本文選題：股票市場(chǎng) + 黃金市場(chǎng)�。� 參考：《山東大學(xué)》2017年碩士論文

【摘要】：黃金加入到股票等投資品中形成的資產(chǎn)組合會(huì)降低整個(gè)資產(chǎn)組合的風(fēng)險(xiǎn),也就是說(shuō)黃金對(duì)股票起到對(duì)沖風(fēng)險(xiǎn)的作用,因此黃金作為投資品已被人廣泛地關(guān)注。金融危機(jī)時(shí),投資者希望尋找能夠規(guī)避股票市場(chǎng)崩盤(pán)風(fēng)險(xiǎn)的其他的投資品,貴金屬黃金這樣的實(shí)物資產(chǎn)便受到投資者的青睞。在股票市場(chǎng)極端波動(dòng)的情況下黃金是否仍然起到規(guī)避風(fēng)險(xiǎn)的作用日益引起人們的重視。由于除了黃金之外,石油也是投資者經(jīng)常考慮的投資品,且石油市場(chǎng)的收益及其沖擊可能會(huì)對(duì)股票市場(chǎng)和黃金市場(chǎng)造成影響。且要想考察股票市場(chǎng)自身的沖擊對(duì)黃金市場(chǎng)收益的影響以及股票市場(chǎng)自身沖擊和黃金市場(chǎng)收益的分位數(shù)之間的相互關(guān)系,就必須考慮剔除影響到股票市場(chǎng)收益的石油市場(chǎng)沖擊這一因素。所以本文分兩步討論在極端市場(chǎng)條件下股票市場(chǎng)對(duì)黃金市場(chǎng)的影響,第一步用SVAR的方法剝離石油市場(chǎng)對(duì)股票市場(chǎng)沖擊,找出股票市場(chǎng)自身的沖擊,第二步在控制上一期黃金市場(chǎng)收益、美元價(jià)格和債券收益的基礎(chǔ)上,對(duì)黃金市場(chǎng)收益和股票市場(chǎng)自身的沖擊進(jìn)行非參數(shù)局部線性分位數(shù)回歸,觀測(cè)股票市場(chǎng)沖擊的分位數(shù)對(duì)黃金市場(chǎng)的分位數(shù)的影響。通過(guò)對(duì)1980年1月至2016年11月這36年的數(shù)據(jù)分析可知,黃金市場(chǎng)收益和股票市場(chǎng)收益的相關(guān)系數(shù)很低,黃金對(duì)股票可以起到在不降低期望收益的基礎(chǔ)上降低股票組合的風(fēng)險(xiǎn)的作用。此外,黃金市場(chǎng)和股票市場(chǎng)長(zhǎng)期的負(fù)相關(guān)關(guān)系說(shuō)明黃金可以對(duì)股票起到對(duì)沖風(fēng)險(xiǎn)的作用。通過(guò)第一步SVAR剔除石油市場(chǎng)對(duì)股票市場(chǎng)的沖擊后,股票市場(chǎng)自身沖擊對(duì)黃金市場(chǎng)收益的相關(guān)系數(shù)小于未剔除石油市場(chǎng)沖擊時(shí)股票市場(chǎng)和黃金市場(chǎng)的相關(guān)系數(shù),這體現(xiàn)了第一步SVAR的必要性。通過(guò)SVAR剔除石油市場(chǎng)對(duì)股票市場(chǎng)的沖擊后,對(duì)股票市場(chǎng)自身沖擊和黃金市場(chǎng)收益進(jìn)行非參數(shù)回歸和半?yún)?shù)回歸發(fā)現(xiàn),股票市場(chǎng)自身的負(fù)向沖擊導(dǎo)致黃金市場(chǎng)的收益增加,股票市場(chǎng)自身的正向沖擊導(dǎo)致黃金市場(chǎng)的收益減少。因此黃金對(duì)股票起到對(duì)沖風(fēng)險(xiǎn)的作用,且在股票市場(chǎng)極端波動(dòng)的情況下,黃金是股票的避險(xiǎn)產(chǎn)品。采取分位數(shù)在分位數(shù)上的回歸之前,考慮進(jìn)行分位數(shù)回歸,觀察股票市場(chǎng)自身的沖擊對(duì)黃金市場(chǎng)收益的影響發(fā)現(xiàn),黃金市場(chǎng)不同行情下,股票市場(chǎng)的沖擊對(duì)黃金市場(chǎng)的影響不同。再通過(guò)對(duì)黃金市場(chǎng)收益和股票市場(chǎng)自身沖擊進(jìn)行分位數(shù)在分位數(shù)上的回歸發(fā)現(xiàn):當(dāng)黃金市場(chǎng)低迷時(shí),股票市場(chǎng)牛市的表現(xiàn)會(huì)使得黃金市場(chǎng)更加低迷;當(dāng)黃金市場(chǎng)利好,股票市場(chǎng)熊市會(huì)加劇黃金市場(chǎng)牛市。此外正向的股票市場(chǎng)沖擊會(huì)顯著影響黃金市場(chǎng)的收益,而股票市場(chǎng)沖擊為負(fù)時(shí),股票市場(chǎng)的沖擊對(duì)黃金市場(chǎng)無(wú)顯著影響,即股票市場(chǎng)的沖擊對(duì)黃金市場(chǎng)的影響是不對(duì)稱(chēng)的。
[Abstract]:The portfolio formed by the addition of gold to stocks and other investments will reduce the risk of the whole portfolio, that is, gold acts as a hedge against the risk of stocks, so gold as an investment product has been widely concerned. During the financial crisis, when investors were looking for other investments to hedge against the risk of a crash in the stock market, physical assets such as precious metal gold were favored by investors. In the stock market, whether gold still plays a risk-averse role has attracted more and more attention. In addition to gold, oil is an investment that investors often consider, and earnings and its impact on the oil market could have an impact on the stock market and the gold market. In order to investigate the impact of the stock market itself on the gold market returns and the correlation between the stock market impact and the quantiles of the gold market returns, You must take into account the impact of oil market shocks that affect stock market yields. Therefore, this paper discusses the impact of stock market on gold market in two steps under extreme market conditions. The first step is to separate the oil market from the impact of the oil market on the stock market and find out the impact of the stock market itself. The second step is based on controlling the gold market yield, the dollar price and the bond yield in the last period, the non-parametric local linear quantile regression of the gold market yield and the impact of the stock market itself is carried out. The effect of the quartile of stock market shock on the quantile of gold market was observed. By analyzing the data from January 1980 to November 2016, we can see that the correlation coefficient between gold market returns and stock market returns is very low. Gold can play a role in reducing the risk of stock portfolio without reducing the expected return. In addition, the negative correlation between gold market and stock market shows that gold can hedge stock risk. Through the first step SVAR removes the impact of oil market on the stock market, the correlation coefficient of stock market self-impact on gold market income is smaller than that of stock market and gold market when oil market shock is not excluded. This reflects the necessity of the first step SVAR. Through SVAR excluding the impact of oil market on the stock market, the non-parametric regression and semi-parametric regression of stock market self-impact and gold market income are carried out. It is found that the negative impact of stock market itself leads to the increase of gold market income. The positive impact of the stock market itself has led to a decline in returns in the gold market. Therefore, gold acts as a hedge against stocks, and gold is a safe haven for stocks in the event of extreme volatility in the stock market. Before the quantile regression, we consider the quantile regression, and observe the impact of the stock market on the gold market returns. The impact of the stock market on the gold market is different. Then through the return of the gold market income and the impact of the stock market itself, we find that when the gold market is depressed, the stock market bull market performance will make the gold market more depressed; when the gold market is good, The bear market in the stock market will exacerbate the bullish gold market. In addition, the positive impact of the stock market will significantly affect the return of the gold market, but when the impact of the stock market is negative, the impact of the stock market on the gold market is not significant, that is, the impact of the stock market on the gold market is asymmetric.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51;F832.54

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