| Summary: | 碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 104 === This study investigated the correlation between commodities, the US dollar, and stock prices. Commodities are represented by the Commodity Research Bureau (CRB) Index, and West Texas Intermediate; the US dollar is represented by the US Dollar Index (USDX), and stock prices are represented by seven countries, namely, the United States, Japan, Germany, China, Taiwan, India, and Australia; among them, the United States, Japan, Germany, and Australia are regarded as developed market economies; while China, Taiwan, and India are regarded as emerging markets. The time period for this study is from 2006 to 2015. This study use the time-series method to investigate the correlations between variables through the unit root test, the co-integration test, the vector autoregression (VAR) model, the vector error correction model (VECM), the Granger causality test, and the impulse-response function (IRF).
Empirical Results
1.There existed a co-integration relationship among four sets of variables, viz., the CRB Index and China's Shanghai Stock Exchange A Share Index, the CRB Index and the Taiwan Stock Exchange Capitalization Weighted Stock Index, West Texas Intermediate and the US Dollar index, and West Texas Intermediate and China's Shanghai Stock Exchange A Share Index.
2.The stock markets of developed countries are more efficient and so are less easily subject to the influence of commodity prices, or can take the lead in the reaction to commodity prices. In the VAR model estimation, among the developed markets, only the United States Dow Jones Industrial Average was influenced by the CRB index in the first two quarters. West Texas Intermediate did not lead any developed markets in the changes in stock prices; however, the stock prices of Germany and Australia led West Texas Intermediate. The Granger causality test also shows that the antecedents of the Dow Jones Industrial Average were the CRB index, and Australia’s Sydney All Ordinaries Index was that of West Texas Intermediate.
3.The stock markets of the emerging countries are relatively more vulnerable to the effects of commodity prices than those developed ones; the stock markets of the emerging markets could be more sensitive, and their systems are still developing. Coupled with the fact that the economic development is faster in emerging markets, hence greater demands for raw materials, and their stock prices are more greatly influenced by commodity prices. In the VAR model estimation, there was a mutual lead-lag relationship between the CRB index, and China’s and Taiwan’s stock markets, all of which led the Indian stock market; and there was a mutual lead-lag relationship between the China Stock Market and the West Texas Intermediate. The Granger causality test also showed that there was a two-way causal relationship between the CRB index and China’s stock market; both of them were the antecedent of Taiwan’s and India’s stock markets, while West Texas Intermediate was that of China’s and Taiwan’s stock markets.
4.No regular outcomes are found in the stock markets and commodity prices of raw material-importing and -exporting countries. In the VAR model, we find that both the stock markets of Germany (a raw material-importing country), and Australia (a raw material-exporting country) are followed by West Texas Intermediate.
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