The Analysis of Factors Affecting Gold Returns-Quantile Regression Analysis

• Main Authors: CHOU, YA-TING, 周亞婷
• Other Authors: HUANG, YU-CHUAN
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/9jwxtb

碩士 === 國立高雄第一科技大學 === 財務管理系碩士專班 === 105 === This study analyzes how Volatility Index (VIX), Dow Jones Index, WTI Crude Oil and US Dollar Index (USDX) affect gold returns. The sample period used for analysis is the daily data from 2006 to 2016 with a total of 11 years span. To examine the interactive relationship, the Multiple Regression and Quantile Regression (QR) proposed by Koenker and Bassett (1978) are performed. The empirical results show that both of Dow Jones Index returns and USDX returns are significantly and negatively related to gold returns, whereas oil price returns present a significantly positive influence on gold returns. Especially, VIX returns have no effect on gold returns during the gold returns are high and median level, but show a significantly negative impact on gold returns when gold returns are low level. To sum up, the relationship between VIX and gold returns is indefinite in the whole sample period. Therefore, it’s unsuitable to invest gold depending on VIX in the long run. However, in the period while gold returns are low level, once VIX rises over the normal interval, to forecast the relative low price of gold by using the relative high value of VIX is referable.