我国黄金价格与股票指数间收益及波动关系研究

发布时间：2018-02-26 13:17

本文关键词： 上海黄金市场上证综指 VAR模型 EGARCH模型波动与收益　出处：《西北农林科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：与发达国家相比，我国黄金市场发展起步较晚，股票市场发展还不够成熟。然而，这两个市场却是金融系统的重要组成部分。金融时报专栏作家的最新撰文称黄金可能与新兴市场股票走势存在关联。就在2013年4月中旬，金价遭遇了30年来最大日跌幅，而同为投资领域的股票市场确是另外一番景象。因此，对这两个市场之间关系的研究，尤其是收益和波动在我国黄金市场与股票市场的之间是否存在传导效应，以及它们之间的影响程度与作用方向如何。对于今后投资者选择资产组合，预测股票或黄金市场走势具有重要作用。根据以往研究文献，对黄金价格的研究大多集中于其影响因素的实证分析上，其中又以分析美元汇率对国际黄金价格的影响居多。而单独对黄金与股票市场间关系进行的研究很少，因此，本文希望通过结合我国新兴市场的特点，以上海黄金交易所现货黄金日收益率作为我国黄金市场收益的代理变量，以上证综指日收益率作为我国股票市场收益的代理变量，来考察这两个市场间的收益与波动关系。为以后的投资者配置投资资金，判断资产价格走势提供实证依据和参考。首先，本文分别概述了我国黄金价格与股票指数的影响因素，以及两个市场收益之间相互作用的理论基础，即资产的收益溢出效应与收益替代效应。其次，文章对我国黄金市场与股票市场的发展做了简要回顾，并在此基础上，分析了研究时间跨度内我国金价与上证综指的相关性与走势。其中走势图显示，两变量之间既存在变化的复杂性，又表现出一定的规律性。接下来，文章就借助计量经济模型与统计方法对其进行深入的量化研究。在实证研究方面，文章分为两个部分，一是收益关系研究，主要对数据进行了平稳性检验，格兰杰因果关系检验，VAR模型估计，脉冲响应分析，从而研究变量间的相互作用。二是波动关系研究，主要运用EGARCH模型对原变量提取波动性指标，然后将新变量再引入VAR模型，考察变量间的波动关系。 VAR模型统计结果显示，上海黄金日收益率与上证综指日收益率之间存在单边的收益溢出效应，且上证综指日收益率为作用的主导方。与国际市场情况不同，国内两市场间无收益替代效应。EGARCH模型检验结果表明，二者间有单边波动替代效应，，其主导方也为股指收益率。最后，本文对实证结果存在的原因进行分析，并提出政策建议。
[Abstract]:Compared with the developed countries, China's gold market started relatively late, and the stock market was not mature enough. The two markets are an important part of the financial system. The Financial Times columnist's latest article says gold may be linked to emerging market equities. In middle of April 2013, gold suffered its biggest daily decline in 30 years. Therefore, the study of the relationship between the two markets, especially whether there is a conductive effect between the gold market and the stock market, It is important for investors to choose the asset portfolio and forecast the trend of the stock or gold market in the future. According to the previous research literature, the research on gold price is mostly focused on the empirical analysis of its influencing factors. Among them, the analysis of the influence of US dollar exchange rate on the international gold price is the most. However, there is little research on the relationship between gold and stock market alone. Therefore, this paper hopes to combine the characteristics of China's emerging markets. Taking the spot gold daily yield of Shanghai Gold Exchange as the proxy variable of China's gold market return, and the Shanghai Composite Index's daily return rate as the proxy variable of China's stock market return, To examine the relationship between the return and volatility of these two markets, to provide an empirical basis and reference for future investors to allocate investment funds and judge the trend of asset prices. First of all, this paper summarizes the influence factors of gold price and stock index, and the theoretical basis of the interaction between the two market returns, namely, the asset income spillover effect and the income substitution effect. This paper briefly reviews the development of gold market and stock market in China, and on this basis, analyzes the correlation and trend of gold price and Shanghai Composite Index in the time span of study. There is both complexity and regularity between the two variables. Next, this paper makes a deep quantitative study on them with the help of econometric models and statistical methods. In the empirical research, the paper is divided into two parts. One is the income relationship research, which mainly carries on the stationary test, the Granger causality test and the VAR model estimation, the impulse response analysis, the Granger causality test and the impulse response analysis. In order to study the interaction between variables, the second is the study of volatility relationship, mainly using EGARCH model to extract the volatility index of the original variable, and then introducing the new variable into the VAR model to investigate the volatility relationship between variables. The statistical results of VAR model show that there is a unilateral income spillover effect between Shanghai Golden Daily yield and Shanghai Composite Index, and the daily yield of Shanghai Composite Index plays a leading role. The results of EGARCH model test show that there is a one-sided volatility substitution effect between the two markets, and the dominant party is also the stock index yield. Finally, this paper analyzes the reasons of the empirical results and puts forward some policy recommendations.
【学位授予单位】：西北农林科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.54;F832.51;F224

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