The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia
碩士 === 淡江大學 === 財務金融學系碩士班 === 106 === This study supplements previous research which usually focused on the spot gold market, spot crude oil market or gold and crude oil futures. In this paper, we investigate the Linear-Regression Model among CBOE Gold Volatility Index (GVZ), CBOE Crude Oil Volatili...
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ndltd-TW-106TKU053040432019-08-29T03:39:52Z http://ndltd.ncl.edu.tw/handle/v4k4gs The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia 亞洲股價指數與黃金、原油情緒指標相關性研究 Wei-Ting Kuo 郭葦庭 碩士 淡江大學 財務金融學系碩士班 106 This study supplements previous research which usually focused on the spot gold market, spot crude oil market or gold and crude oil futures. In this paper, we investigate the Linear-Regression Model among CBOE Gold Volatility Index (GVZ), CBOE Crude Oil Volatility Index (OVX) and Stock Markets in Asia. And we use two variables which is The CBOE Gold ETF Volatility Index and the CBOE Crude Oil ETF Volatility Index. Because the volatility index implied the investor sentiment index and the sentiment index used to reflect the market investment predictions. The experimental results show that during the sample average period, the GVZ, OVX both show negative effect to the stock markets. Furthermore divided the volatility into rising or falling. The result shows the impact of the falls of GVZ and OVX on the stock market is greater than when the volatility index rises in the developed markets;Also in emerging markets, the impact of the OVX on the stock market is greater than the GVZ, which is most obvious when the OVX falls. In addition, the relationship between the three is a one-way change, both of GVZ and OVX are ahead of the stock market, and the reverse is not. Chien-Liang Chiu 邱建良 2018 學位論文 ; thesis 62 zh-TW |
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碩士 === 淡江大學 === 財務金融學系碩士班 === 106 === This study supplements previous research which usually focused on the spot gold market, spot crude oil market or gold and crude oil futures. In this paper, we investigate the Linear-Regression Model among CBOE Gold Volatility Index (GVZ), CBOE Crude Oil Volatility Index (OVX) and Stock Markets in Asia. And we use two variables which is The CBOE Gold ETF Volatility Index and the CBOE Crude Oil ETF Volatility Index. Because the volatility index implied the investor sentiment index and the sentiment index used to reflect the market investment predictions.
The experimental results show that during the sample average period, the GVZ, OVX both show negative effect to the stock markets. Furthermore divided the volatility into rising or falling. The result shows the impact of the falls of GVZ and OVX on the stock market is greater than when the volatility index rises in the developed markets;Also in emerging markets, the impact of the OVX on the stock market is greater than the GVZ, which is most obvious when the OVX falls. In addition, the relationship between the three is a one-way change, both of GVZ and OVX are ahead of the stock market, and the reverse is not.
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author2 |
Chien-Liang Chiu |
author_facet |
Chien-Liang Chiu Wei-Ting Kuo 郭葦庭 |
author |
Wei-Ting Kuo 郭葦庭 |
spellingShingle |
Wei-Ting Kuo 郭葦庭 The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia |
author_sort |
Wei-Ting Kuo |
title |
The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia |
title_short |
The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia |
title_full |
The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia |
title_fullStr |
The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia |
title_full_unstemmed |
The Relationship among Gold ETF Volatility Index, Crude Oil ETF Volatility Index and Stock Markets in Asia |
title_sort |
relationship among gold etf volatility index, crude oil etf volatility index and stock markets in asia |
publishDate |
2018 |
url |
http://ndltd.ncl.edu.tw/handle/v4k4gs |
work_keys_str_mv |
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