A Research of the Interactive Relationship Among the Price of Crude Oil, Gold, Exchange Rate and International Stock Markets
| Autor: | Tzu-ying Huang, 黃姿穎 |
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| Rok vydání: | 2009 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 97 The research uses the daily date to discuss the relationship among the oil price, gold price, and exchange rate with the stock prices of American (US), Europe (Germany), and Asia (Japan, Taiwan, Mainland). The Johansen cointegration test shows that oil price, gold price, exchange rate and stock price exist long run stable equilibrium relationship; but doesn’t exist in American. Granger causality test shows the following results. First, bidirectional feedback causality exists between oil price, stock price and gold price. Second, the oil price guilds exchange rate, but the independent relationship is presented in Japan. Third, the gold price guilds stock price, but the independent relationship is presented in Japan and Taiwan. Fourth, bidirectional feedback causality exists between gold price and exchange rate, but the gold price guilds exchange rate in Germany and Taiwan. Finally, bidirectional feedback causality exists between exchange rate and stock price, but the independent relationship is presented in Germany. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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