碩士 / 義守大學 / 財務金融學系碩士在職專班 / 101 / The thesis observes the difference and correction among gold price, US dollar index and volatility index into 3 intervals: before, within and after 2008 financial crisis: 2006/07 – 2007/06, 2007/07 – 2008/09, 2008/10 – 2009/09. Resulted from correction coefficient analysis, gold price and US Dollar price has negative relationship even within financial crisis period (2007/07-2008/09). As for volatility index and gold price has positive relationship in the interval 1 (2006/07 – 2007/06) and interval 2 (2007/07-2008/09), however, it has negative relationship in the interval 3 (2008/10 – 2009/09). Using duplicate regression analysis by US dollar index and volatility index as independent variables and gold price as dependent variable, it is presented both US dollar index and volatility index are significant to gold price with 3 intervals. Chow Test shows structural changes in 2007/07 and 2008/09. Also, duplicate regression analysis shows structure changes with volatility index less than or larger than 40 , and has higher explanation rate to gold price when volatility index is below 40, where the coefficient of gold price is negative and the coefficient of volatility index is positive. Otherwise, it shows the contrary result when volatility index is larger than 40.
| Identifer | oai:union.ndltd.org:TW/101ISU01304007 |
| Date | January 2013 |
| Creators | Liu, chia-yin, 劉佳茵 |
| Contributors | Chen, Guan-ru, 陳冠儒 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 41 |
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