我国黄金期货市场波动性及其与相关市场关系的实证研究

发布时间：2018-03-21 10:39

本文选题：黄金期货市场　切入点：交易量　出处：《上海师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：在当今社会,黄金不单是个人财富的象征,同时也是一个国家储备的重要元素。拥有雄厚的黄金储备为一个国家金融市场的良好运行提供了有力的保障。我国为大力发展金融市场,活跃黄金交易。于2008年1月9日,我国黄金期货正式在上海期货交易所进行交易。黄金期货的上市交易将推动黄金相关行业的全面发展,为我国争取国际黄金定价权加码。2008年以来,国际经济局势乃至整个政治形势动荡不安,如致使全球经济萧条的美国次贷危机,相继爆发的欧洲主权债务问题。2013年以来,黄金价格一路受挫,此种情况严重打击了黄金投资者的信心,更加使得国家黄金储备严重贬值。与此同时,黄金期货市场价格也因此而大幅波动。在此背景之下,研究我国黄金市场价格波动特征,有助于理性认识黄金期货市场价格波动风险,从而能做出明智的决策。更能为黄金期货市场的健康稳定发展提供帮助。在目前的我国学术界,针对我国黄金期货市场的学术研究相对较少。关于中国黄金期货市场的定量研究,更是凤毛麟角。事实上,我国黄金期货市场在经过近六年的发展过程,黄金期货市场固有本质属性已然有所显现。本文试图从不同角度对黄金期货市场波动性展开相关研究,运用经典计量经济学模型对于我国黄金期货市场波动性定量分析研究。论文结论对我国黄金期货市场的发展和监管具有一些参考价值,同时,文中所使用的计量模型及研究方法对于其他商品期货的分析研究具有一定的借鉴作用。本文首先对黄金及黄金期货市场进行概述。通过系统回顾和总结国内外对黄金期货市场波动性等方面相关研究工作,使读者更加了解黄金期货市场研究的概况。再利用GARCH模型对我国黄金期货市场的量价关系进行实证研究。同时,利用ARIMA模型将市场交易量和持仓量都分解为预期部分和非预期部分,通过对比研究它们对于波动性的解释能力。最后再使用协整理论、误差修正模型、格兰杰因果关系检验、脉冲响应函数等方法对我国黄金期货与上海黄金现货、纽约黄金期货、国际现货黄金市场等之间的关系进行了实证研究。力图通过市场之间的联动性分析,更深层次地揭示我国黄金期货市场波动性的成因。最后,对全文进行系统总结,归纳了各章研究得出的主要结果和结论,并分析本文的研究不足和今后的研究方向等。
[Abstract]:In today's world, gold is not just a symbol of personal wealth, At the same time, it is also an important element of a country's reserve. Having a strong gold reserve provides a strong guarantee for the good operation of a country's financial market. China's gold futures are officially traded on the Shanghai Futures Exchange. The listing and trading of gold futures will promote the overall development of gold-related industries and increase the international gold pricing power for our country. Since 2008, The international economic situation and even the whole political situation are in turmoil, such as the subprime mortgage crisis in the United States, which caused the global economic depression, and the successive outbreak of the European sovereign debt problem. Since 2013, the price of gold has been thwarted. This situation has seriously hit the confidence of gold investors and further devalued the country's gold reserve. At the same time, the gold futures market price has also fluctuated substantially. In this context, the characteristics of the fluctuation of the gold market price in China are studied. It is helpful for rational understanding of the risk of price fluctuation in gold futures market, so as to make wise decisions, and it can also help the healthy and stable development of gold futures market. At present, there is relatively little academic research on China's gold futures market. Quantitative research on China's gold futures market is even rarer. In fact, After nearly six years of development of gold futures market in China, the inherent nature of gold futures market has already appeared. This paper attempts to carry out a related study on volatility of gold futures market from different angles. Using the classical econometrics model to quantitatively analyze the volatility of China's gold futures market, the conclusion of the paper has some reference value for the development and supervision of China's gold futures market, at the same time, The econometric models and research methods used in this paper can be used for reference in the analysis and research of other commodity futures. This paper first summarizes the gold and gold futures market. Through a systematic review and summary of domestic and foreign gold futures market volatility and other related research work, Make readers understand the general situation of gold futures market, and then use GARCH model to study the relationship between volume and price of gold futures market in China. At the same time, By using ARIMA model, the market volume and position are decomposed into expected part and unanticipated part. Finally, cointegration theory, error correction model and Granger causality test are used to analyze their explanatory ability to volatility. The relationship between Chinese gold futures and Shanghai gold spot, New York gold futures and international spot gold market is studied by impulse response function. Finally, the paper systematically summarizes the main results and conclusions of each chapter, and analyzes the deficiency of this paper and the research direction in the future.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.54;F724.5

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