本文選題：黃金現(xiàn)貨　切入點(diǎn)：影響因素　出處：《天津師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：金融危機(jī)爆發(fā)距今已將近五年,全球各大發(fā)達(dá)國(guó)家正在從衰退、蕭條的巨大陰影之中慢慢地?cái)[脫出來。然而多數(shù)國(guó)家經(jīng)濟(jì)體發(fā)展步伐緩慢,而且不時(shí)地出現(xiàn)反復(fù)狀況,例如：歐洲債務(wù)危機(jī),美國(guó)高企不下的失業(yè)率,不斷惡化的中東北非政治局勢(shì),不斷上漲的石油價(jià)格等等。這一系列負(fù)面因素影響使得多數(shù)投資者對(duì)全球未來經(jīng)濟(jì)預(yù)期持悲觀念度,選擇一種既能抵御風(fēng)險(xiǎn)又能實(shí)現(xiàn)資產(chǎn)保值增值的投資工具,成為投資者爭(zhēng)相追求的目標(biāo),而黃金恰恰能滿足人們的需求。 黃金現(xiàn)貨投資收益率的波動(dòng)取決于黃金現(xiàn)貨價(jià)格的變化。而黃金現(xiàn)貨價(jià)格的變化要受到多方面因素的影響,本篇論文將從世界黃金市場(chǎng)的供給、需求、匯率、原油價(jià)格、地緣政治、大宗商品價(jià)格等諸多方面對(duì)其做了定性分析,以求投資者能夠更加全面的掌握黃金價(jià)格影響因素。 為了讓投資者更加直觀的認(rèn)識(shí)黃金現(xiàn)貨,本文主要選取了黃金現(xiàn)貨(T+D)作為研究對(duì)象,運(yùn)用GARCH族模型來分析其市場(chǎng)投資收益率波動(dòng)性隨時(shí)間變化的特征。通過分析,得出黃金現(xiàn)貨投資收益率序列是一個(gè)平穩(wěn)的時(shí)間序列,其波動(dòng)并不具有正態(tài)分布的特征,而是呈現(xiàn)一個(gè)“尖峰厚尾”的分布形態(tài)。而且這一分布形態(tài)存在顯著的波動(dòng)聚集性,在圖形中表現(xiàn)為：一系列大波動(dòng)之后會(huì)緊跟著一波大的波動(dòng)；同時(shí),一系列小波動(dòng)之后常常緊隨著一波相對(duì)較小的波動(dòng)。對(duì)于這一特征,本文通過ARCH-LM檢驗(yàn)作了進(jìn)一步的驗(yàn)證。同時(shí),通過GARCH(1,1)模型的擬合結(jié)果可知外部信息沖擊會(huì)對(duì)黃金投資收益率產(chǎn)生較長(zhǎng)時(shí)間的影響；由TGARCH模型數(shù)據(jù)結(jié)果表明利好消息對(duì)黃金現(xiàn)貨AU (T+D)日收益率波動(dòng)影響要大于利壞消息。同等狀況之下,利好消息帶動(dòng)黃金價(jià)格上漲幅度要比利壞消息所帶動(dòng)黃金價(jià)格下降幅度大得多；EGARCH模型結(jié)果表明,黃金現(xiàn)貨AU(T+D)日收益率波動(dòng)存在杠桿效應(yīng)�？傊�,全面掌握黃金現(xiàn)貨的這些特征對(duì)于投資者具有重要的指導(dǎo)意義。
[Abstract]:Nearly five years after the outbreak of the financial crisis, the world's largest developed countries are slowly emerging from the great shadow of recession and depression. However, the pace of development of most national economies has been slow and repeated from time to time. For example, the European debt crisis, the high unemployment rate in the United States, the worsening political situation in the Middle East and North Africa, Rising oil prices and so on. These negative factors have led most investors to take a sad view of the global economic future, choosing an investment tool that can resist risks and maintain and increase the value of assets. As investors scramble to pursue the goal, and gold just can meet people's needs. The fluctuation of the return on gold spot investment depends on the change of gold spot price. The change of gold spot price is affected by many factors. This paper will analyze the supply, demand, exchange rate and crude oil price of the world gold market. Geopolitics, commodity prices and many other aspects of its qualitative analysis, so that investors can more comprehensive understanding of the factors affecting gold prices. In order to make investors know gold spot more intuitively, this paper mainly selects the gold spot T D) as the research object, uses the GARCH family model to analyze its market investment return volatility change characteristic with time. It is concluded that the gold spot investment return series is a stable time series, its fluctuation does not have the normal distribution characteristic, but presents a "peak thick tail" distribution form. In graphics, a series of large fluctuations followed by a large wave, and a series of small fluctuations often followed by a relatively small wave. This paper makes further verification by ARCH-LM test. At the same time, through the fitting results of the model, it can be seen that the external information shock will have a long time effect on the gold investment return rate. The results of TGARCH model show that the effect of good news on gold spot AU T D yield fluctuation is greater than that on bad news. Good news drives gold prices up much more than Billy bad news leads to a much larger decline in gold prices. The results of the EGARCH model show that there is a leverage effect in gold spot AU(T D) daily yield volatility. Fully grasp these characteristics of gold spot for investors to have an important guiding significance.
【學(xué)位授予單位】：天津師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.54;F224

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