中国黄金现货市场收益率日历效应的实证分析

发布时间：2018-05-20 22:18

本文选题：黄金现货市场 + 日历效应　；参考：《华侨大学》2014年硕士论文

【摘要】：在完全有效市场中，金融资产的价格能够完全反映所有的信息因素，任何投资者不能利用过去的信息、现在披露的信息和内幕信息获得额外的收益。有效市场假说成为现代金融理论的重要支柱之一。但随着研究的深入开展，有效市场理论越来越多的受到各种市场异象的挑战。其中，日历效应就是一个比较重要的市场异象。先前对日历效应的研究主要集中在股票市场，对黄金现货市场的日历效应较少的关注。本文选取上海黄金交易所黄金现货2002年到2012年的交易数据，进行日历效应的实证研究。实证检验了黄金现货收益率的“周内效应”、“月份效应”和“节日效应”。通过实证证实了中国黄金现货市场收益率存在日历效应。在实证检验中我们发现中国黄金现货市场收益率存在显著的正的“周一效应”和“周四效应”；正的“国庆节后效应”、“春节后效应”和负的“国庆节前效应”，正的“八月效应”、“九月效应”、“十一月效应”和“二月效应”。通过实证验证中国黄金现货市场存在较为显著的日历效应。由此认为，中国黄金现货市场效率不高，并未达到真正的弱式有效阶段，中国黄金现货市场的有效性有待提高。本文从实证检验的结论出发，为投资者提出了一些投资建议，并试图对实证结论进行成因解释。之后针对中国黄金现货市场并没有达到真正的弱式有效性这一问题，本文提出了完善我国黄金现货市场，，提高黄金现货市场效率的政策建议。
[Abstract]:In a fully efficient market, the price of financial assets can fully reflect all information factors, no investor can use the information of the past, now disclosed information and insider information to earn additional income. Efficient market hypothesis has become one of the important pillars of modern financial theory. But with the development of the research, the efficient market theory is challenged by various market anomalies more and more. Among them, calendar effect is a more important market vision. Previous researches on calendar effect mainly focused on the stock market, but less on the gold spot market. This paper selects the spot data of Shanghai Gold Exchange from 2002 to 2012 to conduct an empirical study on calendar effect. The paper empirically tests the "intraweek effect", "month effect" and "holiday effect" of gold spot yield. It is proved that the yield of gold spot market in China has calendar effect. In the empirical test, we find that there are significant positive "Monday effect" and "Thursday effect" in China's gold spot market, positive "post-National Day effect", "post-Spring Festival effect" and "negative" National Day effect ". The positive "August effect", "September effect", "November effect" and "February effect". The empirical results show that there is a significant calendar effect in China's gold spot market. It is concluded that the gold spot market in China is not efficient and has not reached a truly weak effective stage, and the effectiveness of China's gold spot market needs to be improved. Based on the conclusion of empirical test, this paper puts forward some investment suggestions for investors, and tries to explain the causes of these conclusions. After that, aiming at the problem that the spot market of gold in China has not reached the real weak efficiency, this paper puts forward some policy suggestions to perfect the spot market of gold in China and to improve the efficiency of the spot market of gold.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.54;F224

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