碩士 / 輔仁大學 / 金融與國際企業學系金融碩士班 / 101 / This study examined the price of gold and the transmission effect between the London bullion market and the gold futures markets in New York and Shanghai. Empirical analysis was carried out using a unit root test of the time series and co-integration verification prior to the establishment of an investment strategy model. The analysis revealed that the time series for international gold prices was static and presented a balanced and stable relationship over the long-term. The results of the investment strategy showed that, based on the opening price of the London bullion market against that of the New York gold futures market, the probability of an investment module making a profit was as high as 90.91% with an annualized rate of return of 87.94%. Comparing the opening prices of the gold futures markets in New York and Shanghai, the probability of an investment module making a profit was 57.14% with an annualized rate of return of 13.41%.
| Identifer | oai:union.ndltd.org:TW/101FJU00214044 |
| Date | January 2013 |
| Creators | PENG, KUAN-YI, 彭冠怡 |
| Contributors | Lee, Tsung-Pei, 李宗培 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 44 |
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