股票与期货在黄金资产配置上风险分散作用的实证研究

发布时间：2018-04-08 17:26

本文选题：马克维茨投资组合　切入点：黄金期货　出处：《华东师范大学》2016年硕士论文

【摘要】：黄金和股票、期货、债券、外汇都是世界金融市场的主要投资品种,是构成国际金融市场的重要投资工具,在复杂多边的世界政治、经济形势下,黄金交易以其内涵显著的保值避险特点,受到机构及个人投资者的广泛青睐。伴随着黄金的非货币化进程,黄金投资市场已经有了相当成熟的发展,在全球各类黄金期货、黄金现货、黄金股票不同市场及品种的不断推出使得投资者通过参与各类黄金业务获利来实现自身的财务目标。本文写作的意义在于通过对黄金期货及黄金股票的理论研究,结合相同因素对不同黄金投资市场影响情况的实证分析,构建有效的投资组合,为广大投资者提供黄金投资建议。本文在马克维茨投资组合理论框架下,首先分析黄金资产配置和投资的基础,选取黄金期货及黄金股票作为主要研究对象,从理论角度通过研究两项资产的波动相关性,确认不同资产间的非系统性风险可能被有效分散；随后寻找黄金资产组合的有效边界,定位无风险收益率约束下的风险调整收益最优组合,并一起构建组合资本市场线。其次,本文通过建立多元回归分析模型的方法,分别建立黄金期货价格、黄金股票价格与美国宏观经济因素、全球黄金供给与需求、相关市场等因素的回归模型,对相同因素影响两个投资品种价格的显著性进行了实证研究,验证上述因素对两种品种价格分别影响的方向及大小,进一步得出两者价格走势差异的原因。本文第四部分在上述黄金资产投资组合理论分析的基础上,从实证上构建包含无风险资产、黄金期货及黄金股票的有效黄金资产投资组合,并将投资组合的夏普比率与单一投资品种的夏普比率进行比较,得到了在较长的投资期间内,相较单独投资黄金期货或黄金股票,投资组合的夏普比率更高,即投资组合的收益-风险比最优的结论,验证了本文可能性分析的理论部分。本文最后一章针对前述理论分析及实证,给予投资者、政府及机构建议。
[Abstract]:Gold and stocks, futures, bonds, and foreign exchange are all the main types of investment in the world financial market. They are important investment instruments that constitute the international financial market. In the complex multilateral world political and economic situation,Gold trading is widely favored by both institutional and individual investors because of its obvious characteristics of hedging and hedging.With the process of non-monetization of gold, the gold investment market has developed quite maturely. In all kinds of gold futures around the world, gold spot,The continuous introduction of gold stocks in different markets and varieties enables investors to achieve their financial goals by participating in various gold businesses.The significance of this paper is to construct an effective investment portfolio through the theoretical study of gold futures and gold stocks, and the empirical analysis of the influence of the same factors on different gold investment markets, so as to provide gold investment advice for the majority of investors.Under the framework of Markowitz's portfolio theory, this paper first analyzes the basis of gold asset allocation and investment, selects gold futures and gold stocks as the main research object, and studies the volatility correlation of the two assets from the theoretical point of view.It is confirmed that the non-systemic risk between different assets may be effectively dispersed, and then the effective boundary of gold portfolio is found, and the optimal portfolio of risk-adjusted returns under the constraint of risk-free rate of return is located, and the portfolio capital market line is constructed together.Secondly, this paper establishes the regression models of gold futures price, gold stock price and American macroeconomic factors, global gold supply and demand, relevant market, etc.This paper makes an empirical study on the effect of the same factors on the price of two kinds of investment varieties, verifies the direction and magnitude of the influence of the above factors on the price of the two varieties, and further finds out the reasons for the difference in price trend between the two varieties.In the fourth part of this paper, on the basis of the theoretical analysis of the gold asset portfolio mentioned above, an effective portfolio of gold assets including risk-free assets, gold futures and gold stocks is constructed empirically.Comparing the Sharp ratio of a portfolio with that of a single investment variety, it is concluded that in a longer investment period, the Sharp ratio of a portfolio is higher than that of a single gold futures or gold stock.The conclusion that the income-risk ratio of portfolio is optimal verifies the theoretical part of the possibility analysis in this paper.The last chapter of this paper gives advice to investors, governments and institutions in view of the above theoretical analysis and empirical analysis.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F831.54;F831.53

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