本研究旨在檢視多種金屬ETF(黃金、白銀、白金、鈀、銅、鋁、鋅)與金屬綜合指數ETF對以美元為商品貨幣的多國匯率(加幣、歐元、英鎊、瑞士法郎、澳幣、人民幣、日圓、台幣)與美元指數是否可以作為避險或避風港的工具。依據Baur and McDermott(2010)所提出的實證模型，強(弱)避險定義為一個資產與另一個資產或投資組合大致呈現負相關(不相關)，強(弱)避風港定義為一個資產在市場極度蕭條時會與市場呈現負相關(不相關)。實證結果發現，貴金屬ETF、工業金屬ETF與綜合指數ETF仍為美元指數的避險及避風港工具，在其他匯率市場作為其他國家貨幣的避險及避風港工具效果較弱，換言之，當美元在其他國家貨幣市場貶值太多的時候，利用這些ETF來規避美元匯率波動的程度較弱。特別的是，本文發現綜合指數的實證結果與黃金ETF相似，但綜合指數ETF在避風港部分的表現表現得比純黃金的ETF更好，幾乎對於所有國家匯率都有顯著的避風港關係。

This study intends to investigate whether various metal (gold, silver, platinum, palladium, copper, aluminum and zinc) ETFs relative to exchange rate of numerous countries (CAD, EUR, GBP, CHF, AUD, CNY, JPY and TWD) and US Dollar Index can be a hedge or a safe haven. According to the regression model from Baur and McDermott(2010), a strong (weak) hedge is defined as an asset that is negatively correlated (uncorrelated) with another asset or portfolio on average. A strong (weak) safe haven is defined as an asset that is negatively correlated (uncorrelated) with another or portfolio in certain period only. The empirical result indicates that precious metal ETFs, industrial metal ETFs, and composite index ETFs relative to US exchange rate exist significantly hedge and safe haven relationships. However, they are weak tools to be hedges and safe havens of other countries in other market of rate. In other words, when US depreciate too much in other country markets, using these ETFs to avoid US rate changing is weak. Interestingly, this paper finds that the empirical result of composite index ETFs is similar to gold ETFs, but they have a better performances than gold ETFs in the portion of safe havens. They are almost significant in all countries.

目錄
中文摘要I
英文摘要II
目錄III
表目錄IV
圖目錄V
第一章 緒論1
第一節 研究背景與動機1
第二節 研究目的5
第三節 研究架構與流程6
第二章 理論與相關文獻8
第一節 避險與避風港的定義8
第二節 貴金屬與外匯市場關係9
第三節 貴金屬與其餘金融市場關係11
第三章 研究方法15
第一節 研究資料來源15
第二節 實證模型16
第四章 實證結果與分析21
第一節 敘述統計21
第二節 模型實證24
第五章 結論43
參考文獻45

表目錄
表3-1-1 ETF的研究期間15
表4-1-1樣本敘述統計23
表4-1-2國家匯率與ETF價格之相關性24
表4-2-1黃金ETF (GLD)與匯率的關係29
表4-2-2黃金信託ETF (IAU)與匯率的關係29
表4-2-3黃金ETF (SGOL)與匯率的關係30
表4-2-4黃金ETF (DGL)與匯率的關係30
表4-2-5白銀信託ETF (SLV)與匯率的關係34
表4-2-6白銀ETF (SIVR)與匯率的關係35
表4-2-7白銀ETF (DBS)與匯率的關係35
表4-2-8白金ETF (PPLT)與匯率的關係37
表4-2-9鈀ETF (PALL)與匯率的關係38
表4-2-10銅價指數ETF (CPER)與匯率的關係39
表4-2-11貴重金屬信託指數基金(GLTR)與匯率的關係41
表4-2-12貴重金屬指數基金(DBP)與匯率的關係41
表4-2-13金屬指數基金(DBB)與匯率的關係42

圖目錄
圖1-1-1自1973年至2017年美國黃金歷史價格2
圖1-1-2自2002年至2016年全球ETF規模變化4
圖1-1-3研究流程圖7
圖4-2-1 2005年至2016年的黃金ETF與美金走勢圖28
圖4-2-2 2009年至2014年的SGOL與美元走勢圖28
圖4-2-3 2007年至2013年的DGL與美元走勢圖29
圖4-2-4 2006年至2016年的SLV與美元及美元兌台幣走勢圖33
圖4-2-5 2009年至2014年的SIVR與美元及美元兌台幣走勢圖34
圖4-2-6 2007年至2013年的DBS與美元及美元兌台幣走勢圖34
圖4-2-7 2010年至2014年的美元兌台幣與PPLT走勢圖36
圖4-2-8 2010年至2014年的美元指數與PPLT走勢圖37

一、	中文文獻
1.陳威志(2004)，期貨、現貨及ETF市場間日內價格發現關係實證研究，私立淡江大學財務金融學系碩士班在職專班碩士論文。
2.廖淑華(2013)，商品ETF、期貨與現貨巿場之動態關聯性研究，私立淡江大學財務金融學系碩士班在職專班碩士論文。
二、	英文文獻
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7.Ciner, C., (2001), “On the long-run relationship between gold and silver: a note”, Global Financial Journal, 12, 299-303.
8.Ciner, C., C. Gurdgiev, and B. M. Lucey, (2012), “Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates”, International Review of Financial Analysis, 29, 202-211.
9.Convoer, M. C., G. R. Jensen, R. R. Johnson, and J. M. Mercer, (2007), “Can precious metals make your portfolio shine?”, Journal of Investing, 17, 34-46.
10.Forbes, K. J., and R. Rigobon, (2002), “No contagion, only interdependence: measuring stock market comovements”, Journal of Finance, 57, 2223-2261.
11.Hillier, D., P. Draper, and R. Faff, (2006), “Do precious metals shine? An investment perspective”, Financial Analyst Journal, 62, 98-106.
12.Hood, M., and F. Malik, (2013), “Is gold the best hedge and a safe haven under changing stock market volatility?”, Review of Financial Economic, 22, 47-52.
13.Lucey, B. M., and S. Li, (2015), “What precious metals act as safe havens, and when? Some US evidence”, Applied Economics Letters, 22, 35-45.
14.Lucey, B. M., and Tully. E., (2006), “The evolving relationship between gold and silver 1978–2002: Evidence from a dynamic cointegration analysis: a note”, Applied Financial Economic, 2, 47-53.
15.Pukthuanthong, K., and R. Roll, (2011), “Gold and the Dollar (and the Euro, Pound, and Yen)”, Journal of Banking & Finance, 35, 2070-2083.
16.Reboredo, J. C., (2013), “Is gold a safe haven or a hedge for the US dollar? Implications for risk management”, Journal of Banking & Finance, 37, 2665-2676.
17.Riley, C., (2009), “A new gold rush: Investing in precious metals”, Social Science Research Network.
18.Wang, K. M., Y. M. Lee, and T. B. N. Thi, (2011), “Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model”, Economic Modelling, 28, 806-819.