The purpose of this study was to investigate the relationship between gold and stock returns with evidence from BRIC countries during 2001-2010. The importance of this topic is caused by instability in the world economy and stock markets, and due to this instability, there is a growing interest in gold from investors and the current bull market of gold. Considering that gold is independent from most of the macroeconomic factors we believe that it therefore should be independent from or low correlated with stock, which makes this metal useful for portfolio diversification. Based on previous studies, we also believe that gold can be used to predict, to some degree, the stock market trend. The force behind such stable price growth of gold is sustained by demand from emerging countries such as BRICs. Moreover, there is lack of research on this topic from the perspective of different economic sectors. These facts determined the choice of countries along with their economic sectors. The research was designed in the frame of quantitative method. The types of relationship that were investigated are correlation and spillover effects. In order to examine these relationships we have utilized secondary data, which are gold prices and stock indices turned into returns. The Pearson’s correlation and diagonal BEKK GARCH were applied to test the correlation and spillover effects between returns of gold and stock, respectively. The results of the study showed that gold and stock returns are correlated, however to a low degree. Additionally, correlation varies across countries and their economic sectors over time, which may influence investors’ decision in choice of allocation of investments. The other findings showed the existence of mean spillover effects, both unidirectional and bidirectional, and volatility spillover effects between gold and stock returns. The principal conclusions were that gold is an efficient portfolio diversifier, which also plays a role of a hedge and a safe haven. Similarly, taking into account an existence of spillover effects, gold can be helpful in terms of stock prediction and vice versa. Further, another important finding was that not all of the economic sectors had mean spillover with gold, but in terms of volatility, every sector had a certain relationship with gold.

This dissertation investigates the volatility of the relationships between exchange rates and interest rates. The first part of the paper explores the transmission relationship between these two markets using a time-series model. Previous studies have assumed that covariance was constant in both markets. However, if the volatilities of the exchange rate and interest rate markets are correlated over time, the interaction and spillover effects between the two markets may be affected by time-varying covariance. Hence, this paper utilizes the BEKK-GARCH model developed by Engle and Kroner (1995) to capture the dynamic relationship between the exchange rates and interest rates. This study uses the returns data for G7 members¡¦ exchange rates and interest rates to test whether these markets exhibited volatilities spillover from 1978 to 2009. The results show bi-directional volatility spillovers in the markets of the UK, the Euro countries, and Canada, where the volatilities of the two markets were interrelated. The second part of the paper explores the relationship between exchange rates and interest rates using a jump diffusion model. Previous studies assumed that the dynamic processes of exchange rates and interest rates follow a diffusion process with a continuous time path, but an increasing number of empirical studies have shown that a continuous diffusion stochastic model does not capture the dynamic process of these variables. Thus, this paper investigates the discontinuous variables of exchange rates and interest rates and assumes that these variables follow a jump diffusion process. The UIRP model is employed to explore the relationship between both variables and to divide the systematic risk into systematic continuous risk and systematic jump risk. The returns data for G7 members¡¦ exchange rates and interest rates from 2005 to 2010 were analyzed to test whether the expected exchange rate is affected by jump components when the interest rate market experiences a jump. The results show that the jump diffusion model has more explanatory power than the pure diffusion model does, and, when the interest rate market experiences a jump risk, the systematic jump risk has a significant relationship with the expected exchange rates in some G7 countries.

In this thesis the GARCH models are applied to evaluate financial options and futures. In the first application, the GARCH models in parsimonious form are studied for pricing the S&P500 options. Unlike previous studies that focus on developed formulation, the results indicate that simplified models provide effective performance and it is the simple GARCH model that yields the least valuation error. To our consideration, examining model possessing simplification is of practical importance because model estimation becomes readily accessible through available econometric software, which circumvent programming barriers in implementing alternative one’s own pricing methods. The second application consider the component GARCH models for currency option pricing. The valuation results favour the component formulations particularly in the pricing of long term contracts. Volatility modelling results indicate that the return-volatility relationship is symmetric in the long run, but over the short term asymmetry also arises in the EURUSD and GBPUSD exchange rates. The third application evaluates canola futures in Canada in relation to spot market price. Results confirm the cointegrating relationship with threshold corresponding to transaction and adjustment cost. And it is the futures market that adjusts actively to price disparities but in the meantime there is volatility spillover from futures to the spot market. Overall, our empirical assessments indicate the importance of the time varying volatility and the improvements achieved in option pricing and futures evaluation. We believe the present study’s analysis provides useful suggestions and further guidance to practitioners and investors for the pricing and trading in the equity and foreign exchange markets, also to the market agents to better evaluate price uncertainty in order to guard against adverse price changes.

本研究用金融傳導的角度，從散裝海運產業切入，利用標普高盛商品指數、加權遠期運費協議指數、波羅的海運費指數、道瓊全球航運指數以及美元指數，以傳遞熵與BEKK-GARCH模型，探討2008年3月至2016年3月之散裝海運產業金融傳導因子，在多次金融危機中，散裝海運產業金融傳導因子的領先落後關係、短期報酬外溢效果與長期波動傳遞效果，以及對航運類股之影響。 本研究成果可從投資策略與經濟意涵兩方面呈現，在投資策略上，根據實證結果，在金融危機期間，資訊從道瓊全球航運指數流向波羅的海乾散貨運價指數，再流向加權遠期運費協議指數，代表股票市場領先運費市場，而運費市場又領先遠期運費協議市場，而每個期間的加權遠期運費協議指數對波羅的海乾散貨運價指數皆為正向顯著關係，波羅的海乾散貨運價指數與道瓊全球航運指數間皆為雙邊正向顯著關係，本研究建議預測波羅的海乾散貨運價指數的散裝海運產業業者與投資人，可以道瓊全球航運指數與加權遠期運費協議指數作為先行指標。 在經濟意涵方面，根據實證結果，金融危機期間，金融市場動盪程度提高，連帶影響散裝海運運價價格波動劇烈，使得散裝海運產業業者與投資人的避險需求提升，由於波羅的海乾散貨運價指數為散裝海運產業業者的每日報價，並非金融市場交易之結果，故散裝海運產業業者與投資人可以參考商品市場、股票市場、外匯市場及運費市場的資訊進行避險操作。