發(fā)布時(shí)間：2018-01-03 16:36

  本文關(guān)鍵詞：黃金價(jià)格收益率的杠桿效應(yīng)研究　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 黃金現(xiàn)貨價(jià)格 黃金期貨價(jià)格 杠桿效應(yīng)

【摘要】：黃金最初作為支付手段,充當(dāng)世界范圍內(nèi)的貨幣。而1971年黃金與美元脫鉤以后,黃金開(kāi)始向貯藏和保值的職能方向轉(zhuǎn)化。自亞洲金融危機(jī)和2008年美國(guó)金融危機(jī)后,美元的貶值和世界范圍內(nèi)經(jīng)濟(jì)形勢(shì)的不確定因素的增加,黃金需求結(jié)構(gòu)受到很大的影響和變化,需求主力開(kāi)始轉(zhuǎn)向投資領(lǐng)域。黃金作為一種新興的投資工具開(kāi)始形成其特有的市場(chǎng)。黃金作為投資組合中的一種重要資產(chǎn),在保值增值和風(fēng)險(xiǎn)規(guī)避方面發(fā)揮著不可替代的作用。經(jīng)濟(jì)形勢(shì)決定黃金投資的地位,在不確定的經(jīng)濟(jì)環(huán)境中,投資黃金已經(jīng)成為了繼證券、期貨、外匯之外,獨(dú)具吸引的一種投資渠道。從而投資者開(kāi)始關(guān)注影響黃金價(jià)格的因素,以及黃金價(jià)格收益率具有的特征。黃金價(jià)格受多種因素的影響,比如美元,股票指數(shù),通貨膨脹指數(shù)等,而這些影響因素都得到了很多學(xué)者的研究,且已經(jīng)得出很多一致和成熟的結(jié)論。黃金作為金融市場(chǎng)的投資品,其價(jià)格收益率的波動(dòng)性是否也存在一定的特征?分析并掌握該種特征對(duì)黃金市場(chǎng)投資是否能起到一定的指導(dǎo)作用?如果黃金市場(chǎng)價(jià)格收益率波動(dòng)性存在自身的特征,能否給投資者一些投資建議? 一般金融資產(chǎn)收益率的波動(dòng)率普遍存在一些共同的特征。首先,波動(dòng)率普遍存在波動(dòng)率聚集。其次,波動(dòng)率以連續(xù)的方式隨時(shí)間變化。再次,波動(dòng)率是一個(gè)平穩(wěn)的時(shí)間序列。最后,波動(dòng)率對(duì)價(jià)格的大幅上升和大幅下降存在著不同的反應(yīng),也即不同性質(zhì)信息的沖擊對(duì)波動(dòng)率的影響程度存在著不對(duì)稱(chēng)的效應(yīng)。這種效應(yīng)普遍稱(chēng)為杠桿效應(yīng)。一般金融資產(chǎn)價(jià)格收益率的波動(dòng)率普遍存在前三種特征,但杠桿效應(yīng)在有些市場(chǎng)上存在,而在另一些市場(chǎng)上卻不存在。黃金市場(chǎng)是否存在這樣的杠桿效應(yīng),不同的文獻(xiàn)得出不同的結(jié)論。所以,本文主要針對(duì)中美黃金市場(chǎng)是否存在杠桿效應(yīng)展開(kāi)了研究。專(zhuān)門(mén)選擇中國(guó)和美國(guó)黃金市場(chǎng)主要基于以下原因。首先中國(guó)作為黃金消費(fèi)的第一大國(guó),其不斷增長(zhǎng)的黃金消費(fèi)量將會(huì)引起金商們投資黃金的持續(xù)動(dòng)機(jī),且中國(guó)近來(lái)高企的CPI也使得個(gè)人開(kāi)始以投資黃金的方式規(guī)避貨幣貶值、通貨膨脹。其次由于美國(guó)經(jīng)濟(jì)發(fā)展形勢(shì)和美元地位對(duì)世界經(jīng)濟(jì)的影響力較大,同時(shí)美國(guó)作為世界黃金期貨交易量最大的市場(chǎng),所以在黃金定價(jià)話語(yǔ)權(quán)上,美國(guó)黃金市場(chǎng)是世界黃金價(jià)格的風(fēng)向標(biāo)。 針對(duì)黃金市場(chǎng)杠桿效應(yīng)的研究?jī)?nèi)容,本文確定了以下樣本和研究方法。首先選擇的樣本是中國(guó)和美國(guó)的黃金市場(chǎng)的現(xiàn)貨和期貨從2008年到2013年的數(shù)據(jù)。其次方法采用了研究杠桿效應(yīng)的三種GARCH模型,即TGARCH,EGARCH和PGARCH。在運(yùn)用上述三種模型時(shí),對(duì)均值方程和殘差分布進(jìn)行了一定的修正。 在文章結(jié)構(gòu)上,本文主要分為五個(gè)章節(jié)。 第一章為引言部分,主要是研究背景、研究意義、文章的研究思路和基本框架以及本文的特點(diǎn)和不足。 第二章為文獻(xiàn)綜述部分,主要對(duì)國(guó)內(nèi)和國(guó)外的文獻(xiàn)在黃金市場(chǎng)上的研究進(jìn)行整體的梳理。本章包括兩部分,1、黃金價(jià)格的影響因素；2、杠桿效應(yīng)研究及黃金市場(chǎng)存在的杠桿效應(yīng)特征。首先第一部分主要是為實(shí)證模型中外生變量的選取提供理論基礎(chǔ)。其次第二部分杠桿效應(yīng)的相關(guān)文獻(xiàn)總結(jié)為黃金市場(chǎng)的杠桿效應(yīng)提供了具體表現(xiàn)形式的描述。 第三章主要介紹黃金的固有屬性及其地位的歷史演變,黃金市場(chǎng)的參與者和組織結(jié)構(gòu),世界主要的黃金市場(chǎng)概述,中國(guó)黃金市場(chǎng)現(xiàn)狀,以及影響黃金的主要因素分析。對(duì)黃金價(jià)格影響因素的分析得出,黃金價(jià)格在長(zhǎng)期范圍內(nèi)主要受美元、主要國(guó)家的股票指數(shù)、商品價(jià)格指數(shù)和原油價(jià)格等的影響。 第四章是本文的實(shí)證部分。本章分為六個(gè)小節(jié)。第一節(jié)對(duì)黃金價(jià)格的收益率的研究意義進(jìn)行了描述。第二節(jié)對(duì)一般研究收益率的模型進(jìn)行了介紹。第三節(jié)是對(duì)實(shí)證模型的選擇。本文主要是針對(duì)黃金價(jià)格收益率波動(dòng)性在杠桿效應(yīng)方面的研究,而研究杠桿效應(yīng)的模型有TGARCH,EGARCH和PGARCH三種,所以本文選擇了這三個(gè)模型研究黃金市場(chǎng)的杠桿效應(yīng)。第四節(jié)是實(shí)證模型的修正,即均值方程加入了外生變量和風(fēng)險(xiǎn)溢價(jià)因素的影響。第五節(jié)是實(shí)證數(shù)據(jù)的選擇。第六節(jié)是實(shí)證過(guò)程。實(shí)證過(guò)程中運(yùn)用修正后的研究杠桿效應(yīng)的三種GARCH模型進(jìn)行數(shù)據(jù)擬合,并通過(guò)AIC準(zhǔn)則選擇最佳擬合模型。 第五章根據(jù)中美黃金市場(chǎng)的實(shí)證結(jié)果得出本文的結(jié)論,并分析兩個(gè)市場(chǎng)在杠桿效應(yīng)方面存在差異的原因。此外還包括相關(guān)投資建議和進(jìn)一步研究方向。 經(jīng)過(guò)實(shí)證分析,本文得出以下結(jié)論。 1、中國(guó)黃金市場(chǎng)無(wú)論是現(xiàn)貨還是期貨,均不存在針對(duì)利好信息和利空信息的杠桿效應(yīng)。美國(guó)黃金現(xiàn)貨價(jià)格收益率波動(dòng)率存在杠桿效應(yīng),而黃金期貨價(jià)格收益率波動(dòng)性不存在杠桿效應(yīng)。 2、美國(guó)黃金現(xiàn)貨市場(chǎng)存在的杠桿效應(yīng)情況與一般研究的杠桿效應(yīng)不同。一般金融資產(chǎn)存在的杠桿效應(yīng)是對(duì)利空信息反應(yīng)程度大于對(duì)利好信息的反應(yīng)程度,而本文得出的美國(guó)黃金現(xiàn)貨價(jià)格收益率波動(dòng)存在的杠桿效應(yīng)正好與此相反,即其對(duì)利好信息的反應(yīng)程度大于對(duì)利空信息的反應(yīng)程度。 本文存在如下特點(diǎn)。 1、在內(nèi)容上主要研究中、美黃金市場(chǎng)是否存在杠桿效應(yīng),以及在杠桿效應(yīng)的差異性和形成原因上進(jìn)行分析和解釋。 2、在研究模型上,選擇了研究杠桿效應(yīng)的三種GARCH模型,即TGARCH, EGARCH和PGARCH,并對(duì)三種模型進(jìn)行了對(duì)比分析。 3、在模型的修正上,將美元指數(shù)、商品價(jià)格指數(shù)、股票指數(shù)和黃金價(jià)格收益率波動(dòng)率的標(biāo)準(zhǔn)差分別作為外生變量和風(fēng)險(xiǎn)溢價(jià)因素同時(shí)加入到均值方程中。 文章后續(xù)的研究方向有,1、分時(shí)期進(jìn)行黃金市場(chǎng)現(xiàn)貨和期貨杠桿效應(yīng)研究,并對(duì)比和分析各個(gè)時(shí)期的結(jié)果；2、本文選擇的黃金市場(chǎng)僅有中國(guó)和美國(guó)市場(chǎng),將全球主要黃金市場(chǎng)均納入研究范圍也是后續(xù)研究方向；3、在杠桿效應(yīng)研究方面,我們假設(shè)的利好利空信息均是對(duì)未來(lái)的預(yù)期,該類(lèi)信息并沒(méi)有發(fā)生,在模型中也僅是一個(gè)假設(shè)。而已經(jīng)發(fā)生的利好利空信息對(duì)市場(chǎng)仍然有著深遠(yuǎn)的影響。該影響可能與預(yù)期信息共同對(duì)黃金市場(chǎng)存在的杠桿效應(yīng)產(chǎn)生影響,所以,針對(duì)已有信息對(duì)杠桿效應(yīng)的反作用,也是進(jìn)一步研究的方向。
[Abstract]:The original gold as a means of payment, as the world currency. And in 1971, gold and the dollar after decoupling, gold began to transform to the direction of the storage and preservation of function. Since the Asian financial crisis and the United States in 2008 after the financial crisis, the depreciation of the dollar and the world economic situation of uncertainty increases, gold demand structure by great changes and influence of the main demand to gold investment. As a new investment tool began to form its unique gold market. As an important asset in the portfolio, plays an irreplaceable role in increasing the value and risk aversion. The economic situation determines the status of investment in gold. The uncertain economic environment, investment gold has become the following securities, futures, foreign exchange, a unique investment channels. In order to attract investors began to focus on the effect of yellow The gold price factors and the characteristics of the gold price, rate of return is. Gold price is affected by many factors, such as the dollar, stock index, inflation index, but these factors have been studied by many scholars, and has obtained many favorable and mature conclusion. Gold as a financial market investment goods, the price the volatility of whether there is a certain feature? Analyze and grasp this feature of investment gold market can play a guiding role? If the gold market price return volatility has its own characteristics, can give investors some investment advice?
The general rate of financial asset volatility generally have some common characteristics. First, the volatility of common volatility aggregation. Secondly, the volatility in the continuous mode changes with time. Again, the volatility is a stationary time series. Finally, the volatility of large amplitude of rising prices fell sharply and there different reactions, namely the different nature of the impact of information asymmetry exists the effect on volatility. This effect is commonly referred to as "leverage effect. Generally the price of financial assets yield volatility exists before the three kinds of features, but the leverage effect exists in some markets, but does not exist in other markets. Whether there is leverage effect that the gold market, the different literature come to different conclusions. Therefore, this paper focuses on the Sino US the existence of the gold market leverage effect is studied. Specially selected China and the gold market is mainly based on the following reasons. Firstly, Chinese as the largest consumption of gold, gold consumption will continue its growing motivation of gold producers to invest in gold, and Chinese recent high CPI also makes personal investment gold party began to avoid the currency devaluation, inflation. Secondly due to the situation of America the development of economy and the dollar's influence on the world economy is larger, while the United States as the world's largest gold futures market, so the right to speak in the gold price, the United States is the world gold market gold price benchmark.
The research content for leverage effect of the gold market, this paper identified the following samples and research methods. The sample data is the first choice of the gold market and Chinese spot and futures from 2008 to 2013. The second method uses three kinds of GARCH models, the leverage effect of TGARCH, EGARCH and PGARCH. in the use of the above three model, the mean equation and residual distribution is modified.
In the structure of the article, this article is divided into five chapters.
The first chapter is the introduction, which is mainly the research background, the research significance, the research ideas and the basic framework of the article, and the characteristics and shortcomings of this article.
The second part is literature review, research in the gold market mainly on domestic and foreign literatures overall combing. This chapter includes two parts, 1 factors that affect the price of gold; 2, leverage characteristics have lever effect research and the gold market. The first part is mainly to provide the theoretical basis for the selection of an empirical model of Chinese and foreign students. The variable leverage effect literature followed by the second part of the leverage effect summary for the gold market provides specific forms of description.
The third chapter mainly introduces the historical evolution of the inherent attributes of gold and the status of the participants and the organizational structure of the gold market, the world's major gold market, gold market situation China, analysis and main factors affecting the price of gold gold. The influence factors analysis, the dollar price of gold mainly in long range, major countries the stock index, the impact of commodity price index and the price of crude oil and so on.
The fourth chapter is the empirical part of this paper. This chapter is divided into six sections. The first section on the price of gold yields the significance of the research are described. The second section of the general research yield model are introduced. The third section is the empirical model choice. This article is mainly focused on the gold price volatility. The leverage effect, and the leverage effect of the model with TGARCH, EGARCH and PGARCH three, so this paper chooses the leverage effect of the three models of the gold market. The fourth section is the empirical correction model, namely the mean equation joined the influence factors of exogenous variables and risk premium. The fifth section is the empirical data. Selection. The sixth section is the empirical process. Three kinds of GARCH model with leverage effect of the modified empirical process of data fitting, and by the AIC criterion to choose the best fitting model.
The fifth chapter draws the conclusion based on the empirical results of the Sino US gold market, and analyzes the reasons for the differences between the two markets in terms of leverage effect. Besides, it also includes relevant investment suggestions and further research directions.
After the empirical analysis, this paper draws the following conclusions.
1, there is no leverage effect in China's gold market, no matter spot or futures, which is good for information and bad information. There is leverage effect in the US gold spot price volatility, and there is no leverage effect in the volatility of gold futures price returns.
2, the situation of leverage effect exist in the United States gold spot market and the leverage effect of general studies. The leverage effect exists in financial assets is generally bad information is greater than the degree of reaction degree of positive reaction to the information, and the American gold spot price return volatility leverage effect exists for the opposite, namely the reaction the degree of positive information is greater than the degree of response to bad news.
This article has the following characteristics.
1, in the main content of the study, whether there is a leverage effect in the US gold market, and to analyze and explain the differences and causes of the leverage effect.
2, on the research model, three kinds of GARCH models, namely, TGARCH, EGARCH and PGARCH, are selected to study the leverage effect, and the three models are compared and analyzed.
3, in the revision of the model, the standard deviations of the US dollar index, commodity price index, stock index and gold price return volatility are taken as exogenous variables and risk premium factors simultaneously, and added to the mean value equation.
The research direction in the later period, 1 points, gold spot and Futures Market Research and leverage effect, comparison and analysis of the results of each period; 2, the only Chinese gold market and the U.S. market, the global major gold markets are also included in the scope of the study is the follow-up research direction; 3, study on the lever we assume that the effect, good bad information is expected for the future, this kind of information does not occur in the model, it is only a hypothesis. And have been good bad information still has a profound impact on the market. This effect may be related to a common impact on the expected information, the gold market has leverage effect so, according to the existing information on the role of anti leverage effect, but also the direction for further research.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F832.54

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