本研究運用CBP-GARCH 模型檢驗原油和黃金於2010年1月至2021年7月間的商品特性，捕捉原油和黃金在行情大幅波動時兩者報酬間共變異和共跳躍的關係，並以樣本期間內美中股市和美國公債利差的漲跌變化探究對原油和黃金報酬的影響，最後再根據原油和黃金商品特性的差異重新檢視將原油和黃金納入投資組合的效益。實證結果發現，原油和黃金商品市場間存在波動叢聚的現象，當股票市場風險意識升高或長短天期公債利差擴大時，對黃金報酬具有顯著性的影響，然而影響性並不存在於原油商品，顯現商品市場與金融市場間具有不對等的連動關係。此外當市場異常資訊發生時，原油和黃金報酬存在瞬時共同跳躍的變異特性，不過原油報酬的跳躍強度會高於黃金報酬的跳躍強度。此現象可歸因於原油市場係受到市場供需所影響，而黃金市場則扮演著避險與投資的混合特性。因此，根據本研究的實證結果也建議投資人在市場非預期資訊發生時，應考量商品市場與金融市場間不對等的跳躍波動，以有效控管投資組合內的風險程度。

This study uses the CBP-GARCH model to test the commodity characteristics of crude oil and gold from January 2010 to July 2021, and captures the relationship between the co-variation and co-jump between the returns of crude oil and gold when the market fluctuates greatly, and analyzes the relationship between crude oil and gold. The correlation between the U.S. and China stock market and U.S. Treasury bond spreads during the sample period was used to explore the impact on the returns of crude oil and gold. Finally, according to the differences in the commodity characteristics of crude oil and gold, we re-examined the impact of including crude oil and gold in the investment portfolio. benefit. The empirical results show that there is a phenomenon of volatility clustering among commodity markets. When the risk awareness of the stock market increases or the spread of long-term and short-term government bonds increases, it has a significant impact on gold returns. However, the impact does not exist in crude oil commodities. It shows that there is an unequal linkage between the commodity market and the financial market. In addition, when abnormal market information occurs, the returns of crude oil and gold have the variation characteristics of instantaneous common jumps, but the jump strength of crude oil returns will be higher than that of gold returns. This phenomenon can be attributed to the fact that the crude oil market is affected by market supply and demand, while the gold market plays a mixed characteristic of hedging and investment. Therefore, the empirical results of this study also suggest that investors should consider the asymmetric jump fluctuation variation between the commodity market and the financial market when unexpected market information is generated, so as to effectively control the risk level in the investment portfolio.

第一章 緒論	1
第一節 商品市場背景	1
第二節 研究動機	5
第三節 研究目的	9
第四節 研究架構與流程圖	11
第二章 文獻回顧	14
第一節 原油和黃金的關聯性探討	14
第二節 商品市場因時而異的變異特性	18
第三節 投資組合納入原油和黃金的效益	21
第三章 研究方法	24
第一節 變數定義	24
  第二節 單根與異質變異	26
第三節 CBP-GARCH模型設置	31
第四章 資料來源與處理	34
  第一節 資料來源	34
第二節 資料處理	35
第三節 基本統計量	37
第五章 實證結果與分析	39
第一節 單根檢定	39
第二節 異質變異分析	41
第三節 CBP-GARCH模型實證分析	42
第六章 結論與建議	46
第一節 結論	46
第二節 建議	48
參考文獻	49

表目錄
表4-3-1基本統計量	38
表5-1-1時間序列資料單根檢定	40
表5-2-1 ARCH效果檢定結果	41
表5-3-1原油與黃金CBP-GARCH模型估計結果	45

圖目錄
圖1-2-1 2015年至2021年西德州原油期貨走勢圖	7
圖1-2-2 1970年至2021年紐約黃金期貨走勢圖	7
圖1-2-3 1980年至2021年美國長短天期公債利差走勢圖	8
圖1-4-1研究架構流程圖	13
圖6-1-1西德州原油價格與紐約黃金價格共跳躍走勢圖	47

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