A Research of the Long-term Relationship between Gold, Crude Oil, Exchange Rate and Stock Market-Recent Evidences from U.S., Germany ,U.K. and Japan

• Main Authors: Cheng,Hui-Chun, 鄭蕙君
• Other Authors: Lien, Chun-Hung
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/y4dzyf

碩士 === 崑山科技大學 === 國際商務與金融研究所 === 107 === This paper studies the relationship between crude oil spot price, gold spot price, U.S. dollar index and the stock indices of U.S., Germany, U.K. and Japan markets from March 2009 to February 2019 by using unit root test, Johansen cointegration test and FM-OLS test. It shows there exists stable long-term relationship in all of the stock indices and Brent crude oil spot price, New York gold spot price and the US dollar index. The FM-OLS test shows there exists significant positive relationship between Brent crude oil spot price and all of the stock indices, but there doesn’t exist significant relationship between New York Gold spot price and the stock indices, except the Japan stock index it showing significant negative relationship. Finally, there exits significant positive relationship between the U.S. dollar index and the stock indices of all of the U.S., Germany, U.K. and Japan market.