本研究致力於探討在全球金融危機（GFC）和新冠肺炎（COVID-19）兩場系統性危機中，另類投資和一般常見金融商品之關聯性。本論文運用向量自我迴歸模型（VAR）、Granger因果關係檢定、衝擊反應函數檢驗股票市場、債券市場、貴金屬市場、REITs市場與VIX指數之間的關係。我們觀察到，黃金ETF和10-20年長債將分別傳染至國庫券和REITs指數。與此同時，REITs在系統性危機期間，為投資國庫券一重要之參考因子。

此外，在Granger關係下，我們也發現了黃金ETF對國庫券未來的變動可以提供3%至13%的解釋力，10-20年長債對REITs的未來變動也將有3%至8%的貢獻。因此，根據本論文所得出的結果，在重新配置投資組合時，我們也將建議投資者最好於股價下跌第一天起的8天內，在關聯性減弱前採取行動，幫助投資者在系統性危機期間進行風險分散。

Our study strives to investigate the relationship between alternative assets and general financial products in the episode of two crises, global financial crisis (GFC) and COVID-19 pandemic. We use VAR model, Granger Causality and Impulse Response Function to examine the relationship of stock market, Treasury market, precious metal market, REITs market and VIX index. We observe that gold ETF and long-term Treasury bonds will propagate to T-bill and REITs index, respectively. At the same time, REITs also play an important role for investing in Treasury bill market in the severe period.

Under the granger relationship, we even find that gold ETF can provide 3%-13% in explaining the variation of T-bill; long-term Treasury bond can also have at least 3%-8% contribution to the future variation to REITs. Therefore, based on the results in our analysis, when it comes to reallocating portfolios, we will recommend investors to take action preferably within 8 days from the first day of stock price collapse before the vanish of effects, assisting investors to diversify and hedge during the systematic crisis period.

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