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1	原物料指數與股市、匯市關聯性的研究 / A study of the relationship between commodity indexes, stock market and foreign exchange 陳玉樹, Chen, Yu Shu Unknown Date (has links) 本篇探討在2002年起的原物料多頭浪潮至2011年3月期間，以原物料指數：高盛綜合商品指數(GSCI)、農商品指數(GSCI AG)與股市、匯市為研究對象，利用共整合檢定與向量自我迴歸(VAR)還有向量誤差修正模型(VECM)模型等實證方法，在九個國家中，探討變數間的關聯性。實證結果顯示，在股、匯市與GSCI的模型中，美國、印度與俄國具有共整合關係；在股、匯與GSCI AG的模型中，美國、澳洲與台灣具有共整合關係。表示這幾個國家變數間存在長期穩定關係。VAR與VECM結果顯示，不管是原物料出口國或是進口國，對於各國股市的影響，皆為顯著正向影響，在Granger 因果檢定上，除了日本以外，所有國家的股市皆具有Granger領先原物料變數的關係，而原物料會Granger領先於股市的國家有日本與俄羅斯，其中俄國股市與原物料GSCI具有雙向因果關係股市也顯著領先原物料指數。在農糧物料部分，股市會Granger領先農糧指數的國家比起綜合商品指數來說大幅減少許多，僅剩中國，印度兩國。在匯率部分，除了美國因為大多商品以美金計價，使得美元貶值與商品價格上漲有著顯著的關係外，其他國家貨幣因為是對美元匯率，所以一致呈現出當原物料價格上漲該國貨幣就會升值的影響。在原物料輸出大國，加拿大與澳洲特別明顯。另外在匯市上，原物料指數對大多數國家匯市具有Granger領先關係，而其中匯市Granger領先股市的國家有台灣與韓國，表示此兩國匯市與原物料具有雙向因果關係。在農糧物料方面，農商指數對大多數國家匯市仍具有Granger領先關係，而其中匯市Granger領先股市的國家僅有俄國，表示此國匯市與原物料具有雙向因果關係。原物料股市匯率 Granger因果檢定 GSCI VAR VECM
2	Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios Engström, Daniel, Gustafsson, Niklas January 2017 (has links) The purpose of this study is to investigate changes in dynamic conditional correlations between Swedish equity sector indices and commodities using oil, gold, copper and a general commodity index. Additionally the purpose is to evaluate which of the two methods, DCC- GARCH or GO-GARCH that is more efficient in estimating correlation for hedge ratio calculation. Daily data on the FTSE30 index of Sweden and its sector indices have been studied between the years 1994 and 2017. A DCC-GARCH (1,1) and GO-GARCH (1,1) model with one autoregressive term AR(1) using multivariate Student t- and Multivariate Affine Negative Inverse Gaussian distribution were used to estimate conditional correlations. Correlations between Swedish FTSE30, its sector indices and commodities are considerably lower than previous research has found American or emerging markets correlation with commodities to be. This suggests better diversification opportunities with commodities for the Swedish market. Optimal hedge ratios (OHR) was calculated and back tested using a rolling window analysis with 1000 days forecast length and 20 days re-estimation window and evaluated using a calculated hedge effectiveness index (HE). Determined by HE, copper is the best hedge for the Swedish composite FTSE30 and sector indices using conditional correlation from the GO-GARCH during the data period. Gold is considered as a semi-strong safe haven due to its negative correlation with all sectors. Additionally, this study identifies a temporarily large increase in the correlation between the Swedish equities sectors and composite index with commodities around the years 2015/2016. This study also emphasizes the difference between stressful and calm periods in the market. Hedging hedge commodities futures hedge ratio conditional correlation DCC GO-GARCH DCC-GARCH GARCH Dynamic conditional correlation oil GSCI copper gold safe haven optimal hedge ratio finance economics markets risk risk management hedge effectiveness Risk riskhantering råvaror terminer futures hedging hedge GARCH Economics Nationalekonomi

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原物料指數與股市、匯市關聯性的研究 / A study of the relationship between commodity indexes, stock market and foreign exchange

Swedish Equity Sectors Risk Management with Commodities : Revisiting dynamic conditional correlations and hedge ratios