本文使用多變量GARCH模型分析黃金、股票及債券三者彼此之間的關係，亦即檢測黃金報酬率在全樣本期間的避險、金融危機期間的安全避風港與價值儲存功能。
實證結果顯示：1.在全樣本期間，不管是落後一期或落後二期，黃金皆可作為股票良好的避險選擇。此外，在落後一期及落後二期時，黃金與債券市場具有雙向的避險效果。而當油價對黃金產生衝擊時，黃金確實擁有價值儲存的功能。2.在金融危機期間，多數情況下，黃金無法作為股票與債券投資上的安全避風港。當油價上漲時，確實會使黃金的價格上漲，表示黃金確實擁有價值儲存的功能。3.觀察黃金報酬率、股票報酬率及債券殖利率變動率之衝擊反應，結果發現：衝擊大多在經過3期以後，幾乎皆已反應完畢。因此，本文認為黃金、股票及債券三市場雖然都會受其他市場的影響，但皆只在短期內造成衝擊，並不會產生長期的影響效果。

This paper applies a multivariate GARCH model to analyze the relationships among gold, stocks and bond markets; that is, it examines whether gold is a hedge during the whole sample period, a safe haven during the financial crisis period and the function to store value. 
The empirical results show that: firstly, during the whole sample period, gold is a good hedge against stock. In addition, bidirectional hedge effect occurs between the gold and bond markets. Gold can store value when oil returns result in impacts on the gold return. Secondly, during the financial crisis period, gold is not a safe haven against the stocks and bonds in most cases. When oil price rises, gold price also raises. This means that gold could store value. Thirdly, by observing the impulse responses of gold return, stock return and the change rate of bond yield, we find that most of the impacts decay to zero after three periods. Therefore, this paper documents that even if gold, stock and bond markets can be affected by other markets, the impacts are only short-term not long-term.

目錄
第一章  緒論
    第一節 研究背景與動機 1
    第二節 研究目的與貢獻 4
    第三節 研究架構與流程 5
第二章  文獻回顧
    第一節 雙變量相關文獻 7
    第二節 三變量相關文獻 11
第三章  資料來源與研究方法
    第一節 資料來源 13
    第二節 研究方法 14
第四章  實證結果
    第一節 基本統計量分析 24
    第二節 ARCH效果之檢定 28
    第三節 多變量GARCH之實證分析 29
    第四節 衝擊反應分析 38
第五章  結論 41
參考文獻 44

表目錄
【表1】 三變數之基本統計量 24
【表2】 單根檢定結果(水準項) 27
【表3】 單根檢定結果(差分項) 27
【表4】 三變數之ARCH效果檢定 28
【表5】 三變數之動態分析 30
【表6】 條件變異數之實證結果 31

圖目錄
【圖1】 研究架構流程圖 6
【圖2】 黃金價格 時間序列資料趨勢圖 26
【圖3】 S&P500指數 時間序列資料趨勢圖 26
【圖4】 美國債券殖利率 時間序列資料趨勢圖 26
【圖5】 西德州原油價格 時間序列資料趨勢圖 26
【圖6】 三市場對黃金報酬率之衝擊反應圖 40
【圖7】 三市場對股價指數報酬率之衝擊反應圖 40
【圖8】 三市場對債券殖利率之變動率之衝擊反應圖 40

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