本研究以非線性平滑移轉模型探討國際重要財金指標：黃金價格、石油價格、美元指數對道瓊工業平均指數、NASDAQ指數、S&P500指數之影響關係。並以美元指數作為門檻變數，觀察美元指數在低於或高於各自門檻時，黃金價格、
石油價格、美元指數的變動如何對美國三大股市產生影響。
    本研究發現，當美元指數遠高於門檻時，油價與美國三大股市皆無顯著關聯，在美元指數低於門檻時油價與美國三大股市皆呈現正相關。而金價在美元指數高於門檻時與美國三大股市接呈現正相關，而在美元指數低於門檻時，金價對美股的影響除了NASDAQ指數呈現負相關外其餘皆呈現正相關。而美元指數對美股的影響除了NASDAQ指數在美元指數遠高於門檻值時並無顯著關聯外，其餘狀況皆與美國三大股市呈現正相關。

This study uses the nonlinear smooth transition model to explore the international important financial indicators: the impact of gold price, oil price, dollar index on the Dow Jones Industrial Average, NASDAQ index, S&P500 index. And using the US dollar index as a threshold variable, observe how the changes in the price of gold, oil, and the US dollar index affect the three major US stock markets when the US dollar index is below or above their respective thresholds.
    This study found that when the US dollar index is much higher than the threshold, the oil price has no significant correlation with the three major US stock markets. When the US dollar index is lower than the threshold, the oil price is positively correlated with the three major US stock markets. The price of gold is positively correlated with the three major US stock markets when the US dollar index is higher than the threshold. When the US dollar index is lower than the threshold, the impact of the gold price on the US stocks is positively correlated with the negative correlation of the NASDAQ index. The impact of the US dollar index on US stocks is not related to the three major US stock markets except for the NASDAQ index, which has no significant correlation when the US dollar index is much higher than the threshold.

目錄
中文摘要	I
英文摘要	II
目錄	IV
表目錄	V
圖目錄	VI
第一章 緒論	1
第一節 研究背景	1
第二節 研究目的	4
第三節 研究流程與架構	5
第二章 文獻探討	7
第一節 探討匯市影響股市的文獻	7
第二節 探討股市與黃金的文獻	8
第三節 探討石油影響股市的文獻	10
第四節 探討石油、黃金與美元指數相互影響的文獻	13
第三章 研究方法	14
第四章 實證結果與分析	21
第一節 研究資料	21
第二節 敘述統計	21
第三節 線性檢定	23
第四節 轉換函數檢定	24
第五節 模型參數估計與分析	27
第五章 結論	37
參考文獻	40

表目錄
表4-1-1被解釋變數資料說明	21
表4-1-2解釋變數資料說明	21
表4-2-1解釋變數及被解釋變數敘述統計量	23
表4-3-1 LM-TYPE線性檢定	24
表4-4-1轉換函數檢定	26
表4-5-1道瓊工業平均指數邏輯型模型參數估計	29
表4-5-2各解釋變數對道瓊工業平均指數之影響關係	29
表4-5-3 NASDAQ指數邏輯型模型參數估計	32
表4-5-4各解釋變數對NASDAQ指數之影響關係	32
表4-5-5 S&P500指數邏輯型模型參數估計	35
表4-5-6各解釋變數對S&P500指數之影響關係	35

圖目錄
圖1-3-1 研究流程與架構	6
圖3-2-1 邏輯型函數圖形	18
圖3-2-2 指數型函數圖形	19
圖4-5-1 道瓊工業平均指數之轉換函數	30
圖4-5-2 NASDAQ指數之轉換函數	33
圖4-5-3 S&P指數之轉換函數	36

一、	中文文獻:
1.	
王雅瑜，(2007)，《油價波動對美國與日本股價市場報酬波動之衝擊：雙變量厚尾分配與 DCC-非對稱 IGARCH 模型之應用》，嶺東科技大學財務金融研究所碩士論文。
2.	
范芝萍，(2014)，《油價、美元及美股對黃金價格走勢之影響－分量迴歸的應用》，明新學報40卷第2期，141-149頁。
3.	
陳孟蘚，(2016)，《高收益債、石油、股市關聯性分析》，嶺東科技大學財經法律研究所碩士學位論文。
4.	
彭樹裕，(2012)，《美元指數、石油價格與黃金價格長短期因果非線性關係探討》，臺北大學國際財務金融碩士在職專班學位論文。
5.	
鄭宇杰，(2018)，《中美股匯市在美國退出量化寬鬆貨幣政策前後之非線性因果關係探討》，淡江大學財務金融學系碩士班碩士論文。

二、英文文獻:
1.	
Arfaoui, Mongi, and Rejeb, Aymen Ben (2017) “Oil, gold, US Dollar and Stock Market Interdependencies: A Global Analytical Insight.” European Journal of Management and Business Economics, 26(3), 278-293.
2.	
Baur, Dirk G. and Lucey, Brian M. (2010) “Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold.” The Financial Review, 45 (2), 217-229.
3.	
Baur, Dirk G. and McDermott, Thomas K. (2010) “Is Gold a Safe haven? International Evidence.” Journal of Banking and Finance, 34(8), 1886-1898.
4.	
Cheikh, Nidhaleddine Ben, Naceur Sami Ben, Kanaan, Oussama and Rault, Christophe (2018), “Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models.” IDEAS Working Paper Series from RePEc
5.	
Ciner, C. (2001) “Energy Shocks and Financial Markets: Nonlinear Linkages.”  Studies in Nonlinear Dynamics and Econometrics, 5(3), 203-212.
6.	
Dornbusch, R. and Fischer, S. (1980) “Exchange Rates and the Current Account.” The American Economic Review, 70(5), 960-971.
7.	
Ghorbel, Achraf., Mouna Abbes Boujelbene., Younes Boujelbene. (2014) “Behavioral Explanation of Contagion between Oil and Stock Markets.” International Journal of Energy Sector Management, 8(1), 121-144.
8.	
Granger, C. W., and Terasvirta, T. (1993). Modelling Non-Linear Economic Relationships. Oxford University Press.
9.	
Hekman, C. R. (1985). “A Financial Model of Foreign Exchange Exposure.” Journal of International Business Studies, 16(2), 83-99.
10.	
Hillier, David, Draper, Paul and Faff, Robert. (2006). “Do Precious Metals Shine? An Investment Perspective.” Financial Analysts Journal, 62(2), 98-111.
11.	
Huang, D., R. Masulis, and H. Stoll (1996) “Energy Shocks and Financial
Markets.” Journal of Futures Markets, 16 (1), 1-27.
12.	
Hughen, J Christopher and Beyer, Scott. (2014) “Stock Returns and the US Dollar: the Importance of Monetary Policy.” Managerial Finance, 41(10), 1046-1058.
13.	
Ibrahim, M. H. (2000) “Cointegration and Granger Causality Tests of Stock Price and Exchange Rate Interactions in Malaysia.” ASEAN Economic Bulletin, 17(1), 36-47.
14.	
Miller, J. Isaac and Ratti, Ronald A. (2008), “Crude Oil and Stock Markets: Stability, Instability, and Bubbles.” Energy economics, 31(4), 559-568.
15.	
Park, Jungwook and Ratti, Ronald A. (2008), “Oil Price Shocks and Stock Markets in the U.S. and 13 European Countries.” Energy Economics, 30(5), 2587-2608.
16.	
Patel, Samveg A. (2013) “Causal Relationship Between Stock Market Indices and Gold Price: Evidence from India.” IUP Journal of Applied Finance, 19(1), 99-109.
17.	
Samanta, Subarna K. and Zadeh, Ali H. M. (2012) “Co-movements of Oil, Gold, the U.S. Dollar, and Stocks.” Modern Economy, 3(1), 111-117
18.	
Sercu, P. and Vanhulle, C. (1992) “Exchange Rate Volatility, International Trade, and the Value of Exporting Firms.” Journal of Banking and Finance, 16(1), 155-182.
19.	
Teräsvirta, T. (1994). “Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models.” Journal of the American Statistical Association, 89(425), 208-218.