本文選題：黃金市場(chǎng) + 假期效應(yīng)　； 參考：《廣西師范大學(xué)》2015年碩士論文

【摘要】：黃金的價(jià)格波動(dòng)機(jī)制不同于普通的商品,其價(jià)格也成為國(guó)內(nèi)外諸多學(xué)者關(guān)注和研究的重點(diǎn)。2008年全球金融危機(jī)后,黃金逐漸成為股票、債券、基金之外另一個(gè)重要的投資與避險(xiǎn)工具。近年來(lái),很多的原因致使黃金的價(jià)格受到不同程度的波動(dòng)。而且隨著黃金投資日漸進(jìn)入人們的視野,對(duì)黃金價(jià)格未來(lái)走勢(shì)的判斷也顯得尤為重要。本文以中國(guó)黃金市場(chǎng)為主,用應(yīng)用計(jì)量經(jīng)濟(jì)學(xué)、統(tǒng)計(jì)學(xué)的理論與方法對(duì)黃金價(jià)格的假期效應(yīng)進(jìn)行實(shí)證分析。假期效應(yīng),包含了假期前效應(yīng)和假期后效應(yīng),具體的內(nèi)容是：在我國(guó)法定假期前后黃金現(xiàn)貨市場(chǎng)是否存在超高的收益率和波動(dòng)率出現(xiàn)異常的現(xiàn)象。本文利用中國(guó)黃金市場(chǎng)實(shí)際情況2006年12月至2014年3月AU9999收益率數(shù)據(jù),結(jié)合GARCH、 EGARCH、TGARCH、PGARCH模型實(shí)證檢驗(yàn)中國(guó)黃金市場(chǎng)是否存在假期效應(yīng)。結(jié)果是：中國(guó)黃金市場(chǎng)存在明顯的假期效應(yīng),其中元旦前后、春節(jié)前后、十一后有明顯的假期效應(yīng)。本文的主要內(nèi)容包括：第一部分,緒論。本章詳細(xì)的闡述了文章的研究背景,研究的現(xiàn)實(shí)意義和理論意義,國(guó)內(nèi)外關(guān)于假期效應(yīng)的研究現(xiàn)狀,最后說(shuō)出了本文研究的方法。第二部門(mén),假期效應(yīng)的成因分析。在這部分中,文章從各個(gè)角度分析了造成我國(guó)黃金現(xiàn)貨市場(chǎng)假期效應(yīng)的根源。主要的成因是：國(guó)家政策,投資者的情緒,CPI,和原油市場(chǎng)。第三部分,假期效應(yīng)實(shí)證分析。在本章中,系統(tǒng)的闡述了實(shí)證分析的方式,方法。在對(duì)黃金市場(chǎng)進(jìn)行描述性統(tǒng)計(jì)分析的基礎(chǔ)上,繼續(xù)用GARCH, EGARCH, TGARCH, PGARCH模型進(jìn)行實(shí)證檢驗(yàn),以期望取得更好的研究結(jié)果。第四部分,結(jié)論與政策建議。在前面研究的基礎(chǔ)上,得出的結(jié)論是我國(guó)黃金現(xiàn)貨市場(chǎng)有明顯的假期效應(yīng),其中在元旦前后,春節(jié)前后有明顯的假期效應(yīng)。然后進(jìn)一步闡明了黃金市場(chǎng)假期效應(yīng)的根源。最后,針對(duì)我國(guó)黃金市場(chǎng)的現(xiàn)狀,對(duì)黃金市場(chǎng)的參與者,做出了幾點(diǎn)投資建議。本文研究的創(chuàng)新之處：第一,彌補(bǔ)了我國(guó)黃金市場(chǎng)假期效應(yīng)研究的空白之處,不僅研究了黃金市場(chǎng)假期前效應(yīng)。同時(shí)研究了假期后效應(yīng)。對(duì)假期效應(yīng)的時(shí)間定義為前五天。第二,在對(duì)我國(guó)黃金現(xiàn)貨市場(chǎng)進(jìn)行描述性統(tǒng)計(jì)的基礎(chǔ)上,進(jìn)一步又對(duì)數(shù)據(jù),進(jìn)行GRACH, PGARCH, EGARCH, TGARCH檢驗(yàn)。
[Abstract]:The price fluctuation mechanism of gold is different from that of ordinary commodities, and its price has also become the focus of attention and research by many scholars at home and abroad. After the 2008 global financial crisis, gold gradually became a stock and bond. There is another important investment and hedge tool outside the fund. In recent years, gold prices have fluctuated to varying degrees for many reasons. Moreover, as gold investment enters people's vision day by day, it is very important to judge the future trend of gold price. This paper focuses on the gold market in China and makes an empirical analysis of the holiday effect of gold price by applying econometrics and statistical theory and methods. The holiday effect includes the pre-holiday effect and post-holiday effect. The specific content is whether there are abnormal phenomena of super-high return rate and volatility in the gold spot market before and after the statutory holiday in China. This paper makes use of the actual situation of China's gold market from December 2006 to March 2014 to test whether there is a holiday effect in China's gold market by using the data of AU9999 yield and combining with the GARCH, EGARCHTGARCH-PGARCH model. The results are as follows: there are obvious holiday effects in China's gold market, including before and after New Year's Day, before and after Spring Festival, and after November. The main content of this paper includes: the first part, introduction. In this chapter, the research background, the practical and theoretical significance of the research, the current situation of the research on the holiday effect at home and abroad, and the methods of this study are described in detail. The second part, the reason analysis of holiday effect. In this part, the paper analyzes the origin of the holiday effect in China's gold spot market from various angles. The main causes are: state policy, investor sentiment, and the oil market. The third part, the empirical analysis of holiday effect. In this chapter, the way and method of empirical analysis are systematically expounded. On the basis of descriptive statistical analysis of gold market, we continue to use GARCH, EGARCH, TGARCH, PGARCH model to carry out empirical tests in order to obtain better research results. The fourth part, conclusions and policy recommendations. On the basis of the previous research, the conclusion is that there are obvious holiday effects in China's gold spot market, including before and after New Year's Day, and before and after Spring Festival. Then it further clarifies the origin of the holiday effect in gold market. Finally, according to the current situation of China's gold market, several investment suggestions are made to the participants of the gold market. The innovations of this paper are as follows: first, it makes up for the blank of the study on the holiday effect of gold market in China, and not only studies the pre-holiday effect of the gold market. The post-holiday effect is also studied. The duration of the holiday effect is defined as the first five days. Secondly, on the basis of descriptive statistics on China's gold spot market, GRACH, PGARCH, EGARCH, TGARCH test is carried out.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類(lèi)號(hào)】：F426.32;F764.2

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 ;美國(guó)甲醇現(xiàn)貨價(jià)格升至最高點(diǎn)[J];乙醛醋酸化工;2013年10期

2 林清山;國(guó)際市場(chǎng)食糖現(xiàn)貨價(jià)格資料[J];甘蔗;1995年03期

3 卜軼彪;華北黃淮旱情緩解 小麥現(xiàn)貨價(jià)格下跌——小麥?zhǔn)袌?chǎng)5月上旬行情綜述[J];糧食與油脂;2002年06期

4 ;遠(yuǎn)東市場(chǎng)石化產(chǎn)品現(xiàn)貨價(jià)格(2003年8月8日)[J];化工技術(shù)經(jīng)濟(jì);2003年09期

5 ;遠(yuǎn)東市場(chǎng)石化產(chǎn)品現(xiàn)貨價(jià)格[J];化工技術(shù)經(jīng)濟(jì);2003年10期

6 徐愛(ài)東;供應(yīng)不穩(wěn)導(dǎo)致鎳價(jià)一觸即發(fā)[J];中國(guó)金屬通報(bào);2003年08期

7 ;遠(yuǎn)東市場(chǎng)石化產(chǎn)品現(xiàn)貨價(jià)格[J];化工技術(shù)經(jīng)濟(jì);2004年02期

8 ;遠(yuǎn)東石化產(chǎn)品現(xiàn)貨價(jià)格[J];國(guó)際化工信息;2004年04期

9 ;遠(yuǎn)東市場(chǎng)石化產(chǎn)品現(xiàn)貨價(jià)格[J];化工技術(shù)經(jīng)濟(jì);2004年04期

10 ;遠(yuǎn)東市場(chǎng)石化產(chǎn)品現(xiàn)貨價(jià)格[J];化工技術(shù)經(jīng)濟(jì);2004年07期

相關(guān)重要報(bào)紙文章 前10條

1 ;雙酚A現(xiàn)貨價(jià)格低位行走，，預(yù)計(jì)仍將下跌[N];醫(yī)藥經(jīng)濟(jì)報(bào);2005年

2 賈煒;現(xiàn)貨緊張 倒掛終結(jié)[N];中國(guó)化工報(bào);2006年

3 張鵬;現(xiàn)貨下跌中反應(yīng)遲滯[N];中華合作時(shí)報(bào);2007年

4 蔣洪艷;玉米現(xiàn)貨價(jià)格走高　期價(jià)也有反彈需求[N];糧油市場(chǎng)報(bào);2007年

5 馬倩;銅市供應(yīng)緊張狀況趨緩[N];期貨日?qǐng)?bào);2006年

6 馬倩;銅價(jià)再創(chuàng)新高 鋁價(jià)有所回升[N];期貨日?qǐng)?bào);2006年

7 馬倩;銅鋁價(jià)格加速上漲[N];期貨日?qǐng)?bào);2006年

8 馬倩;銅鋁雙雙大幅回落[N];期貨日?qǐng)?bào);2006年

9 馬倩;銅市消費(fèi)有所回暖[N];期貨日?qǐng)?bào);2006年

10 馬倩;銅鋁價(jià)格雙雙回落[N];期貨日?qǐng)?bào);2006年

相關(guān)博士學(xué)位論文 前2條

1 張閣;中國(guó)股指期貨對(duì)現(xiàn)貨市場(chǎng)的影響研究[D];東北財(cái)經(jīng)大學(xué);2010年

2 吳橋;現(xiàn)貨價(jià)格波動(dòng)下原材料最優(yōu)采購(gòu)決策研究[D];浙江大學(xué);2012年

本文編號(hào)：1870733