The Study of Dynamic Relationship among the Price of Energy Stock, Petroleum and Gold, between Taiwan and U.S. before and after the Financial Tsunami

• Main Authors: Cheng, Chienyu, 鄭捷予
• Other Authors: Chen, Meiling
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/25614273337867600101

碩士 === 大葉大學 === 國際企業管理學系碩士班 === 100 === This research investigated the dynamical relationship between energy price, crude oil prices and gold prices in Taiwan and the United States. The research analyze the sample dada by the methods: unit root test, cointegration test, Granger causality test, impulse response functions, and forecast error variance decomposition. The period of monthly data of the study is from November, 2006 to June, 2012. The results are as follows: (1) By the unit root test, we could find that each variable in Taiwan and the United States belong to the time series data integration level I (1), meeting the necessary conditions of cointegration test. (2) By cointegration testing variables in Taiwan and the United States in Johansen maximum likelihood estimation, the results showed that the cointegration vector exists between Taiwan, U.S. Energy stocks price and the price of crude oil, the price of gold. It means that a long-term stable equilibrium relationship among Taiwan, the United States energy stocks price, crude oil price, and gold price. (3) From the Granger causality test analysis the research found that when the crude oil prices, gold price change in Taiwan and the United States, the energy price change as well. (4) From the results of the forecast error variance decomposition, in addition to its own impact as the largest source of the impact of Taiwan and the US energy prices, the factors to the energy stocks are crude oil price, gold price in order. All above can be the references for general investors, fund mangers and institutional investors when making decisions.