| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 100 === This study analyzes how US Dollar Index (USDX), U.S. 10Y T-Bonds yield, the VIX Index, LIBOR 3M Rate, Ted spread, Dow Jones index, and WTI Crude Oil affect the return of gold. The sample period used for the analysis is from January 3, 2007 to December 30, 2011.The empirical results show that both of the USDX return and the Dow Jones index return are significantly and negatively related to gold return during the whole sample as well as subsample (Bull and Bear markets) periods, whereas the return of oil price present a significantly positive influence on gold return. Especially, the VIX index return has a significantly negative impact on gold return only in the Bear- Market period, but it shows an insignificant impact in others. In addition, the other three variables show an insignificant impact on gold return during the whole sample and Bull-Bear market periods.
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