关于贵金属市场收益杠杆波动以及溢出效应的实证分析

发布时间：2018-01-06 09:12

本文关键词：关于贵金属市场收益杠杆波动以及溢出效应的实证分析　出处：《兰州大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着各国经济的复苏,各国金融市场的开放程度不断加大,一个金融市场的波动会引起另一个或者多个金融市场的波动,波动溢出效应指的就是金融市场间的波动存在一定的传递效果,互相影响。本文首先采用金融波动模型SV模型族对整个时期的黄金与白银收益率建模,通过模型参数的估计结果对模型族进行比较分析；其次,对于在整个时期没有杠杆效应以及微弱杠杆效应的黄金和白银收益序列进行分段研究；最后,运用杠杆SV模型与阿基米德Copula函数结合,对我国股市与贵金属市场之间以及贵金属市场内部的波动溢出进行实证分析,得到以下结论：黄金市场不存在杠杆效应,白银市场存在较弱的杠杆效应。分时段基于杠杆SV建模,得到黄金市场在盘整期存在杠杆效应,而白银市场在盘整期和上涨期均存在杠杆效应,且上涨期杠杆效应更为明显。白银市场较黄金市场的波动性更高,风险更大,白银比较适合高风险高收益的投资者,风险偏好型投资者在选取白银等金融工具时可以赚取更大收益。萧条期、盘整期与上涨期,黄金与白银的上尾相关性明显逐渐增强。萧条期的上尾相关性分析表明,股市对于黄金市场的波动溢出现象不太明显；在贵金属的盘整期,股市与贵金属市场之间的波动溢出现象比较明显,外部的波动与贵金属市场内部的波动保持一致；在贵金属的上涨期,贵金属市场内部的波动联动性大大超过了外部对其的波动溢出。下尾相关性程度上明显小于上尾相关性,且在萧条期、盘整期、上涨期呈不断增长状况。萧条期,沪深300与贵金属的下尾相关系数是0,也就是下尾独立没有相关性,且其他期的下尾相关系数较同期黄金与白银的下尾相关系数要小。沪深300与白银市场之间的尾部相关性与沪深300与黄金市场之间的尾部相关性基本一致,不同的是前者比后者的相关程度小,这与白银市场较黄金市场波动性更大的结论是相符的。
[Abstract]:Along with the economic recovery, openness of financial markets continue to increase, a financial market volatility will cause another or more financial market volatility, the volatility spillover effect refers to the financial market volatility has transfer effect, a certain influence each other. This paper uses the financial volatility models SV models for the whole period of the gold and Silver yield modeling, the model parameters are estimated by using the results of the models were compared and analyzed; secondly, the gold and silver returns no leverage effect and weak leverage effect in the whole period of study at last, using a combination of piecewise; leverage SV model and Archimedes Copula function, to carry on the empirical analysis between me in the stock market and precious metals and precious metals market volatility spillover, obtained the following conclusions:
There is no leverage effect in the gold market, the silver market leverage effect is relatively weak. Time based on lever SV modeling, get the gold market leverage effect exists in the period of consolidation, and the silver market in the consolidation period and rise period have lever effect, and the rise of the leverage effect is more obvious. The volatility of the silver market than the gold market more and more risk, the silver is suitable for investors with high risk and high income, risk preferences of investors can earn more profits in the selection of silver and other financial tools.
The recession, consolidation and the rise period, gold and silver on the tail dependence significantly increased. Analysis of the slump in the upper tail dependence shows that the volatility spillover phenomenon for the gold market in the stock market is not obvious; in the precious metals consolidation period, between the stock market and the precious metals market volatility overflow phenomenon is quite obvious, external the internal fluctuations and precious metals markets remain the same; in the precious metals rose period, fluctuation linkage of the precious metals market greatly exceeds the external on the volatility spillover.
The lower tail correlation degree is significantly less than the upper tail dependence, and during the recession, the consolidation period, rising period is growing. The recession, 0 is the lower tail dependence of Shanghai and Shenzhen 300 and precious metals, which is under the tail independent no correlation, and the lower tail correlation coefficient than other period under the tail correlation coefficient with during the period of gold and silver to be small.
The tail correlation between Shanghai and Shenzhen 300 and silver market is basically the same with the tail dependence between Shanghai and Shenzhen 300 and gold market. The difference is that the correlation between the former and the latter is relatively small, which is consistent with the conclusion that the silver market is more volatile than the gold market.

【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F830.94

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