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系統識別號 U0026-2307201301552400
論文名稱(中文) 預測現貨黃金價格OLS線性迴歸分析之績效研究
論文名稱(英文) Forecasting Gold Spot Price Movements: OLS Analysis of Multiple Indicators
校院名稱 成功大學
系所名稱(中) 國際經營管理研究所碩士在職專班
系所名稱(英) Institute of International Management (IIMBA--Master)(on the job class)
學年度 101
學期 2
出版年 102
研究生(中文) 洪倫慶
研究生(英文) Lun-Ching Hong
學號 Ra7004036
學位類別 碩士
語文別 英文
論文頁數 38頁
口試委員 指導教授-偉耶倫
召集委員-張紹基
口試委員-楊曉瑩
中文關鍵字 黃金現貨價格  預測  OLS線性迴歸分析模式  油價  印度盧比  政治因素不確定性 
英文關鍵字 Gold spot price  Forecasting  Ordinary least squares regression  Oil prices  Indian rupee  Economic uncertainty 
學科別分類
中文摘要 黃金市場在歷史上始終是國際金融間最主要的流行性指標,也引起了世界各地的金融研究人員和學術者的關心及探討的重要議題。黃金價格的波動性絕大部分原因是受到黃金在金融市場的供給、需求關係所左右,然而影響黃金價格的變動因素有哪些,根據過去黃金歷史的波動資料,對黃金價格的未來走勢進行分析預測比較是研究的主要目的。本研究方法採用OLS線性迴歸分析模式,最重要的是在於替黃金價格解釋出一個最適當黃金價格的時機。資料設定日期為1998年1月至2013年3月的黃金價格月資料做為原始資料運用,檢驗結果顯示黃金價格對於油價、政治因素不確定性、還有金融泡沫化的因素長期走勢都呈現一致性的正向關係,但相對於印度盧比較則是呈現負向關係。最後又以預測黃金價格的時間為2013年4月到2013年12月當中更發現,OLS線性迴歸分析模式對於實際黃金價格只有5%的差距。因此,可以看出油價、政治因素不確定性、印度盧比、還有金融泡沫化的因素對上黃金價格的關聯性更貼接黃金價格之走勢。
英文摘要 Gold has always been a popular and important commodity for investors, traders, and business decision makers since time and memorial. Its price is determined in the market using demand and supply. However, recently, in the search for new venues of determining prices, new methods have emerged that involve multiple determinants in a span of time which have caught the attention of researchers and scholars all over the world. Indicators such as external factors were found to be a significant variable in the forecast of gold prices. Therefore, in line with the goal of achieving an Ordinary Least Square Regression model that would forecast gold prices (dated January 1998 to March 2013) would be used. Results show that gold spot prices are influenced positively by crude oil prices, political uncertainty and speculations of bubbles in the commodity markets while negatively as the value of Indian Rupee appreciates relative to the dollar. The values were used to forecast out-of-sample gold prices from April 2013 till December 2013 and found that the values were only different at an average of 5% from the real time values of gold prices.
論文目次 ACKNOWLEDGEMENTS II
ABSTRACT III
摘要 IV
TABLE OF CONTENTS V
LIST OF TABLES VIII
LIST OF FIGURES VII
CHAPTER ONE INTRODUCTION 1
1.1 Research Background. 1
1.1.1 Forecasting Gold Prices. 5
1.2 Research Motivation. 6
1.3 Research Question. 6
1.4 Research Structure. 7
CHAPTER TWO LITERATURE REVIEW 9
2.1 Historical Review: Gold and Gold Prices. 9
2.2 Definition of Commodity Markets and Spot Price. 10
2.3 Theoretical Background. 11
2.3.1 Rational Expectations Theory. 11
2.4 Definition of Variables. 12
2.4.1 Definition of Variables and Hypothesis. 13
CHAPTER THREE RESEARCH METHODOLOGY 19
3.1 Data Source and Sample. 19
3.2 Data and Method of Analysis 20
3.2.2 Regression Equation and Variable Description. 20
CHAPTER FOUR RESEARCH RESULTS 22
4.1 Data Summary. 22
4.1.1 Regression Analysis: Ordinary Least Squares. 22
CHAPTER FIVE CONCLUSION AND SUGGESTIONS 33
5.1 Research Summary of Results, Implications and Conclusion. 33
5.2 Research Limitation. 35
5.3 Future Research and Suggestions 36
REFERENCES 37
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