中国股票市场与黄金市场波动性研究

发布时间：2018-03-02 19:39

本文选题：股票市场　切入点：黄金市场　出处：《陕西师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：在中国金融市场不断发展的过程中,多层次市场与投资品种多样化是实现我国金融市场规模化和效率化的重要手段。2008年金融危机过后,我国股市从单边下跌到现在的疲软整理,投资者投资股票的信心受到重挫,人们纷纷撤出资金寻求其他的投资热点。在股票市场风险不断加大、通货膨胀居高不下、美国长期主权信用评级被迫降级、欧债危机悬而未决的今天,我们看到黄金价格高歌猛进,历史最高纪录在短时间内不断被刷新,黄金作为“避风港”在财富储存和金融投资中发挥越来越大的作用。股票市场和黄金市场是我国金融市场的有机组成部分,作为两种重要的投资产品,股票与黄金的收益和风险是广大投资者关注的焦点,股票市场和黄金市场的波动性也成为研究的热点之一。本论文以2002年11月1日至2011年11月1日上证综指的日收盘价和黄金市场Au9999的日收盘价为样本数据,以股权分置改革初步完成和股市行情的转折为参考原则确定分界点,将样本数据分成两部分,样本数据在2002年11月1日至2007年10月16日为时段1,样本数据在2007年10月17日至2011年11月1日为时段2。论文首先定性分析了中国股票市场与黄金市场的发展状况以及两市波动的共同影响因素,并从理论上对两市收益率波动的聚集性、非对称性以及溢出效应三个特征进行了探讨,然后重点通过GARCH族类模型分时段定量研究了两市场收益率波动的三个特征。研究结果表明： (1)股票市场与黄金市场的日收益率序列不服从正态分布,呈现尖峰厚尾特征；且都存在显著的ARCH效应,收益率的波动具有明显的聚集性。 (2)中国股票市场比黄金市场波动要大,股票市场在时段1具有正的均值收益,而在时段2具有负的均值收益；黄金市场在时段1和2均具有正的收益,且黄金市场整个样本期内日均收益要比股票市场高。 (3)非线性GARCH模型比线性ARMA模型能够较好地拟合股票市场和黄金市场表现出的波动聚集性,同时具有相对良好的统计性质。 (4)GARCH(1,1)模型能很好地消除两市收益率的条件异方差性,方差方程中的ARCH项和GARCH项的系数之和接近1,表明冲击对条件方差的影响具有很强的持续性；并且,股票市场方差方程中的ARCH项和GARCH项的系数之和大于黄金市场二者的系数之和,说明我国股市受到的冲击持续性更长。 (5)不同时段股票市场的波动非对称性并不一致,时段1内股票市场不存在显著的“杠杆效应”,时段2及整个样本期内股票市场存在显著的“杠杆效应”；黄金市场在每个样本期内都存在显著的“杠杆效应”,但与股票市场不同的是,好消息引起的波动大于坏消息引起的波动。 (6)时段1股票市场和黄金市场之间不存在波动溢出效应,时段2及整个样本期内股票市场和黄金市场之间存在波动溢出效应,但溢出效应是单向不对称的,黄金市场的波动能够引起股票市场的波动,而股票市场的波动不能引起黄金市场的波动。本论文研究的特色与创新之处如下： (1)研究了股票市场与黄金市场之间波动的溢出效应。尽管国内外学者对股票市场及黄金市场各自的波动性及它们与其他市场的波动溢出效应进行了研究,然而,目前国内还没有学者研究股票市场与黄金市场之间波动的溢出效应。 (2)通过与线性模型ARMA的比较,进一步验证了GARCH族模型的优势,增加了实证研究结果的可信度。同时,在使用模型进行实证研究的过程中指出了一些可能出现错误的地方,为以后使用GARCH族模型进行实证研究提供了参考。 (3)对比研究了股票市场与黄金市场波动非对称效应的异同。首先从理论上探讨了非对称性的原因,然后进一步对比研究了股票市场与黄金市场波动非对称效应的异同,目前国内还没有对比研究股票市场与黄金市场波动的非对称效应异同的文献。 (4)对不同经济背景下股票市场与黄金市场收益率波动性进行了比较分析。2007年10月16日后,股票市场由大牛市进入熊市,同时中国股权分置改革初步完成,金融危机处于蛰伏期,本论文基于股票市场的牛市与熊市两个不同行情将样本区间进行划分,采用分时段的方法进行了对比研究,有利于挖掘不同行情波动性的不同特征。
[Abstract]:In the development process of Chinese financial market, multi-level market and investment diversification is an important means to realize the.2008 of China's financial market scale and efficiency of the financial crisis, China's stock market fell to weak consolidation from the unilateral now, investor confidence in stocks fell, people have to draw funds for investment the other. In the stock market risk increasing, high inflation, the U.S. long-term sovereign credit rating was downgraded, the European debt crisis in suspense today, we see that the price of gold into the historical record to sing fierce, constantly being refreshed in a short period of time, gold as a "safe haven" will play a more important role in the storage of wealth and financial the investment in the stock market and gold market is an integral part of China's financial market, as two of the most important investment products, stock and yellow The profits and risks of gold are the focus of the investors, and the volatility of the stock market and the gold market has become one of the hotspots of the research.
The closing price of the Shanghai Composite Index from November 1, 2002 to November 1, 2011 closing price of gold market and Au9999 as sample data, to complete the preliminary reform of non tradable shares and the stock market as a reference turning principle to determine the cut-off point, the sample data will be divided into two parts, the data in November 1, 2002 to October 16, 2007 for the 1 time, the sample data in the from October 17, 2007 to November 1, 2011 and analyzes the factors Chinese development of stock market and gold market and affected two markets for 2. time first, qualitative, aggregation and from the theory of two, volatility, asymmetry and spillover effects of the three characteristics are discussed, and then focuses on the three characteristics of GARCH species the model quantitatively studied two market volatility. The results show that:
(1) the daily returns series of stock market and gold market do not obey normal distribution. They show the characteristics of peak and thick tail. They all have significant ARCH effect, and the volatility of returns has obvious clustering.
(2) Chinese stock market is bigger than the gold market volatility, the stock market in the period of the 1 has a positive mean income, while in the 2 periods with negative mean earnings; the gold market in the period 1 and 2 had positive earnings, and the gold market in the whole sample period the average daily income than the stock market.
(3) the nonlinear GARCH model can better fit the volatility aggregation of the stock market and the gold market than the linear ARMA model, and has a relatively good statistical property at the same time.
(4) GARCH (1,1) model can eliminate the two rate of return conditional heteroskedasticity, the conditional variance equation of coefficient ARCH and GARCH of close to 1, shows that the impact on the conditional variance is persistent; and, the stock market is greater than the variance equation coefficient ARCH and GARCH of the gold market and the two coefficient and illustrate the impact of China's stock market continued longer.
(5) in different periods of stock market volatility asymmetry in the 1 periods are not the same, the stock market does not exist significant "leverage effect", and 2 during the entire sample period of stock market has significant "leverage effect"; the gold market in each sample period has the significant "leverage effect", but different and the stock market is good news, the fluctuation is greater than the bad news caused by fluctuations.
(6) there is no volatility spillover effect between the 1 periods of the stock market and gold market, volatility spillover effect exists between the 2 period and during the whole sample period, the stock market and gold market, but the spillover effect is one-way asymmetric, the gold market volatility can cause a wave of stock market, and stock market fluctuation caused by the gold market the fluctuation.
The characteristics and innovations of this paper are as follows:
(1) study the volatility spillover effect between the stock market and gold market. Despite the volatility spillover effect of volatility of domestic and foreign scholars on the stock market and gold market and their respective and other markets are studied, however, there is no volatility spillover effect between the field and the gold market, the domestic scholars study the stock.
(2) compared with the linear model of ARMA, further validation of the GARCH model's advantages, increase the credibility of the results of empirical research. At the same time, in the process of using the model for empirical research points out some error prone areas, for later use GARCH model for empirical research to provide a reference.
(3) comparison of the asymmetric effect of stock market and gold market volatility. First theoretically discusses the reasons of non symmetry, and then further comparative study of the similarities and differences of the asymmetric effect of stock market and gold market volatility, and asymmetric effect there is no comparative study of the stock market and gold market volatility in China the literature.
(4) on the stock market and gold market volatility in different economic background compared.2007 years after October 16th, the stock market entered a bear market by the bull market, at the same time Chinese share reform completed, the financial crisis in the dormant period, based on the bull market and bear market prices will be two different samples the interval division method, the time to compare, is conducive to the different characteristics of different mining market volatility.

【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51;F832.54

【参考文献】