中国黄金现货投资收益率波动性研究

发布时间：2018-03-20 01:30

本文选题：黄金现货　切入点：影响因素　出处：《天津师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融危机爆发距今已将近五年,全球各大发达国家正在从衰退、萧条的巨大阴影之中慢慢地摆脱出来。然而多数国家经济体发展步伐缓慢,而且不时地出现反复状况,例如：欧洲债务危机,美国高企不下的失业率,不断恶化的中东北非政治局势,不断上涨的石油价格等等。这一系列负面因素影响使得多数投资者对全球未来经济预期持悲观念度,选择一种既能抵御风险又能实现资产保值增值的投资工具,成为投资者争相追求的目标,而黄金恰恰能满足人们的需求。黄金现货投资收益率的波动取决于黄金现货价格的变化。而黄金现货价格的变化要受到多方面因素的影响,本篇论文将从世界黄金市场的供给、需求、汇率、原油价格、地缘政治、大宗商品价格等诸多方面对其做了定性分析,以求投资者能够更加全面的掌握黄金价格影响因素。为了让投资者更加直观的认识黄金现货,本文主要选取了黄金现货(T+D)作为研究对象,运用GARCH族模型来分析其市场投资收益率波动性随时间变化的特征。通过分析,得出黄金现货投资收益率序列是一个平稳的时间序列,其波动并不具有正态分布的特征,而是呈现一个“尖峰厚尾”的分布形态。而且这一分布形态存在显著的波动聚集性,在图形中表现为：一系列大波动之后会紧跟着一波大的波动；同时,一系列小波动之后常常紧随着一波相对较小的波动。对于这一特征,本文通过ARCH-LM检验作了进一步的验证。同时,通过GARCH(1,1)模型的拟合结果可知外部信息冲击会对黄金投资收益率产生较长时间的影响；由TGARCH模型数据结果表明利好消息对黄金现货AU (T+D)日收益率波动影响要大于利坏消息。同等状况之下,利好消息带动黄金价格上涨幅度要比利坏消息所带动黄金价格下降幅度大得多；EGARCH模型结果表明,黄金现货AU(T+D)日收益率波动存在杠杆效应。总之,全面掌握黄金现货的这些特征对于投资者具有重要的指导意义。
[Abstract]:Nearly five years after the outbreak of the financial crisis, the world's largest developed countries are slowly emerging from the great shadow of recession and depression. However, the pace of development of most national economies has been slow and repeated from time to time. For example, the European debt crisis, the high unemployment rate in the United States, the worsening political situation in the Middle East and North Africa, Rising oil prices and so on. These negative factors have led most investors to take a sad view of the global economic future, choosing an investment tool that can resist risks and maintain and increase the value of assets. As investors scramble to pursue the goal, and gold just can meet people's needs. The fluctuation of the return on gold spot investment depends on the change of gold spot price. The change of gold spot price is affected by many factors. This paper will analyze the supply, demand, exchange rate and crude oil price of the world gold market. Geopolitics, commodity prices and many other aspects of its qualitative analysis, so that investors can more comprehensive understanding of the factors affecting gold prices. In order to make investors know gold spot more intuitively, this paper mainly selects the gold spot T D) as the research object, uses the GARCH family model to analyze its market investment return volatility change characteristic with time. It is concluded that the gold spot investment return series is a stable time series, its fluctuation does not have the normal distribution characteristic, but presents a "peak thick tail" distribution form. In graphics, a series of large fluctuations followed by a large wave, and a series of small fluctuations often followed by a relatively small wave. This paper makes further verification by ARCH-LM test. At the same time, through the fitting results of the model, it can be seen that the external information shock will have a long time effect on the gold investment return rate. The results of TGARCH model show that the effect of good news on gold spot AU T D yield fluctuation is greater than that on bad news. Good news drives gold prices up much more than Billy bad news leads to a much larger decline in gold prices. The results of the EGARCH model show that there is a leverage effect in gold spot AU(T D) daily yield volatility. Fully grasp these characteristics of gold spot for investors to have an important guiding significance.
【学位授予单位】：天津师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.54;F224

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