关于贵金属投资对股票市场风险规避功能的研究

发布时间：2018-05-26 06:15

本文选题：因果关系检验 + Hong检验方法　；参考：《华中科技大学》2012年硕士论文

【摘要】：本文对股票收益与黄金收益的期望之间，股票收益与白银收益的期望之间，股票收益与黄金收益的方差之间以及股票收益与白银收益的方差之间的关系进行发现和研究，试图阐明贵金属投资的特性及其所扮演保值、规避风险的角色，特别是在金融危机的背景下它所具有的避险功能，希望借此可以为风险对冲者、风险规避者、投资者和投机者进行投资决策时，提供富有洞察力的投资信息及投资指导。本文利用了Hong检验等方法对股票收益以及贵金属收益之间的关系进行了详尽地研究。研究发现金融危机的发生确实改变了股票市场与黄金市场之间的关系，也确实改变了股票市场与白银市场之间的关系，但是股票市场与白银市场之间关系的变化没有股票市场与黄金市场之间关系的变化大，，这可能与我国白银投资市场并未发展完全有关，也可能是与投资者对白银投资未能熟知并掌握有关。长期而言，黄金投资规避股票市场风险的性能比白银投资好，而在中短期，对白银投资比较了解，认为可以在该市场进行操作的投资者可以选择白银投资来规避股票市场的风险，并有可能获得比黄金投资还要可观的收益。
[Abstract]:This paper explores the relationship between stock returns and gold returns, stock returns and silver returns, stock returns and gold returns, and the relationship between stock returns and silver returns. This paper attempts to clarify the characteristics of precious metal investment and its role in hedging and risk aversion, especially in the context of the financial crisis, in the hope that it can be used as a hedge against risk and risk aversion. Investors and speculators provide insightful investment information and investment guidance when making investment decisions. In this paper, the relationship between stock returns and precious metal returns is studied in detail by means of Hong test. The study found that the financial crisis did change the relationship between the stock market and the gold market, as well as the relationship between the stock market and the silver market. However, the change in the relationship between the stock market and the silver market is not as great as the relationship between the stock market and the gold market, which may have something to do with the fact that the silver investment market in China has not completely developed. It may also be related to investors' failure to know and master silver investments. In the long run, gold investment has better performance than silver investment in avoiding stock market risks, while in the medium and short term, silver investment is better understood. Investors who believe that they can operate in the market can choose silver to hedge against the risk of the stock market and may earn more than gold.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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