| Summary: | 碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士在職專班 === 106 === This study analyzes how the U.S. stock prices, Taiwan stock prices, and the VIX volatility index affect the gold ETF. The sample data is daily data, covering from 2015 to 2017. The empirical results of this paper are summarized as follows: First, the empirical results of Johansen cointegration find that the U.S. stock prices and VIX index can negatively afftect the gold ETF, but the linkage of Taiwan stock prices and the gold ETF is positive. Second, the results of recursive coingration show that there are two cointegration vectors from March 2016 and June 2016 and after July 2017, showing that the degree of linkages between gold ETF and other vaiaables during the two periods. Third, in light of the coefficients of recursive cointegration, the coeffficient of the U.S. stock prices is significant negative only after November 2016, and the coefficient of the VIX index is umambigious but significant for most of the period, and the coefficient of Taiwan stock prices is insingificantly positive for most of the period. Fourth, based on the medium-term effect of error variance decomposition, the gold ETF is the most exogenous but the VIX index is the most endogenous, and the U.S. stock price can caust the highest impactson others.
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