An Empirical Study of Influential Factors on Gold Passbook Price

• Main Authors: Hsiang-Chen Chen, 陳湘蓁
• Other Authors: Shan-Non Chin
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/37ey67

碩士 === 國立中山大學 === 經濟學研究所 === 101 === The purpose of the study is to find out the relationships between USD to TWD exchange rate, volatility index (VIX), SPDR GOLD Shares and the gold passbook of Bank of Taiwan. Based on this, the study hopes to provide references for investors in their investment decisions. The study samples are chosen from Jan. 3, 2005 to Apr. 30, 2013. The study takes many time-series methods, including Unit Root Test, Johansen Cointegration Test, Vector Autoregressive Model, Granger Causality Test, and Impulse Response Analysis. After first-order difference for variables, ADF Unit Root Test and PP Unit Root Test shows stationary state. Johansen Cointegration Test shows no cointegration relationship between variables, so VAR model is used. Granger Causality Test finds that there is feedback relationship between SPDR GOLD Shares and the gold passbook of Bank of Taiwan, so does the relationship between VIX index and SPDR GOLD Shares. Through Impulse Response Analysis, the study finds that the gold passbook of Bank of Taiwan has obvious changes when SPDR GOLD Shares spontaneous interference occurs. According to this, investors can develop investment strategies in line with SPDR GOLD Shares changes.