| Summary: | 碩士 === 國立高雄第一科技大學 === 金融研究所 === 104 === This paper aims to explore Taiwan stock market being influenced by the variances and interrelation of international gold prices and oil prices from the period of February 2010 to January 2015. Applying the analysis from the data of Taiwan Weighted Stock Index, Brent crude prices, New York Gold spot price and exchange rates analytical results of US dollar exchanging Taiwan dollar, as well as vector autoregression model, this paper found that exchange rates and stock prices, gold prices, and oil prices are negatively correlated. The Granger Causality also indicate that exchange rates and gold prices exchange rate present to have a bidirectional feedback relationship. Through the forecast error variance decomposition, stock prices are found to have a better explanations power on the variances of gold prices. Regarding to impulse response analysis, the result shows that the oil price has least impulse on other variables, and that exchange rate has the highest level of impulse on other variables.
|
|---|
