本文關(guān)鍵詞：關(guān)于貴金屬市場收益杠桿波動以及溢出效應(yīng)的實證分析　出處：《蘭州大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 杠桿波動 SV模型 波動溢出 Copula函數(shù)

【摘要】：隨著各國經(jīng)濟的復(fù)蘇,各國金融市場的開放程度不斷加大,一個金融市場的波動會引起另一個或者多個金融市場的波動,波動溢出效應(yīng)指的就是金融市場間的波動存在一定的傳遞效果,互相影響。本文首先采用金融波動模型SV模型族對整個時期的黃金與白銀收益率建模,通過模型參數(shù)的估計結(jié)果對模型族進(jìn)行比較分析；其次,對于在整個時期沒有杠桿效應(yīng)以及微弱杠桿效應(yīng)的黃金和白銀收益序列進(jìn)行分段研究；最后,運用杠桿SV模型與阿基米德Copula函數(shù)結(jié)合,對我國股市與貴金屬市場之間以及貴金屬市場內(nèi)部的波動溢出進(jìn)行實證分析,得到以下結(jié)論： 黃金市場不存在杠桿效應(yīng),白銀市場存在較弱的杠桿效應(yīng)。分時段基于杠桿SV建模,得到黃金市場在盤整期存在杠桿效應(yīng),而白銀市場在盤整期和上漲期均存在杠桿效應(yīng),且上漲期杠桿效應(yīng)更為明顯。白銀市場較黃金市場的波動性更高,風(fēng)險更大,白銀比較適合高風(fēng)險高收益的投資者,風(fēng)險偏好型投資者在選取白銀等金融工具時可以賺取更大收益。 蕭條期、盤整期與上漲期,黃金與白銀的上尾相關(guān)性明顯逐漸增強。蕭條期的上尾相關(guān)性分析表明,股市對于黃金市場的波動溢出現(xiàn)象不太明顯；在貴金屬的盤整期,股市與貴金屬市場之間的波動溢出現(xiàn)象比較明顯,外部的波動與貴金屬市場內(nèi)部的波動保持一致；在貴金屬的上漲期,貴金屬市場內(nèi)部的波動聯(lián)動性大大超過了外部對其的波動溢出。 下尾相關(guān)性程度上明顯小于上尾相關(guān)性,且在蕭條期、盤整期、上漲期呈不斷增長狀況。蕭條期,滬深300與貴金屬的下尾相關(guān)系數(shù)是0,也就是下尾獨立沒有相關(guān)性,且其他期的下尾相關(guān)系數(shù)較同期黃金與白銀的下尾相關(guān)系數(shù)要小。 滬深300與白銀市場之間的尾部相關(guān)性與滬深300與黃金市場之間的尾部相關(guān)性基本一致,不同的是前者比后者的相關(guān)程度小,這與白銀市場較黃金市場波動性更大的結(jié)論是相符的。
[Abstract]:Along with the economic recovery, openness of financial markets continue to increase, a financial market volatility will cause another or more financial market volatility, the volatility spillover effect refers to the financial market volatility has transfer effect, a certain influence each other. This paper uses the financial volatility models SV models for the whole period of the gold and Silver yield modeling, the model parameters are estimated by using the results of the models were compared and analyzed; secondly, the gold and silver returns no leverage effect and weak leverage effect in the whole period of study at last, using a combination of piecewise; leverage SV model and Archimedes Copula function, to carry on the empirical analysis between me in the stock market and precious metals and precious metals market volatility spillover, obtained the following conclusions:
There is no leverage effect in the gold market, the silver market leverage effect is relatively weak. Time based on lever SV modeling, get the gold market leverage effect exists in the period of consolidation, and the silver market in the consolidation period and rise period have lever effect, and the rise of the leverage effect is more obvious. The volatility of the silver market than the gold market more and more risk, the silver is suitable for investors with high risk and high income, risk preferences of investors can earn more profits in the selection of silver and other financial tools.
The recession, consolidation and the rise period, gold and silver on the tail dependence significantly increased. Analysis of the slump in the upper tail dependence shows that the volatility spillover phenomenon for the gold market in the stock market is not obvious; in the precious metals consolidation period, between the stock market and the precious metals market volatility overflow phenomenon is quite obvious, external the internal fluctuations and precious metals markets remain the same; in the precious metals rose period, fluctuation linkage of the precious metals market greatly exceeds the external on the volatility spillover.
The lower tail correlation degree is significantly less than the upper tail dependence, and during the recession, the consolidation period, rising period is growing. The recession, 0 is the lower tail dependence of Shanghai and Shenzhen 300 and precious metals, which is under the tail independent no correlation, and the lower tail correlation coefficient than other period under the tail correlation coefficient with during the period of gold and silver to be small.
The tail correlation between Shanghai and Shenzhen 300 and silver market is basically the same with the tail dependence between Shanghai and Shenzhen 300 and gold market. The difference is that the correlation between the former and the latter is relatively small, which is consistent with the conclusion that the silver market is more volatile than the gold market.

【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F830.94

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本文編號：1387221