發(fā)布時(shí)間：2018-04-30 22:03

  本文選題：現(xiàn)貨貴金屬 + 投資風(fēng)險(xiǎn)��； 參考：《天津大學(xué)》2014年碩士論文

【摘要】：隨著我國經(jīng)濟(jì)社會的快速發(fā)展,國民財(cái)富大幅增長,國民對待財(cái)富的觀念也在不斷開放,正有越來越多的城鄉(xiāng)居民將家庭財(cái)富投入多樣化的投資渠道以圖保值增值,貴金屬投資也越來越受到投資者追捧。尤其自2013年4月中旬以來,國際國內(nèi)金價(jià)出現(xiàn)了歷史罕見的暴跌行情,激起了以“中國大媽”為代表的我國大眾投資者極大熱情。然而,貴金屬市場總有它深?yuàn)W莫測的規(guī)律,在眾多豪賭客瘋狂入手之后,國際貴金屬價(jià)格持續(xù)低位徘徊,至今未見回升跡象,他們中的大多數(shù)都被深度套牢。因此,只有在客觀認(rèn)識貴金屬的投資風(fēng)險(xiǎn),科學(xué)分析貴金屬的投資績效,并深入掌握基本市場規(guī)律情況下的投資行為才能稱之為真正的投資。本文將證券領(lǐng)域運(yùn)用成熟的VaR方法和RAROC方法引入到我國貴金屬投資風(fēng)險(xiǎn)度量和績效評價(jià)中來。以同期上證綜指的表現(xiàn)為參照基準(zhǔn),首先考察我國黃金、白銀、鉑金等三種主要貴金屬及上證綜指價(jià)格變化的相關(guān)性及其保值避險(xiǎn)功能,驗(yàn)證三種貴金屬現(xiàn)貨資產(chǎn)收益率序列具有典型的尖峰厚尾和波動(dòng)積聚性特征,然后選用GED-GARCH模型刻畫三種貴金屬和上證指數(shù)收益率序列的波動(dòng)性特征,進(jìn)而精確計(jì)算三種貴金屬投資和同期上證綜指的VaR和RAROC,并對四者的風(fēng)險(xiǎn)和績效指標(biāo)表現(xiàn)進(jìn)行組內(nèi)對比和組間對比,最終得出我國三種主要貴金屬現(xiàn)貨投資風(fēng)險(xiǎn)與績效的絕對表現(xiàn)和相對表現(xiàn)。研究結(jié)果表明,三種主要貴金屬的價(jià)格變化呈現(xiàn)較高的相關(guān)性,其中黃金和白銀價(jià)格與同期上證綜指呈負(fù)相關(guān),體現(xiàn)了兩者較強(qiáng)的金融避險(xiǎn)功能,鉑金的避險(xiǎn)功能表現(xiàn)并不明顯;在三種主要貴金屬現(xiàn)貨投資中,黃金資產(chǎn)的風(fēng)險(xiǎn)最小,鉑金次之,兩者的風(fēng)險(xiǎn)均小于同期上證綜指,白銀資產(chǎn)的風(fēng)險(xiǎn)與同期上證綜指相當(dāng);從經(jīng)風(fēng)險(xiǎn)調(diào)整后的綜合業(yè)績表現(xiàn)來看,投資黃金的回報(bào)最優(yōu),白銀次之,兩者都優(yōu)于上證綜指,而鉑金的回報(bào)略差于同期上證綜指。
[Abstract]:With the rapid development of our country's economy and society, the national wealth has been greatly increased, and the concept of national wealth has been opening up. More and more urban and rural residents are investing their household wealth in a variety of investment channels in order to maintain and increase their value. Precious metal investments are also increasingly sought after by investors. In particular, since mid-April 2013, the international and domestic gold prices have seen a historically rare plunge, arousing great enthusiasm from the masses of Chinese investors, represented by the "Chinese aunt". However, the precious metals market has always had its inscrutable regularity, with international precious metal prices hovering low and showing no signs of picking up after a frenzy of gamblers, most of whom are deeply trapped. Therefore, only in the objective understanding of the investment risk of precious metals, scientific analysis of the investment performance of precious metals, and in-depth grasp of the basic market law of investment behavior can be called real investment. In this paper, the mature VaR method and RAROC method are applied to the risk measurement and performance evaluation of precious metal investment in China. Taking the performance of the Shanghai Composite Index as the reference point during the same period, first of all, the correlation between the price changes of the three major precious metals, including gold, silver and platinum, and the value and hedge function of the Shanghai Composite Index are investigated. It is verified that the return sequence of three precious metals spot assets has typical characteristics of peak, thick tail and volatility accumulation, and then GED-GARCH model is used to describe the volatility characteristics of the return series of three precious metals and Shanghai stock index. Then accurately calculate the VaR and RAROCof the three precious metals investment and the Shanghai Composite Index in the same period, and carry on the intra-group and inter-group comparisons to the risk and performance performance of the four. Finally, the absolute and relative performance of the risk and performance of the three major precious metals spot investment in China are obtained. The results show that there is a high correlation between the price changes of the three major precious metals, among which the prices of gold and silver are negatively correlated with the Shanghai Composite Index in the same period, which reflects their strong financial hedging function. Among the three main precious metals spot investment, the risk of gold assets is the least, platinum is the second, the risk of both is lower than that of Shanghai Composite Index, the risk of silver assets is equivalent to that of Shanghai Stock Exchange Composite Index in the same period. On the basis of risk-adjusted performance, gold is the best return, silver is second, both outperform the Shanghai Composite, while platinum returns slightly worse than the Shanghai Composite during the same period.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.54

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