本文關(guān)鍵詞： 上海黃金市場 上證綜指 VAR模型 EGARCH模型 波動與收益　出處：《西北農(nóng)林科技大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：與發(fā)達國家相比，我國黃金市場發(fā)展起步較晚，股票市場發(fā)展還不夠成熟。然而，這兩個市場卻是金融系統(tǒng)的重要組成部分。金融時報專欄作家的最新撰文稱黃金可能與新興市場股票走勢存在關(guān)聯(lián)。就在2013年4月中旬，金價遭遇了30年來最大日跌幅，而同為投資領(lǐng)域的股票市場確是另外一番景象。因此，對這兩個市場之間關(guān)系的研究，尤其是收益和波動在我國黃金市場與股票市場的之間是否存在傳導(dǎo)效應(yīng)，以及它們之間的影響程度與作用方向如何。對于今后投資者選擇資產(chǎn)組合，預(yù)測股票或黃金市場走勢具有重要作用。 根據(jù)以往研究文獻，對黃金價格的研究大多集中于其影響因素的實證分析上，其中又以分析美元匯率對國際黃金價格的影響居多。而單獨對黃金與股票市場間關(guān)系進行的研究很少，因此，本文希望通過結(jié)合我國新興市場的特點，以上海黃金交易所現(xiàn)貨黃金日收益率作為我國黃金市場收益的代理變量，以上證綜指日收益率作為我國股票市場收益的代理變量，來考察這兩個市場間的收益與波動關(guān)系。為以后的投資者配置投資資金，判斷資產(chǎn)價格走勢提供實證依據(jù)和參考。 首先，本文分別概述了我國黃金價格與股票指數(shù)的影響因素，以及兩個市場收益之間相互作用的理論基礎(chǔ)，即資產(chǎn)的收益溢出效應(yīng)與收益替代效應(yīng)。其次，文章對我國黃金市場與股票市場的發(fā)展做了簡要回顧，并在此基礎(chǔ)上，分析了研究時間跨度內(nèi)我國金價與上證綜指的相關(guān)性與走勢。其中走勢圖顯示，兩變量之間既存在變化的復(fù)雜性，又表現(xiàn)出一定的規(guī)律性。接下來，文章就借助計量經(jīng)濟模型與統(tǒng)計方法對其進行深入的量化研究。 在實證研究方面，文章分為兩個部分，一是收益關(guān)系研究，主要對數(shù)據(jù)進行了平穩(wěn)性檢驗，格蘭杰因果關(guān)系檢驗，VAR模型估計，脈沖響應(yīng)分析，從而研究變量間的相互作用。二是波動關(guān)系研究，主要運用EGARCH模型對原變量提取波動性指標(biāo)，然后將新變量再引入VAR模型，考察變量間的波動關(guān)系。 VAR模型統(tǒng)計結(jié)果顯示，上海黃金日收益率與上證綜指日收益率之間存在單邊的收益溢出效應(yīng)，且上證綜指日收益率為作用的主導(dǎo)方。與國際市場情況不同，國內(nèi)兩市場間無收益替代效應(yīng)。EGARCH模型檢驗結(jié)果表明，二者間有單邊波動替代效應(yīng)，，其主導(dǎo)方也為股指收益率。最后，本文對實證結(jié)果存在的原因進行分析，并提出政策建議。
[Abstract]:Compared with the developed countries, China's gold market started relatively late, and the stock market was not mature enough. The two markets are an important part of the financial system. The Financial Times columnist's latest article says gold may be linked to emerging market equities. In middle of April 2013, gold suffered its biggest daily decline in 30 years. Therefore, the study of the relationship between the two markets, especially whether there is a conductive effect between the gold market and the stock market, It is important for investors to choose the asset portfolio and forecast the trend of the stock or gold market in the future. According to the previous research literature, the research on gold price is mostly focused on the empirical analysis of its influencing factors. Among them, the analysis of the influence of US dollar exchange rate on the international gold price is the most. However, there is little research on the relationship between gold and stock market alone. Therefore, this paper hopes to combine the characteristics of China's emerging markets. Taking the spot gold daily yield of Shanghai Gold Exchange as the proxy variable of China's gold market return, and the Shanghai Composite Index's daily return rate as the proxy variable of China's stock market return, To examine the relationship between the return and volatility of these two markets, to provide an empirical basis and reference for future investors to allocate investment funds and judge the trend of asset prices. First of all, this paper summarizes the influence factors of gold price and stock index, and the theoretical basis of the interaction between the two market returns, namely, the asset income spillover effect and the income substitution effect. This paper briefly reviews the development of gold market and stock market in China, and on this basis, analyzes the correlation and trend of gold price and Shanghai Composite Index in the time span of study. There is both complexity and regularity between the two variables. Next, this paper makes a deep quantitative study on them with the help of econometric models and statistical methods. In the empirical research, the paper is divided into two parts. One is the income relationship research, which mainly carries on the stationary test, the Granger causality test and the VAR model estimation, the impulse response analysis, the Granger causality test and the impulse response analysis. In order to study the interaction between variables, the second is the study of volatility relationship, mainly using EGARCH model to extract the volatility index of the original variable, and then introducing the new variable into the VAR model to investigate the volatility relationship between variables. The statistical results of VAR model show that there is a unilateral income spillover effect between Shanghai Golden Daily yield and Shanghai Composite Index, and the daily yield of Shanghai Composite Index plays a leading role. The results of EGARCH model test show that there is a one-sided volatility substitution effect between the two markets, and the dominant party is also the stock index yield. Finally, this paper analyzes the reasons of the empirical results and puts forward some policy recommendations.
【學(xué)位授予單位】：西北農(nóng)林科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.54;F832.51;F224

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本文編號：1538170