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系統識別號 U0002-0107201412591200
中文論文名稱 紅酒指數與股價、商品指數之關聯性研究
英文論文名稱 Investigating the Relationship among Wine Index, Stock Indices, and Commodity Indices
校院名稱 淡江大學
系所名稱(中) 管理科學學系碩士班
系所名稱(英) Master’s Program, Department of Management Sciences
學年度 102
學期 2
出版年 103
研究生中文姓名 黃晧庭
研究生英文姓名 Hao-Ting Huang
學號 601620494
學位類別 碩士
語文別 中文
口試日期 2014-06-19
論文頁數 41頁
口試委員 指導教授-婁國仁
委員-歐陽良裕
委員-廖啟順
中文關鍵字 紅酒指數  領先落後指標  波動性外溢效果 
英文關鍵字 Wine index  Lead-lag relationship  Volatility spillover effect 
學科別分類
中文摘要 本研究為探討紅酒指數與國際股價指數和商品指數之間的關聯性,分別以紅酒指數與道瓊奢侈品指數、道瓊工業指數、英國富時指數、中國上證指數、倫敦黃金現貨價格、布蘭特原油價格以及全球商品指數作為研究對象,並獲致以下之實證結果,其一、道瓊奢侈品和道瓊工業指數會影響紅酒指數的變動,亦為上述二者金融指數變動時會影響紅酒指數的變動。其二、大部份的股價指數與商品指數的波動亦會影響紅酒指數的波動,此亦說明紅酒與波動會受致於股價指數與商品指數的波動。
英文摘要 This study is to investigate the relationship between Liv-ex Fine Wine index and several well-known indices including Dow Jones Luxury Index, Dow Jones Industrial Average, Financial Times Stock Exchange 100 Index, Shanghai Stock Exchange 50 Index, Brent crude price, London Fix price, and Thomson Reuters/ Core Commodity CRB Index. We then derive the following findings as shown below. First, we reveal that either Dow Jones Luxury Index or Dow Jones Industrial Average would Granger-cause Liv-ex Fine Wine index, implying that Liv-ex Fine Wine index would be affected by these stock indices. Second, we show that the volatilities of most of stock indices and commodity indices would affect the volatilities of Liv-ex Fine Wine index, which indicates the volatilities of Liv-ex Fine Wine index would be affected by these well-known indices as well.
論文目次 目錄
中文摘要 Ⅰ
英文摘要 Ⅱ
目錄 Ⅲ
表目錄 Ⅴ
圖目錄 Ⅵ
第一章、 緒論 1
第一節、 研究背景與動機 1
第二節、 研究目的 2
第三節、 研究流程 3
第四節、 研究架構 4
第二章、 文獻探討 5
第一節、 股價指數間的連動性 5
第二節、 股價指數與商品指數間的連動性 7
第三節、 紅酒指數與股價指數、商品指數間的連動性 11
第三章、 研究假說與方法 13
第一節、 研究資料 13
第二節、 研究假說 16
第三節、 研究方法 17
第四章、 實證結果與分析 26
第一節、 資料來源與整理分析 26
第二節、 單根檢定 27
第三節、 因果關係檢定 27
第四節、 共整合檢定 29
第五節、 雙變量 GARCH 波動性外溢效果探討 30
第五章、 結論 34
第一節、 研究結論 34
第二節、 投資與管理意涵 37
第三節、 研究限制與建議 37
參考文獻 38

表目錄
表 4-1各指數之敘述統計量 26
表 4-2各指數之單根檢定 27
表 4-3各指數之因果關係檢定 28
表 4-4紅酒指數與各股價指數、現貨價格之共整合檢定 29
表 4-5各指數及現貨價格之 LM 檢定 30
表 4-6紅酒指數與股價指數及現貨價格之波動性外溢效果 31

圖目錄
圖1 研究流程圖 3
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