發(fā)布時(shí)間：2018-03-02 19:39

  本文選題：股票市場　切入點(diǎn)：黃金市場　出處：《陜西師范大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在中國金融市場不斷發(fā)展的過程中,多層次市場與投資品種多樣化是實(shí)現(xiàn)我國金融市場規(guī)�；托驶闹匾侄巍�2008年金融危機(jī)過后,我國股市從單邊下跌到現(xiàn)在的疲軟整理,投資者投資股票的信心受到重挫,人們紛紛撤出資金尋求其他的投資熱點(diǎn)。在股票市場風(fēng)險(xiǎn)不斷加大、通貨膨脹居高不下、美國長期主權(quán)信用評(píng)級(jí)被迫降級(jí)、歐債危機(jī)懸而未決的今天,我們看到黃金價(jià)格高歌猛進(jìn),歷史最高紀(jì)錄在短時(shí)間內(nèi)不斷被刷新,黃金作為“避風(fēng)港”在財(cái)富儲(chǔ)存和金融投資中發(fā)揮越來越大的作用。股票市場和黃金市場是我國金融市場的有機(jī)組成部分,作為兩種重要的投資產(chǎn)品,股票與黃金的收益和風(fēng)險(xiǎn)是廣大投資者關(guān)注的焦點(diǎn),股票市場和黃金市場的波動(dòng)性也成為研究的熱點(diǎn)之一。 本論文以2002年11月1日至2011年11月1日上證綜指的日收盤價(jià)和黃金市場Au9999的日收盤價(jià)為樣本數(shù)據(jù),以股權(quán)分置改革初步完成和股市行情的轉(zhuǎn)折為參考原則確定分界點(diǎn),將樣本數(shù)據(jù)分成兩部分,樣本數(shù)據(jù)在2002年11月1日至2007年10月16日為時(shí)段1,樣本數(shù)據(jù)在2007年10月17日至2011年11月1日為時(shí)段2。論文首先定性分析了中國股票市場與黃金市場的發(fā)展?fàn)顩r以及兩市波動(dòng)的共同影響因素,并從理論上對(duì)兩市收益率波動(dòng)的聚集性、非對(duì)稱性以及溢出效應(yīng)三個(gè)特征進(jìn)行了探討,然后重點(diǎn)通過GARCH族類模型分時(shí)段定量研究了兩市場收益率波動(dòng)的三個(gè)特征。研究結(jié)果表明： (1)股票市場與黃金市場的日收益率序列不服從正態(tài)分布,呈現(xiàn)尖峰厚尾特征；且都存在顯著的ARCH效應(yīng),收益率的波動(dòng)具有明顯的聚集性。 (2)中國股票市場比黃金市場波動(dòng)要大,股票市場在時(shí)段1具有正的均值收益,而在時(shí)段2具有負(fù)的均值收益；黃金市場在時(shí)段1和2均具有正的收益,且黃金市場整個(gè)樣本期內(nèi)日均收益要比股票市場高。 (3)非線性GARCH模型比線性ARMA模型能夠較好地?cái)M合股票市場和黃金市場表現(xiàn)出的波動(dòng)聚集性,同時(shí)具有相對(duì)良好的統(tǒng)計(jì)性質(zhì)。 (4)GARCH(1,1)模型能很好地消除兩市收益率的條件異方差性,方差方程中的ARCH項(xiàng)和GARCH項(xiàng)的系數(shù)之和接近1,表明沖擊對(duì)條件方差的影響具有很強(qiáng)的持續(xù)性；并且,股票市場方差方程中的ARCH項(xiàng)和GARCH項(xiàng)的系數(shù)之和大于黃金市場二者的系數(shù)之和,說明我國股市受到的沖擊持續(xù)性更長。 (5)不同時(shí)段股票市場的波動(dòng)非對(duì)稱性并不一致,時(shí)段1內(nèi)股票市場不存在顯著的“杠桿效應(yīng)”,時(shí)段2及整個(gè)樣本期內(nèi)股票市場存在顯著的“杠桿效應(yīng)”；黃金市場在每個(gè)樣本期內(nèi)都存在顯著的“杠桿效應(yīng)”,但與股票市場不同的是,好消息引起的波動(dòng)大于壞消息引起的波動(dòng)。 (6)時(shí)段1股票市場和黃金市場之間不存在波動(dòng)溢出效應(yīng),時(shí)段2及整個(gè)樣本期內(nèi)股票市場和黃金市場之間存在波動(dòng)溢出效應(yīng),但溢出效應(yīng)是單向不對(duì)稱的,黃金市場的波動(dòng)能夠引起股票市場的波動(dòng),而股票市場的波動(dòng)不能引起黃金市場的波動(dòng)。 本論文研究的特色與創(chuàng)新之處如下： (1)研究了股票市場與黃金市場之間波動(dòng)的溢出效應(yīng)。盡管國內(nèi)外學(xué)者對(duì)股票市場及黃金市場各自的波動(dòng)性及它們與其他市場的波動(dòng)溢出效應(yīng)進(jìn)行了研究,然而,目前國內(nèi)還沒有學(xué)者研究股票市場與黃金市場之間波動(dòng)的溢出效應(yīng)。 (2)通過與線性模型ARMA的比較,進(jìn)一步驗(yàn)證了GARCH族模型的優(yōu)勢,增加了實(shí)證研究結(jié)果的可信度。同時(shí),在使用模型進(jìn)行實(shí)證研究的過程中指出了一些可能出現(xiàn)錯(cuò)誤的地方,為以后使用GARCH族模型進(jìn)行實(shí)證研究提供了參考。 (3)對(duì)比研究了股票市場與黃金市場波動(dòng)非對(duì)稱效應(yīng)的異同。首先從理論上探討了非對(duì)稱性的原因,然后進(jìn)一步對(duì)比研究了股票市場與黃金市場波動(dòng)非對(duì)稱效應(yīng)的異同,目前國內(nèi)還沒有對(duì)比研究股票市場與黃金市場波動(dòng)的非對(duì)稱效應(yīng)異同的文獻(xiàn)。 (4)對(duì)不同經(jīng)濟(jì)背景下股票市場與黃金市場收益率波動(dòng)性進(jìn)行了比較分析。2007年10月16日后,股票市場由大牛市進(jìn)入熊市,同時(shí)中國股權(quán)分置改革初步完成,金融危機(jī)處于蟄伏期,本論文基于股票市場的牛市與熊市兩個(gè)不同行情將樣本區(qū)間進(jìn)行劃分,采用分時(shí)段的方法進(jìn)行了對(duì)比研究,有利于挖掘不同行情波動(dòng)性的不同特征。
[Abstract]:In the development process of Chinese financial market, multi-level market and investment diversification is an important means to realize the.2008 of China's financial market scale and efficiency of the financial crisis, China's stock market fell to weak consolidation from the unilateral now, investor confidence in stocks fell, people have to draw funds for investment the other. In the stock market risk increasing, high inflation, the U.S. long-term sovereign credit rating was downgraded, the European debt crisis in suspense today, we see that the price of gold into the historical record to sing fierce, constantly being refreshed in a short period of time, gold as a "safe haven" will play a more important role in the storage of wealth and financial the investment in the stock market and gold market is an integral part of China's financial market, as two of the most important investment products, stock and yellow The profits and risks of gold are the focus of the investors, and the volatility of the stock market and the gold market has become one of the hotspots of the research.
The closing price of the Shanghai Composite Index from November 1, 2002 to November 1, 2011 closing price of gold market and Au9999 as sample data, to complete the preliminary reform of non tradable shares and the stock market as a reference turning principle to determine the cut-off point, the sample data will be divided into two parts, the data in November 1, 2002 to October 16, 2007 for the 1 time, the sample data in the from October 17, 2007 to November 1, 2011 and analyzes the factors Chinese development of stock market and gold market and affected two markets for 2. time first, qualitative, aggregation and from the theory of two, volatility, asymmetry and spillover effects of the three characteristics are discussed, and then focuses on the three characteristics of GARCH species the model quantitatively studied two market volatility. The results show that:
(1) the daily returns series of stock market and gold market do not obey normal distribution. They show the characteristics of peak and thick tail. They all have significant ARCH effect, and the volatility of returns has obvious clustering.
(2) Chinese stock market is bigger than the gold market volatility, the stock market in the period of the 1 has a positive mean income, while in the 2 periods with negative mean earnings; the gold market in the period 1 and 2 had positive earnings, and the gold market in the whole sample period the average daily income than the stock market.
(3) the nonlinear GARCH model can better fit the volatility aggregation of the stock market and the gold market than the linear ARMA model, and has a relatively good statistical property at the same time.
(4) GARCH (1,1) model can eliminate the two rate of return conditional heteroskedasticity, the conditional variance equation of coefficient ARCH and GARCH of close to 1, shows that the impact on the conditional variance is persistent; and, the stock market is greater than the variance equation coefficient ARCH and GARCH of the gold market and the two coefficient and illustrate the impact of China's stock market continued longer.
(5) in different periods of stock market volatility asymmetry in the 1 periods are not the same, the stock market does not exist significant "leverage effect", and 2 during the entire sample period of stock market has significant "leverage effect"; the gold market in each sample period has the significant "leverage effect", but different and the stock market is good news, the fluctuation is greater than the bad news caused by fluctuations.
(6) there is no volatility spillover effect between the 1 periods of the stock market and gold market, volatility spillover effect exists between the 2 period and during the whole sample period, the stock market and gold market, but the spillover effect is one-way asymmetric, the gold market volatility can cause a wave of stock market, and stock market fluctuation caused by the gold market the fluctuation.
The characteristics and innovations of this paper are as follows:
(1) study the volatility spillover effect between the stock market and gold market. Despite the volatility spillover effect of volatility of domestic and foreign scholars on the stock market and gold market and their respective and other markets are studied, however, there is no volatility spillover effect between the field and the gold market, the domestic scholars study the stock.
(2) compared with the linear model of ARMA, further validation of the GARCH model's advantages, increase the credibility of the results of empirical research. At the same time, in the process of using the model for empirical research points out some error prone areas, for later use GARCH model for empirical research to provide a reference.
(3) comparison of the asymmetric effect of stock market and gold market volatility. First theoretically discusses the reasons of non symmetry, and then further comparative study of the similarities and differences of the asymmetric effect of stock market and gold market volatility, and asymmetric effect there is no comparative study of the stock market and gold market volatility in China the literature.
(4) on the stock market and gold market volatility in different economic background compared.2007 years after October 16th, the stock market entered a bear market by the bull market, at the same time Chinese share reform completed, the financial crisis in the dormant period, based on the bull market and bear market prices will be two different samples the interval division method, the time to compare, is conducive to the different characteristics of different mining market volatility.

【學(xué)位授予單位】：陜西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51;F832.54

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