本文選題：股票市場　切入點：黃金市場　出處：《蘇州大學》2014年碩士論文

【摘要】：中國股票市場形成于上世紀90年代，是一個新興的市場，經(jīng)過了二十余年的發(fā)展，滬、深兩市快速壯大并且已經(jīng)成為世界上重要的股票市場之一。伴隨著全球經(jīng)濟一體化和金融一體化的深入，不同金融市場之間的相關性在不斷增強，一個金融市場的價格和波動不僅受到內(nèi)部因素的影響，還受到其他市場波動的影響，即不同市場之間存在著波動溢出效應。2008年爆發(fā)的金融危機席卷了全球的資本市場并對實體經(jīng)濟造成了巨大的沖擊，，這場危機由美國華爾街開始逐步蔓延至世界各地，人們?yōu)榱吮茈U，紛紛拋售各類資產(chǎn)，當年美國、中國、德國、香港、日本等世界各大主要股票市場均出現(xiàn)40%的下跌，金融市場彌漫恐慌，同時房地產(chǎn)泡沫破裂，大宗商品價格暴跌，世界經(jīng)濟出現(xiàn)負增長。在人們擔憂世界經(jīng)濟的前景之時，我們看到黃金卻一路高歌猛進，扶搖直上。現(xiàn)代金融市場中，股票與黃金是兩種重要的投資品種，兩者的波動性也是學術界所關注的焦點。 本文選取了2003年1月2日至2013年12月31日這11年期間的上海證券綜合指數(shù)和美國標準普爾500指數(shù)作為中、美股市的代表，上海黃金交易所Au9999價格指數(shù)和紐約COMEX黃金作為中、美黃金市場的代表，通過平穩(wěn)性檢驗、自相關性檢驗、ARCH效應檢驗等計量方法擬合股票與黃金市場的GARCH模型，然后分別進行了非對稱性分析、股票與黃金市場的相關性分析，發(fā)現(xiàn)相較于美國而言，我國股票與黃金市場的相關性較低，聯(lián)動性不高，溢出效應不明顯。
[Abstract]:China's stock market was formed in the 1990s. It is a new market. After more than 20 years of development, Shanghai, Shenzhen and Shenzhen have grown rapidly and become one of the most important stock markets in the world. With the deepening of global economic and financial integration, the correlation between different financial markets is increasing. The price and volatility of one financial market is affected not only by internal factors, but also by fluctuations in other markets. The financial crisis that broke out in 2008 engulfed the global capital markets and had a huge impact on the real economy. The crisis began to spread from Wall Street in the United States to various parts of the world. In order to avoid risk, people sold off all kinds of assets. In those years, the major stock markets of the United States, China, Germany, Hong Kong, Japan and other major world stock markets all fell by 40%, the financial markets were filled with panic, and the real estate bubble burst. Commodity prices have plummeted and the world economy has experienced negative growth. While people are worried about the prospects of the world economy, we have seen gold soar all the way up. In modern financial markets, stocks and gold are two important types of investment. The volatility of both is also the focus of academic attention. This paper selects the Shanghai Securities Composite Index and the S & P 500 Index for the 11-year period from January 2, 2003 to December 31, 2013 as the representative of the US stock market, the Au9999 price index of the Shanghai Gold Exchange and COMEX Gold in New York. The representatives of US gold market fit the GARCH model of stock and gold market by means of stationary test, autocorrelation test and arch effect test, and then carry out asymmetric analysis and correlation analysis of stock and gold market, respectively. Compared with the United States, the correlation between China's stock and gold market is low, the linkage is not high, and the spillover effect is not obvious.
【學位授予單位】：蘇州大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F837.12

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