股票市

发布时间：2018-06-22 22:13

本文选题：股票市场 + 黄金市场　；参考：《山东大学》2017年硕士论文

【摘要】：黄金加入到股票等投资品中形成的资产组合会降低整个资产组合的风险,也就是说黄金对股票起到对冲风险的作用,因此黄金作为投资品已被人广泛地关注。金融危机时,投资者希望寻找能够规避股票市场崩盘风险的其他的投资品,贵金属黄金这样的实物资产便受到投资者的青睐。在股票市场极端波动的情况下黄金是否仍然起到规避风险的作用日益引起人们的重视。由于除了黄金之外,石油也是投资者经常考虑的投资品,且石油市场的收益及其冲击可能会对股票市场和黄金市场造成影响。且要想考察股票市场自身的冲击对黄金市场收益的影响以及股票市场自身冲击和黄金市场收益的分位数之间的相互关系,就必须考虑剔除影响到股票市场收益的石油市场冲击这一因素。所以本文分两步讨论在极端市场条件下股票市场对黄金市场的影响,第一步用SVAR的方法剥离石油市场对股票市场冲击,找出股票市场自身的冲击,第二步在控制上一期黄金市场收益、美元价格和债券收益的基础上,对黄金市场收益和股票市场自身的冲击进行非参数局部线性分位数回归,观测股票市场冲击的分位数对黄金市场的分位数的影响。通过对1980年1月至2016年11月这36年的数据分析可知,黄金市场收益和股票市场收益的相关系数很低,黄金对股票可以起到在不降低期望收益的基础上降低股票组合的风险的作用。此外,黄金市场和股票市场长期的负相关关系说明黄金可以对股票起到对冲风险的作用。通过第一步SVAR剔除石油市场对股票市场的冲击后,股票市场自身冲击对黄金市场收益的相关系数小于未剔除石油市场冲击时股票市场和黄金市场的相关系数,这体现了第一步SVAR的必要性。通过SVAR剔除石油市场对股票市场的冲击后,对股票市场自身冲击和黄金市场收益进行非参数回归和半参数回归发现,股票市场自身的负向冲击导致黄金市场的收益增加,股票市场自身的正向冲击导致黄金市场的收益减少。因此黄金对股票起到对冲风险的作用,且在股票市场极端波动的情况下,黄金是股票的避险产品。采取分位数在分位数上的回归之前,考虑进行分位数回归,观察股票市场自身的冲击对黄金市场收益的影响发现,黄金市场不同行情下,股票市场的冲击对黄金市场的影响不同。再通过对黄金市场收益和股票市场自身冲击进行分位数在分位数上的回归发现:当黄金市场低迷时,股票市场牛市的表现会使得黄金市场更加低迷;当黄金市场利好,股票市场熊市会加剧黄金市场牛市。此外正向的股票市场冲击会显著影响黄金市场的收益,而股票市场冲击为负时,股票市场的冲击对黄金市场无显著影响,即股票市场的冲击对黄金市场的影响是不对称的。
[Abstract]:The portfolio formed by the addition of gold to stocks and other investments will reduce the risk of the whole portfolio, that is, gold acts as a hedge against the risk of stocks, so gold as an investment product has been widely concerned. During the financial crisis, when investors were looking for other investments to hedge against the risk of a crash in the stock market, physical assets such as precious metal gold were favored by investors. In the stock market, whether gold still plays a risk-averse role has attracted more and more attention. In addition to gold, oil is an investment that investors often consider, and earnings and its impact on the oil market could have an impact on the stock market and the gold market. In order to investigate the impact of the stock market itself on the gold market returns and the correlation between the stock market impact and the quantiles of the gold market returns, You must take into account the impact of oil market shocks that affect stock market yields. Therefore, this paper discusses the impact of stock market on gold market in two steps under extreme market conditions. The first step is to separate the oil market from the impact of the oil market on the stock market and find out the impact of the stock market itself. The second step is based on controlling the gold market yield, the dollar price and the bond yield in the last period, the non-parametric local linear quantile regression of the gold market yield and the impact of the stock market itself is carried out. The effect of the quartile of stock market shock on the quantile of gold market was observed. By analyzing the data from January 1980 to November 2016, we can see that the correlation coefficient between gold market returns and stock market returns is very low. Gold can play a role in reducing the risk of stock portfolio without reducing the expected return. In addition, the negative correlation between gold market and stock market shows that gold can hedge stock risk. Through the first step SVAR removes the impact of oil market on the stock market, the correlation coefficient of stock market self-impact on gold market income is smaller than that of stock market and gold market when oil market shock is not excluded. This reflects the necessity of the first step SVAR. Through SVAR excluding the impact of oil market on the stock market, the non-parametric regression and semi-parametric regression of stock market self-impact and gold market income are carried out. It is found that the negative impact of stock market itself leads to the increase of gold market income. The positive impact of the stock market itself has led to a decline in returns in the gold market. Therefore, gold acts as a hedge against stocks, and gold is a safe haven for stocks in the event of extreme volatility in the stock market. Before the quantile regression, we consider the quantile regression, and observe the impact of the stock market on the gold market returns. The impact of the stock market on the gold market is different. Then through the return of the gold market income and the impact of the stock market itself, we find that when the gold market is depressed, the stock market bull market performance will make the gold market more depressed; when the gold market is good, The bear market in the stock market will exacerbate the bullish gold market. In addition, the positive impact of the stock market will significantly affect the return of the gold market, but when the impact of the stock market is negative, the impact of the stock market on the gold market is not significant, that is, the impact of the stock market on the gold market is asymmetric.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F832.54

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