碩士 / 南華大學 / 企業管理學系管理科學碩博士班 / 104 / This study analyzes empirically the relationship between the economic variables of emerging markets in Asia and gold price. For this purpose,the certain of economic variables are considered, including composite index of Shanghai stock exchange (SSE), Indonesian stock exchange(JSX) Thailand Stock exchange (SET) , IN- BSE 500 and Renminbi, Indonesian rupiah, Thai baht, Indian rupee exchange rate. The vector autoregressive techniques, Granger causality tests and impulse response analyses are employed to explore whether the movement of Gold price is the outcome of the selected macroeconomic variables or it is one of the causes of movement in these economic variables.Using the observations of daily data from 2004 to 2011 from TEJ and separated two periods by the Financial Tsunami of 2008, the finding of the study suggests that the current gold price have obvious “lead-lag” relationship between the lead Renminbi exchange rate, Thailand Stock exchange, and Indian rupee after Financial Tsunami. And lead gold price have signific effect on current Indonesian rupiah ,Indonesian stock exchange (JSX), Thai baht, Indian rupee exchange rate and IN- BSE 500.According to the impulse response analysis, it shows that the variance of gold price is significant explained by the lagged gold price, Renminbi exchange rate , Thai baht and Indian rupee.
| Identifer | oai:union.ndltd.org:TW/104NHU00457002 |
| Date | January 2015 |
| Creators | Fu-Chen Kuo, 郭富城 |
| Contributors | Shu-Fang Yuan, 袁淑芳 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 84 |
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