本文關(guān)鍵詞：我國黃金市場價(jià)格泡沫與風(fēng)險(xiǎn)研究　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 黃金市場 理性投機(jī)泡沫 波動(dòng)特征 風(fēng)險(xiǎn)度量 VaR-GARCH模型

【摘要】：黃金是一種具有金融屬性、商品屬性和貨幣屬性三種屬性的貴金屬,具有不可替代的保值、避險(xiǎn)等功能,同時(shí)也是各國外匯儲(chǔ)備的重要組成部分。隨著金融市場的發(fā)展,國際和國內(nèi)的黃金市場也在高速發(fā)展,越來越多的投資者加入到黃金投資的退伍中,黃金的金融屬性對黃金的價(jià)格影響也越來越大 隨著近幾年來投資者們對黃金市場的投資熱情上漲、黃金價(jià)格發(fā)生越來越大的波動(dòng)性越來越多的學(xué)者們開始對黃金市場進(jìn)行探索性的研究。其主要的研究側(cè)重點(diǎn)為黃金市場價(jià)格影響因素以及黃金市場波動(dòng)性特征分析。雖然我國目前已經(jīng)建立國內(nèi)黃金交易市場,但由于我國黃金市場起步較晚,市場制度還有待完善,導(dǎo)致對我國黃金市場的研究相比于國際黃金市場研究的成果要少。因此,對我國黃金市場進(jìn)行分析研究還是存在一定重要性。 本文側(cè)重對我國黃金市場進(jìn)行研究分析,旨在對我國黃金市場價(jià)格泡沫的存在進(jìn)行檢驗(yàn),并測度我國黃金市場存在的價(jià)格風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)。因此,在本文的實(shí)證分析過程中選擇上海黃金交易所交易的Au99.99現(xiàn)貨黃金價(jià)格作為樣本運(yùn)用持續(xù)游程檢驗(yàn)的方法對我國黃金市場價(jià)格泡沫進(jìn)行檢驗(yàn),并通過建立VaR-GARCH模型對我國黃金市場價(jià)格風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)進(jìn)行研究分析。 本文首先通過對國內(nèi)外黃金市場歷史發(fā)展動(dòng)態(tài)以及黃金市場價(jià)格波動(dòng)狀況的闡述,結(jié)合當(dāng)前投資者們對黃金的投資狀況,說明了對我國黃金市場價(jià)格波動(dòng)性分析的重要性,并介紹了本文的創(chuàng)新點(diǎn)和研究結(jié)構(gòu)。同時(shí),對國內(nèi)外學(xué)者對資產(chǎn)泡沫檢測以及黃金市場的風(fēng)險(xiǎn)研究的理論分析和實(shí)證研究的相關(guān)文獻(xiàn)進(jìn)行綜述。 其次,通過建立GARCH模型對我國黃金市場價(jià)格波動(dòng)性進(jìn)行擬合分析,通過分析發(fā)現(xiàn)在樣本期間,投資者投資我國黃金市場的平均收益率大于0,并且價(jià)格收益率存在明顯的波動(dòng)聚集性的特征。 在對我國黃金市場波動(dòng)性進(jìn)行分析之后,利用波動(dòng)性分析所構(gòu)造的AR(2)-GARCH (1,1)模型回歸的殘差作為黃金市場價(jià)格的超額收益率進(jìn)行持續(xù)游程檢驗(yàn)。從我國黃金市場價(jià)格超額收益率的統(tǒng)計(jì)特征檢驗(yàn)和持續(xù)游程檢驗(yàn)都證明我國黃金市場上存在正的理性投機(jī)泡沫,而無法判定負(fù)泡沫的存在。同時(shí),檢驗(yàn)的結(jié)果支持了游程結(jié)束的概率會(huì)隨著游程長度的增長而遞減。 資產(chǎn)價(jià)格泡沫的存在必定會(huì)對投資者的投資造成一定的風(fēng)險(xiǎn),為了對我國黃金市場風(fēng)險(xiǎn)進(jìn)行數(shù)量測算,本文通過構(gòu)造VaR-GARCH模型對我國黃金市場價(jià)格風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)進(jìn)行測度,在得到價(jià)格風(fēng)險(xiǎn)和流動(dòng)性風(fēng)險(xiǎn)VaR值后對兩類風(fēng)險(xiǎn)之間的相關(guān)性進(jìn)行分析。分析結(jié)果表明我國黃金市場價(jià)格風(fēng)險(xiǎn)與流動(dòng)性風(fēng)險(xiǎn)之間存在相互影響關(guān)系。
[Abstract]:Gold is a kind of precious metal with three attributes of financial attribute , commodity attribute and monetary attribute . It has the functions of non - substitution , hedging and hedging . Along with the development of financial market , the gold market in international and domestic is developing at high speed . With the increase of investors ' enthusiasm in the gold market in recent years , more and more scholars have begun to explore the gold market . The main research focuses on the factors of gold market price and the analysis of the volatility of gold market . Although China has already set up the domestic gold trading market , the market system is still to be improved because of the late start of China ' s gold market , which leads to less research than the international gold market . Therefore , it is still of importance to analyze the gold market in China . This paper focuses on the research and analysis of the gold market in China , and aims to test the existence of the price bubbles in China ' s gold market and measure the price risk and liquidity risk in China ' s gold market . Firstly , through the description of the development of gold market and the fluctuation of gold market at home and abroad , this paper discusses the importance of the analysis of price volatility of gold market in China by combining the current investors ' investment in gold market , and introduces the innovation points and research structure of this paper . At the same time , the author reviews the theoretical analysis and empirical research on asset bubble detection and risk research in gold market at home and abroad . Secondly , we fit the price volatility of China ' s gold market by establishing the ARCH model , and it is found that , during the sample period , the average yield of investor ' s investment in China ' s gold market is greater than 0 , and the price returns have obvious volatility clustering . After analyzing the volatility of the gold market in China , the residual error of AR ( 2 ) - ( 1 , 1 ) model returned by the volatility analysis is used as the excess return of the gold market price . The statistical characteristic test and the continuous run - over test of the gold market price of our country prove that there is positive rational speculative bubble in the gold market of our country , and cannot judge the existence of the negative foam . At the same time , the result of the test supports the probability that the end of the run will decrease with the increase of the run length . In order to measure the risk of gold market in our country , we measure the price risk and liquidity risk of China ' s gold market by constructing VaR - ARCH model , and analyze the correlation between the two kinds of risks after the VaR value of price risk and liquidity risk is obtained . The analysis results show that there is mutual influence between price risk and liquidity risk in China .

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

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