gold ,Crude Oil and US Dollar Index Markets

• Main Authors: Wen-Bin Lee, 李文斌
• Other Authors: Ming-Chi Lee
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/56035903489478659035

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 99 === This paper explores the correlation and the lead-lag relationship between the spot prices of London gold, West Texas crude oil and USD index since 2006 by using bi-variable GARCH(1,1) model. The sample period is from January 1, 2006 to December 31, 2010. From the empirical results, we can find that, firstly, via the co-integration analysis, the co-integration relationship significantly exists between the crude oil and USD index while the others two groups (i.e. crude oil and gold; USD index and gold) don’t exist; Secondly, the gold, crude oil and USD index markets are all in efficiency, this indicates that we can not presume the future prices of the abovementioned three assets by their past information; Finally, obviously, the relationships between gold, crude oil and USD index seem to change in opposite sense under some financial impulse such as Asia financial crisis in 1997 and financial tsunami in 2008.