本篇論文運用Johansen和Julius於1990年發表的共整合,向量誤差修正模型,Granger於1969年發表的因果檢定及其他時間序列的方法,使用樣本期間為2000/01/04到2010/10/01的日資料,討論S&P500指數及黃金即期價格及Amex金蟲指數(HUI)之間的關係.
本研究指出在變數S&P500指數及黃金即期價格及Amex金蟲指數間存在有共整合現象,利用誤差修正模型發現三個變數修正到長期均衡的速度很慢且不強烈.除此之外,也發現S&P500指數及Amex金蟲指數相互有回饋效果.

This paper employs Johansen and Julius (1990) Cointegration, Vector Error Correction (VECM), Granger Causality Test (1969) and other time series research methods to discusses the relationship among S&P 500 INDEX, GOLD SPOT PRICE, and AMEX GOLD BUGS INDEX (HUI) over 4 January 2000 through 1 October 2010 which we use daily data.

The research results indicate that cointegration exists among S&P 500 INDEX, AMEX GOLD BUGS INDEX and GOLD SPOT PRICE, and by VECM we find the speed to correct to long-term equilibrium is slow and not strong. Moreover, it shows one feedback between variables which is S&P 500 and AMEX GOLD BUGS INDEX.

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