本文選題：黃金期貨市場(chǎng)　切入點(diǎn)：交易量　出處：《上海師范大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：在當(dāng)今社會(huì),黃金不單是個(gè)人財(cái)富的象征,同時(shí)也是一個(gè)國(guó)家儲(chǔ)備的重要元素。擁有雄厚的黃金儲(chǔ)備為一個(gè)國(guó)家金融市場(chǎng)的良好運(yùn)行提供了有力的保障。我國(guó)為大力發(fā)展金融市場(chǎng),活躍黃金交易。于2008年1月9日,我國(guó)黃金期貨正式在上海期貨交易所進(jìn)行交易。黃金期貨的上市交易將推動(dòng)黃金相關(guān)行業(yè)的全面發(fā)展,為我國(guó)爭(zhēng)取國(guó)際黃金定價(jià)權(quán)加碼。2008年以來(lái),國(guó)際經(jīng)濟(jì)局勢(shì)乃至整個(gè)政治形勢(shì)動(dòng)蕩不安,如致使全球經(jīng)濟(jì)蕭條的美國(guó)次貸危機(jī),相繼爆發(fā)的歐洲主權(quán)債務(wù)問(wèn)題。2013年以來(lái),黃金價(jià)格一路受挫,此種情況嚴(yán)重打擊了黃金投資者的信心,更加使得國(guó)家黃金儲(chǔ)備嚴(yán)重貶值。與此同時(shí),黃金期貨市場(chǎng)價(jià)格也因此而大幅波動(dòng)。在此背景之下,研究我國(guó)黃金市場(chǎng)價(jià)格波動(dòng)特征,有助于理性認(rèn)識(shí)黃金期貨市場(chǎng)價(jià)格波動(dòng)風(fēng)險(xiǎn),從而能做出明智的決策。更能為黃金期貨市場(chǎng)的健康穩(wěn)定發(fā)展提供幫助。 在目前的我國(guó)學(xué)術(shù)界,針對(duì)我國(guó)黃金期貨市場(chǎng)的學(xué)術(shù)研究相對(duì)較少。關(guān)于中國(guó)黃金期貨市場(chǎng)的定量研究,更是鳳毛麟角。事實(shí)上,我國(guó)黃金期貨市場(chǎng)在經(jīng)過(guò)近六年的發(fā)展過(guò)程,黃金期貨市場(chǎng)固有本質(zhì)屬性已然有所顯現(xiàn)。本文試圖從不同角度對(duì)黃金期貨市場(chǎng)波動(dòng)性展開(kāi)相關(guān)研究,運(yùn)用經(jīng)典計(jì)量經(jīng)濟(jì)學(xué)模型對(duì)于我國(guó)黃金期貨市場(chǎng)波動(dòng)性定量分析研究。論文結(jié)論對(duì)我國(guó)黃金期貨市場(chǎng)的發(fā)展和監(jiān)管具有一些參考價(jià)值,同時(shí),文中所使用的計(jì)量模型及研究方法對(duì)于其他商品期貨的分析研究具有一定的借鑒作用。 本文首先對(duì)黃金及黃金期貨市場(chǎng)進(jìn)行概述。通過(guò)系統(tǒng)回顧和總結(jié)國(guó)內(nèi)外對(duì)黃金期貨市場(chǎng)波動(dòng)性等方面相關(guān)研究工作,使讀者更加了解黃金期貨市場(chǎng)研究的概況。再利用GARCH模型對(duì)我國(guó)黃金期貨市場(chǎng)的量?jī)r(jià)關(guān)系進(jìn)行實(shí)證研究。同時(shí),利用ARIMA模型將市場(chǎng)交易量和持倉(cāng)量都分解為預(yù)期部分和非預(yù)期部分,通過(guò)對(duì)比研究它們對(duì)于波動(dòng)性的解釋能力。最后再使用協(xié)整理論、誤差修正模型、格蘭杰因果關(guān)系檢驗(yàn)、脈沖響應(yīng)函數(shù)等方法對(duì)我國(guó)黃金期貨與上海黃金現(xiàn)貨、紐約黃金期貨、國(guó)際現(xiàn)貨黃金市場(chǎng)等之間的關(guān)系進(jìn)行了實(shí)證研究。力圖通過(guò)市場(chǎng)之間的聯(lián)動(dòng)性分析,更深層次地揭示我國(guó)黃金期貨市場(chǎng)波動(dòng)性的成因。最后,對(duì)全文進(jìn)行系統(tǒng)總結(jié),歸納了各章研究得出的主要結(jié)果和結(jié)論,并分析本文的研究不足和今后的研究方向等。
[Abstract]:In today's world, gold is not just a symbol of personal wealth, At the same time, it is also an important element of a country's reserve. Having a strong gold reserve provides a strong guarantee for the good operation of a country's financial market. China's gold futures are officially traded on the Shanghai Futures Exchange. The listing and trading of gold futures will promote the overall development of gold-related industries and increase the international gold pricing power for our country. Since 2008, The international economic situation and even the whole political situation are in turmoil, such as the subprime mortgage crisis in the United States, which caused the global economic depression, and the successive outbreak of the European sovereign debt problem. Since 2013, the price of gold has been thwarted. This situation has seriously hit the confidence of gold investors and further devalued the country's gold reserve. At the same time, the gold futures market price has also fluctuated substantially. In this context, the characteristics of the fluctuation of the gold market price in China are studied. It is helpful for rational understanding of the risk of price fluctuation in gold futures market, so as to make wise decisions, and it can also help the healthy and stable development of gold futures market. At present, there is relatively little academic research on China's gold futures market. Quantitative research on China's gold futures market is even rarer. In fact, After nearly six years of development of gold futures market in China, the inherent nature of gold futures market has already appeared. This paper attempts to carry out a related study on volatility of gold futures market from different angles. Using the classical econometrics model to quantitatively analyze the volatility of China's gold futures market, the conclusion of the paper has some reference value for the development and supervision of China's gold futures market, at the same time, The econometric models and research methods used in this paper can be used for reference in the analysis and research of other commodity futures. This paper first summarizes the gold and gold futures market. Through a systematic review and summary of domestic and foreign gold futures market volatility and other related research work, Make readers understand the general situation of gold futures market, and then use GARCH model to study the relationship between volume and price of gold futures market in China. At the same time, By using ARIMA model, the market volume and position are decomposed into expected part and unanticipated part. Finally, cointegration theory, error correction model and Granger causality test are used to analyze their explanatory ability to volatility. The relationship between Chinese gold futures and Shanghai gold spot, New York gold futures and international spot gold market is studied by impulse response function. Finally, the paper systematically summarizes the main results and conclusions of each chapter, and analyzes the deficiency of this paper and the research direction in the future.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.54;F724.5

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