投资者关注度与黄金价格变动关系的研究

发布时间：2018-01-20 16:06

本文关键词： 投资者关注度谷歌趋势黄金价格 VAR模型羊群效应　出处：《内蒙古大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着信息大爆炸时代的到来,注意力的稀缺越来越成为影响价格的一个重要因素,也使得投资者关注成为行为经济学的一个越来越重要领域。互联网的发展,特别是谷歌趋势和百度指数的出现,为我们提供了一个直接而精确的投资者关注度的度量指标。与此同时,我们发现2013年黄金价格的跌宕起伏也与投资者关注度也有着十分密切的联系。投资者关注度可以在一定程度上对黄金价格的波动进行刻画。本文首先在分析了投资者关注度和影响黄金价格变动因素基本理论的基础上,对投资者关注度和黄金价格进行了规范分析,认为投资者关注度对黄金价格的影响主要是通过分散与积聚来进行的,而黄金价格对投资者关注度的影响则主要是通过“羊群效应”发生作用。随后,将谷歌趋势作为投资者关注度的代理变量,利用向量自回归VAR模型,对投资者关注度与黄金价格进行了实证研究,进一步证明了两者之间的双向因果关系。本文建立谷歌趋势与黄金价格的滞后2阶的VAR模型,并用脉冲响应函数(IRF)分析当模型受到某种冲击时对系统的动态影响。在进行回归之后发现,投资者关注度对黄金价格的影响系数要明显的高于黄金价格对投资者关注度的影响系数。在动态影响研究中,我们发现投资者关注度对黄金价格的影响具有持久的效应,而黄金价格的影响对投资者关注度则不具备这种效应。这些研究,对于理解黄金价格的变动和投资者投资策略的制定起到了一定的指导作用。
[Abstract]:With the advent of the era of information explosion, the scarcity of attention has become an important factor affecting prices, and investors have become an increasingly important field of behavioral economics. The development of the Internet. In particular, the Google trend and the emergence of Baidu Index, for us to provide a direct and accurate measurement of investor attention. At the same time. We find that the volatility of gold price in 2013 is also closely related to investors' attention, which can describe the fluctuation of gold price to some extent. First of all, based on the analysis of investor attention and the basic theory of factors influencing the change of gold price, this paper makes a normative analysis of investor concern and gold price. It is believed that the influence of investor attention on gold price is mainly through dispersion and accumulation, while the influence of gold price on investor attention is mainly through "herd effect". Taking the trend of Google as the proxy variable of investor's attention, using the vector autoregressive (VAR) model, this paper makes an empirical study on investor's concern and gold price. Further prove the two-way causal relationship between the two. This paper establishes the VAR model of Google trend and gold price lag order 2. The impulse response function (IRFs) is used to analyze the dynamic effect of the model on the system when the model is impacted by some kind of impact. The influence coefficient of investor attention to gold price is higher than that of gold price. We find that the influence of investor attention on gold price has a lasting effect, but the influence of gold price on investor attention has no such effect. It plays a guiding role in understanding the change of gold price and the formulation of investors' investment strategy.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.48;F832.54

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