This study used daily data from September 2007 to December
2011. In accordance with Hamao et al. (1990), if any of the three
variables was closed on a certain date, the other variables for that
date were deleted. Hamao points out that such data processing
does not influence the correctness of the final empirical results.
Therefore, during the data survey, data without common trading
dates were deleted, while data for common trading dates were
left. The effective samples comprised 1057. Variables were put into
a natural logarithm form, so the estimated parameters could be
interpreted in terms of their elasticity.
The variables were described in Table 1. NTD_USD denoted NT
dollar versus US dollar exchange rate. Gold denoted the gold price,
the gold spot market on the London metals exchange is the oldest
and also the most important spot market. Oil represented the
floating oil price in Taiwan was calculated according to Dubai and
Brent crude oil spot prices with weightings of 70% and 30%,
respectively.
The formula is as follows: