The Interactive Relationship Among Gold,US Dollar And S&P500

• Main Authors: Ho, Hsincheng, 何信城
• Other Authors: Horng, Yuhsheng
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/80024778234805287228

碩士 === 靜宜大學 === 財務金融學系 === 100 === In this research I use daily data of gold spot prices, gold future prices, U.S. dollars index and S&P500 index from January 3, 2005 to December 30, 2011 to examine the interaction among them. I also like to find out whether there is capital transfer among markets after the financial storm. The results show that four of these are variable data. Therefore, I use the variable remuneration rate to analyze avoiding unit-root. The results from the Granger Causality Test found that gold spot returns and gold futures returns significantly affect the U.S. dollar index returns; the gold spot returns significantly affect the S&P500 index returns. There are two-way feedback effect between S&P500 index and U.S. dollar index, S&P500 index and gold futures, gold spot and gold futures. Additionally, observing the backwards of variable itself and its impact of other variable, I found that the gold spot returns with U.S. dollars and S&P500 index returns showing significant negative correlation. The results show that capitals look like transferring among the markets. Moreover, the results from Impulse Response Analysis show that the gold spot is significantly impacted when the gold future was under attack. Others variable have significant impact when they were under attack. However, the results of Forecast Error Variance Decomposition explain that when variation appeared, expect the gold spot represents the greatest explanation power to the gold future, the other variables all show having the greatest explanation power by itself. Finally, this research show that capitals transfer among the markets. It could be that investors felt panic on the market and no longer trust the U.S. stock market and U.S. dollar exchange rate market after the financial storm. Hence, they shift their investment to the gold spot market which they believe may be more stable and can hedge with more efficiency.