中美股市与黄金价格的波动关系研究

发布时间：2018-03-27 17:46

本文选题：股票市场　切入点：黄金市场　出处：《苏州大学》2014年硕士论文

【摘要】：中国股票市场形成于上世纪90年代，是一个新兴的市场，经过了二十余年的发展，沪、深两市快速壮大并且已经成为世界上重要的股票市场之一。伴随着全球经济一体化和金融一体化的深入，不同金融市场之间的相关性在不断增强，一个金融市场的价格和波动不仅受到内部因素的影响，还受到其他市场波动的影响，即不同市场之间存在着波动溢出效应。2008年爆发的金融危机席卷了全球的资本市场并对实体经济造成了巨大的冲击，，这场危机由美国华尔街开始逐步蔓延至世界各地，人们为了避险，纷纷抛售各类资产，当年美国、中国、德国、香港、日本等世界各大主要股票市场均出现40%的下跌，金融市场弥漫恐慌，同时房地产泡沫破裂，大宗商品价格暴跌，世界经济出现负增长。在人们担忧世界经济的前景之时，我们看到黄金却一路高歌猛进，扶摇直上。现代金融市场中，股票与黄金是两种重要的投资品种，两者的波动性也是学术界所关注的焦点。本文选取了2003年1月2日至2013年12月31日这11年期间的上海证券综合指数和美国标准普尔500指数作为中、美股市的代表，上海黄金交易所Au9999价格指数和纽约COMEX黄金作为中、美黄金市场的代表，通过平稳性检验、自相关性检验、ARCH效应检验等计量方法拟合股票与黄金市场的GARCH模型，然后分别进行了非对称性分析、股票与黄金市场的相关性分析，发现相较于美国而言，我国股票与黄金市场的相关性较低，联动性不高，溢出效应不明显。
[Abstract]:China's stock market was formed in the 1990s. It is a new market. After more than 20 years of development, Shanghai, Shenzhen and Shenzhen have grown rapidly and become one of the most important stock markets in the world. With the deepening of global economic and financial integration, the correlation between different financial markets is increasing. The price and volatility of one financial market is affected not only by internal factors, but also by fluctuations in other markets. The financial crisis that broke out in 2008 engulfed the global capital markets and had a huge impact on the real economy. The crisis began to spread from Wall Street in the United States to various parts of the world. In order to avoid risk, people sold off all kinds of assets. In those years, the major stock markets of the United States, China, Germany, Hong Kong, Japan and other major world stock markets all fell by 40%, the financial markets were filled with panic, and the real estate bubble burst. Commodity prices have plummeted and the world economy has experienced negative growth. While people are worried about the prospects of the world economy, we have seen gold soar all the way up. In modern financial markets, stocks and gold are two important types of investment. The volatility of both is also the focus of academic attention. This paper selects the Shanghai Securities Composite Index and the S & P 500 Index for the 11-year period from January 2, 2003 to December 31, 2013 as the representative of the US stock market, the Au9999 price index of the Shanghai Gold Exchange and COMEX Gold in New York. The representatives of US gold market fit the GARCH model of stock and gold market by means of stationary test, autocorrelation test and arch effect test, and then carry out asymmetric analysis and correlation analysis of stock and gold market, respectively. Compared with the United States, the correlation between China's stock and gold market is low, the linkage is not high, and the spillover effect is not obvious.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F837.12

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