中国黄金现货市场假期效应的实证分析

发布时间：2018-05-10 20:26

本文选题：黄金市场 + 假期效应　；参考：《广西师范大学》2015年硕士论文

【摘要】：黄金的价格波动机制不同于普通的商品,其价格也成为国内外诸多学者关注和研究的重点。2008年全球金融危机后,黄金逐渐成为股票、债券、基金之外另一个重要的投资与避险工具。近年来,很多的原因致使黄金的价格受到不同程度的波动。而且随着黄金投资日渐进入人们的视野,对黄金价格未来走势的判断也显得尤为重要。本文以中国黄金市场为主,用应用计量经济学、统计学的理论与方法对黄金价格的假期效应进行实证分析。假期效应,包含了假期前效应和假期后效应,具体的内容是：在我国法定假期前后黄金现货市场是否存在超高的收益率和波动率出现异常的现象。本文利用中国黄金市场实际情况2006年12月至2014年3月AU9999收益率数据,结合GARCH、 EGARCH、TGARCH、PGARCH模型实证检验中国黄金市场是否存在假期效应。结果是：中国黄金市场存在明显的假期效应,其中元旦前后、春节前后、十一后有明显的假期效应。本文的主要内容包括：第一部分,绪论。本章详细的阐述了文章的研究背景,研究的现实意义和理论意义,国内外关于假期效应的研究现状,最后说出了本文研究的方法。第二部门,假期效应的成因分析。在这部分中,文章从各个角度分析了造成我国黄金现货市场假期效应的根源。主要的成因是：国家政策,投资者的情绪,CPI,和原油市场。第三部分,假期效应实证分析。在本章中,系统的阐述了实证分析的方式,方法。在对黄金市场进行描述性统计分析的基础上,继续用GARCH, EGARCH, TGARCH, PGARCH模型进行实证检验,以期望取得更好的研究结果。第四部分,结论与政策建议。在前面研究的基础上,得出的结论是我国黄金现货市场有明显的假期效应,其中在元旦前后,春节前后有明显的假期效应。然后进一步阐明了黄金市场假期效应的根源。最后,针对我国黄金市场的现状,对黄金市场的参与者,做出了几点投资建议。本文研究的创新之处：第一,弥补了我国黄金市场假期效应研究的空白之处,不仅研究了黄金市场假期前效应。同时研究了假期后效应。对假期效应的时间定义为前五天。第二,在对我国黄金现货市场进行描述性统计的基础上,进一步又对数据,进行GRACH, PGARCH, EGARCH, TGARCH检验。
[Abstract]:The price fluctuation mechanism of gold is different from that of ordinary commodities, and its price has also become the focus of attention and research by many scholars at home and abroad. After the 2008 global financial crisis, gold gradually became a stock and bond. There is another important investment and hedge tool outside the fund. In recent years, gold prices have fluctuated to varying degrees for many reasons. Moreover, as gold investment enters people's vision day by day, it is very important to judge the future trend of gold price. This paper focuses on the gold market in China and makes an empirical analysis of the holiday effect of gold price by applying econometrics and statistical theory and methods. The holiday effect includes the pre-holiday effect and post-holiday effect. The specific content is whether there are abnormal phenomena of super-high return rate and volatility in the gold spot market before and after the statutory holiday in China. This paper makes use of the actual situation of China's gold market from December 2006 to March 2014 to test whether there is a holiday effect in China's gold market by using the data of AU9999 yield and combining with the GARCH, EGARCHTGARCH-PGARCH model. The results are as follows: there are obvious holiday effects in China's gold market, including before and after New Year's Day, before and after Spring Festival, and after November. The main content of this paper includes: the first part, introduction. In this chapter, the research background, the practical and theoretical significance of the research, the current situation of the research on the holiday effect at home and abroad, and the methods of this study are described in detail. The second part, the reason analysis of holiday effect. In this part, the paper analyzes the origin of the holiday effect in China's gold spot market from various angles. The main causes are: state policy, investor sentiment, and the oil market. The third part, the empirical analysis of holiday effect. In this chapter, the way and method of empirical analysis are systematically expounded. On the basis of descriptive statistical analysis of gold market, we continue to use GARCH, EGARCH, TGARCH, PGARCH model to carry out empirical tests in order to obtain better research results. The fourth part, conclusions and policy recommendations. On the basis of the previous research, the conclusion is that there are obvious holiday effects in China's gold spot market, including before and after New Year's Day, and before and after Spring Festival. Then it further clarifies the origin of the holiday effect in gold market. Finally, according to the current situation of China's gold market, several investment suggestions are made to the participants of the gold market. The innovations of this paper are as follows: first, it makes up for the blank of the study on the holiday effect of gold market in China, and not only studies the pre-holiday effect of the gold market. The post-holiday effect is also studied. The duration of the holiday effect is defined as the first five days. Secondly, on the basis of descriptive statistics on China's gold spot market, GRACH, PGARCH, EGARCH, TGARCH test is carried out.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F426.32;F764.2

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