我国贵金属现货投资风险与绩效研究

发布时间：2018-04-30 22:03

本文选题：现货贵金属 + 投资风险　；参考：《天津大学》2014年硕士论文

【摘要】：随着我国经济社会的快速发展,国民财富大幅增长,国民对待财富的观念也在不断开放,正有越来越多的城乡居民将家庭财富投入多样化的投资渠道以图保值增值,贵金属投资也越来越受到投资者追捧。尤其自2013年4月中旬以来,国际国内金价出现了历史罕见的暴跌行情,激起了以“中国大妈”为代表的我国大众投资者极大热情。然而,贵金属市场总有它深奥莫测的规律,在众多豪赌客疯狂入手之后,国际贵金属价格持续低位徘徊,至今未见回升迹象,他们中的大多数都被深度套牢。因此,只有在客观认识贵金属的投资风险,科学分析贵金属的投资绩效,并深入掌握基本市场规律情况下的投资行为才能称之为真正的投资。本文将证券领域运用成熟的VaR方法和RAROC方法引入到我国贵金属投资风险度量和绩效评价中来。以同期上证综指的表现为参照基准,首先考察我国黄金、白银、铂金等三种主要贵金属及上证综指价格变化的相关性及其保值避险功能,验证三种贵金属现货资产收益率序列具有典型的尖峰厚尾和波动积聚性特征,然后选用GED-GARCH模型刻画三种贵金属和上证指数收益率序列的波动性特征,进而精确计算三种贵金属投资和同期上证综指的VaR和RAROC,并对四者的风险和绩效指标表现进行组内对比和组间对比,最终得出我国三种主要贵金属现货投资风险与绩效的绝对表现和相对表现。研究结果表明,三种主要贵金属的价格变化呈现较高的相关性,其中黄金和白银价格与同期上证综指呈负相关,体现了两者较强的金融避险功能,铂金的避险功能表现并不明显;在三种主要贵金属现货投资中,黄金资产的风险最小,铂金次之,两者的风险均小于同期上证综指,白银资产的风险与同期上证综指相当;从经风险调整后的综合业绩表现来看,投资黄金的回报最优,白银次之,两者都优于上证综指,而铂金的回报略差于同期上证综指。
[Abstract]:With the rapid development of our country's economy and society, the national wealth has been greatly increased, and the concept of national wealth has been opening up. More and more urban and rural residents are investing their household wealth in a variety of investment channels in order to maintain and increase their value. Precious metal investments are also increasingly sought after by investors. In particular, since mid-April 2013, the international and domestic gold prices have seen a historically rare plunge, arousing great enthusiasm from the masses of Chinese investors, represented by the "Chinese aunt". However, the precious metals market has always had its inscrutable regularity, with international precious metal prices hovering low and showing no signs of picking up after a frenzy of gamblers, most of whom are deeply trapped. Therefore, only in the objective understanding of the investment risk of precious metals, scientific analysis of the investment performance of precious metals, and in-depth grasp of the basic market law of investment behavior can be called real investment. In this paper, the mature VaR method and RAROC method are applied to the risk measurement and performance evaluation of precious metal investment in China. Taking the performance of the Shanghai Composite Index as the reference point during the same period, first of all, the correlation between the price changes of the three major precious metals, including gold, silver and platinum, and the value and hedge function of the Shanghai Composite Index are investigated. It is verified that the return sequence of three precious metals spot assets has typical characteristics of peak, thick tail and volatility accumulation, and then GED-GARCH model is used to describe the volatility characteristics of the return series of three precious metals and Shanghai stock index. Then accurately calculate the VaR and RAROCof the three precious metals investment and the Shanghai Composite Index in the same period, and carry on the intra-group and inter-group comparisons to the risk and performance performance of the four. Finally, the absolute and relative performance of the risk and performance of the three major precious metals spot investment in China are obtained. The results show that there is a high correlation between the price changes of the three major precious metals, among which the prices of gold and silver are negatively correlated with the Shanghai Composite Index in the same period, which reflects their strong financial hedging function. Among the three main precious metals spot investment, the risk of gold assets is the least, platinum is the second, the risk of both is lower than that of Shanghai Composite Index, the risk of silver assets is equivalent to that of Shanghai Stock Exchange Composite Index in the same period. On the basis of risk-adjusted performance, gold is the best return, silver is second, both outperform the Shanghai Composite, while platinum returns slightly worse than the Shanghai Composite during the same period.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.54

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