A Research of the Interactive Relationship among the Volatility Index, Gold Price, Oil Price, and Taiwan Stock Market

• Main Authors: Shiou-wen Peng, 彭秀雯
• Other Authors: Emily, Ho
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/13939633809323817604

碩士 === 國立屏東商業技術學院 === 財務金融系(所) === 100 === This paper discusses the interactive relationship among the volatility index, oil price, gold price, and the Taiwan stock market (TAIEX, Electronics sub index, Finance sub index). To examine the interactive relationship, the cointegration test, Granger causality test, impulse response analysis, forecast error variance decomposition and DCC-GARCH model are performed. The research period is from Dec. 1, 2006 to Dec. 31, 2011. The empirical results are as follow: (1) There exists a long-run stable equilibrium relationship among oil price, volatility index, gold price and Finance sub index by Johansen cointegration test. (2) Therer is a bi-directional feedback causality relationship between volatility index and TAIEX. A bi-directional feedback causality relationship exists between volatility index and Electronics sub index. Therer is a unidirectional causality from volatility index to Finance sub index. Oil price leads TAIEX, Electronics sub index, Finance sub index and volatility index, but the independent relationship is presented in gold price. (3) The impulse response analysis shows that stock indices are obviously affected by volatility index and oil price. (4) For the forecast error variance decomposition analysis, the volatility index can explain the price behavior of stock index. (5)The DCC-GARCH shows that the volatility of dynamic correlation coefficient between the volatility index and stock index returns is the largest. This study reveals that the volatility index has the largest effect on Taiwan stock market. Next, the oil price also has effect on Taiwan stock market. Therefore, invstors must note the tendency of volatility index and oil price.