黄金市场与石油市场收益率波动溢出效应研究

发布时间：2018-05-31 01:11

本文选题：金融市场波动溢出效应 + AGGB检验方法(ARCH效应　；参考：《陕西师范大学》2012年硕士论文

【摘要】：黄金和石油在人类历史发展进程中起着十分重要的作用,都是宏观经济的重要指标。目前,黄金这个新兴投资市场正在迅速膨胀,趋势良好,前景广阔,个人炒金业务也不断发展,黄金投资正成为一个越来越热门的话题,成为广大投资者关注的理财热点。同时,随着经济全球化的发展,金融市场中的各个市场之间的波动联系也越来越紧密,尤其在大宗商品市场,黄金和石油的收益和风险特征普受国内外学者的关注和重视。“原油价格上涨则黄金上涨,原油价格下跌则黄金价格下跌”,这一规律己经被普遍应用,但究竟真实与否,还值得深入探讨。国内外大量学者对金价和油价波动进行了分析与预测,但是一方面大部分是从经济学理论单纯的基本面情况进行定性分析,缺乏对两市价格波动性特征及波动溢出效应进行系统的联立比较分析,另一方面即使是实证研究,因为所选样本不同、样本时间跨度差异以及所选方法的不同而得出的结论也各有差异,而且现有文献更多的是证明不同市场波动溢出效应的存在情况,没有分析其波动溢出效应之间的理论解释和深层原因。因此本文首先从现代金融学和行为金融学等理论着手先对黄金市场和石油市场之间可能存在的波动溢出效应进行理论解释,探讨两市之间的波动溢出是如何进行的,然后选取2002年12月2日到2011年9月30日之间黄金价格和石油价格的日数据,对黄金市场和石油市场收益率的波动溢出效应进行研究,验证上述规律的真实性,同时期望能够给广大相关投资者和决策人提供帮助。本文在总结国内外相关研究的基础上,采用Eviews6.0软件,建立相应的ARCH族模型和BEKK模型,并进行Granger因果关系检验,对黄金市场和石油市场价格收益率的波动性、波动的非对称性及其波动溢出效应进行实证分析。结果表明：两市均具有显著的方差时变性及新消息对波动冲击的持续性；GARCH(1.1)模型能够很好地消除其ARCH效应；两市均存在明显的非对称性,不同的是石油市场中利空消息引起的波动比同等利好消息引起的波动要大,而黄金市场相反；两市具有一定的相关性,只是价格相关系数大于收益率相关系数,两市中只有石油市场收益率是黄金市场收益率的Granger原因,反之不是,最重要的是两市只存在从石油市场到黄金市场的单向波动溢出效应。论文的特色及创新之处表现在以下两个方面,其一是在目前高通胀、存款实际负利率的背景下,投资者越来越关心货币的保值,对于贵金属和原油等大宗商品的投资日渐升温,反映在黄金、石油市场上即为其价格的波动性加剧,本文着眼于探究黄金和石油收益率波动的相互关系,选题有现实性；其二是样本数据的时效性,文中利用了截止到2011年9月30日的最新数据,全面地揭示了黄金市场和石油市场收益的波动性、波动的非对称性及其波动溢出效应等问题,研究结果对该领域投资者的相关投资及决策人的决策制定具有重要的参考价值。
[Abstract]:Gold and oil play a very important role in the process of human history development , which is an important indicator of macro - economy . At present , the emerging investment market of gold is rapidly expanding , the trend is good , the prospect is broad , and the investment of gold is becoming more and more closely related . At the same time , with the development of economic globalization , the fluctuation of gold price and oil price is more and more closely related .

On the basis of summarizing the relevant researches at home and abroad , this paper uses the software of Eviews6.0 to establish the corresponding ARCH model and BEKK model , and makes an empirical analysis on the volatility , volatility and volatility of the price returns in the gold market and the oil market .
The ARCH effect of ARCH model can be eliminated well .
There are obvious asymmetry in the two cities , except that the fluctuation caused by the free news in the petroleum market is bigger than that caused by the same good news , and the gold market is the opposite ;
There is a certain correlation between the two cities , but the price correlation coefficient is higher than the yield coefficient . Only the oil market rate of return in the two cities is the causality of the return of the gold market , otherwise , the most important is that there are only one - way fluctuation spillover effect from the oil market to the gold market .

In the background of high inflation and real negative interest rate of deposit , investors are increasingly concerned with the value of money , and the investment of commodities such as precious metals and crude oil is rising gradually , which is reflected in the increase of volatility of the price of precious metals and crude oil .
Second , the timeliness of sample data is used , and the latest data as of September 30 , 2011 is used to reveal the volatility , asymmetry and volatility spillover effects of gold market and oil market earnings , and the research results have important reference value to the investors ' relevant investment and decision - making in the field .
【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】：F831.54;F416.22;F224

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