| Summary: | 碩士 === 中原大學 === 企業管理研究所 === 103 === Over the past seven years, the global economy experienced the financial tsunami since 2008, the European debt
crisis since 2010 and the US fiscal cliff and other major international financial crisis since 2011.
Subsequentially, VIX index and gold prices hit record highs during these periods. However, when the global economy is still in the doldrums state, gold price dropped dramatically since 2012, causing investors huge losses, and made financial analysts doubt whether gold is still a safegrand for investors. This study examines the relationship among the VIX index, gold price and the stock indices in the emerging markets and European markets before and after financial tsunami in September 2008 employing the Co-integration test, Vector Auto-regressive model (VAR), Vector error correction model (VECM), Granger causality test, and Forecasting-error variance decomposition (FEVD). This investigation also attempts to assist the investors to use the appropriate forecasting and hedging methods when they face against financial crisis. The sample period runs from January 1 2005 to December 31 2014, with a total of 120 monthly data. This study then divideds the full sample period into two sub-periods: one runs from January 1 2005 to September 2008, and another runs from September 2008 to December 2014. Empirical results are summarized below:
1.During the full sample period, there is no co-integration among the VIX index, gold price and the S&P500 index. However, this study finds that the co-integration exists among VIX index, the gold price, and the MSCI European Index, as well as that among the gold price, the VIX, and the MSCI emerging markets. Additionally, VIX index, the gold price and the S&P500 index have co-integration for both sub-periods.
2.Granger causality test results show that, during the full sample period, the gold price unilaterally affects the S&P500 index, VIX index and MSCI European markets index. However, there is no causal relationships exists between MSCI emerging Index and other parameters. Meanwhile, the gold price unilaterally impacts the VIX index during the frist sub-period; while the gold price unilaterally influences the S&P 500 and the VIX indices for the second sub-period. Empirical results also indicate that neither European nor emerging markets have casual relationships during the first and second sub-periods.
3.The error correction results show that the VIX and the European and emerging market MSCI indices are negatively correlated for the full sample period. Meanwhile, the S&P 500 index is negatively related with VIX during the first sub-period; while the gold price is positively related with the VIX index for the second sub-period. Additionally, both the S&P 500 index and the VIX index, and gold price and the VIX index are also positively related during the second sub-period.
4.The impulse response function test results indicate that the gold price is 100% shocked by the gold price itself in the first term, while the S&P500 index is 99.5% shocked by the S&P500 index itself in the first term. However, the VIX index is influenced most significantly by the shock of S&P500 index in the first term.
5.The forecast-error variance decomposition (FEVD) results show that, for the full sample period, the most significantly explanatory power of the VIX index arises from the S&P500 index (i.e., 62.75%), and the 2nd most significantly explanatory power arises from the VIX index itself (i.e., 35.72%). The possible explanation is that the VIX is a key measure of market expectation of near-term volatility conveyed by the S&P 500 index’s option price. However, the only significantly explanatory power on the shock to gold price and to the S&P 500 index arising from the gold price itself and the S&P 500 index itself, respectively.
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