我国黄金市场价格泡沫与风险研究

发布时间：2018-01-07 13:25

本文关键词：我国黄金市场价格泡沫与风险研究　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：黄金是一种具有金融属性、商品属性和货币属性三种属性的贵金属,具有不可替代的保值、避险等功能,同时也是各国外汇储备的重要组成部分。随着金融市场的发展,国际和国内的黄金市场也在高速发展,越来越多的投资者加入到黄金投资的退伍中,黄金的金融属性对黄金的价格影响也越来越大随着近几年来投资者们对黄金市场的投资热情上涨、黄金价格发生越来越大的波动性越来越多的学者们开始对黄金市场进行探索性的研究。其主要的研究侧重点为黄金市场价格影响因素以及黄金市场波动性特征分析。虽然我国目前已经建立国内黄金交易市场,但由于我国黄金市场起步较晚,市场制度还有待完善,导致对我国黄金市场的研究相比于国际黄金市场研究的成果要少。因此,对我国黄金市场进行分析研究还是存在一定重要性。本文侧重对我国黄金市场进行研究分析,旨在对我国黄金市场价格泡沫的存在进行检验,并测度我国黄金市场存在的价格风险和流动性风险。因此,在本文的实证分析过程中选择上海黄金交易所交易的Au99.99现货黄金价格作为样本运用持续游程检验的方法对我国黄金市场价格泡沫进行检验,并通过建立VaR-GARCH模型对我国黄金市场价格风险和流动性风险进行研究分析。本文首先通过对国内外黄金市场历史发展动态以及黄金市场价格波动状况的阐述,结合当前投资者们对黄金的投资状况,说明了对我国黄金市场价格波动性分析的重要性,并介绍了本文的创新点和研究结构。同时,对国内外学者对资产泡沫检测以及黄金市场的风险研究的理论分析和实证研究的相关文献进行综述。其次,通过建立GARCH模型对我国黄金市场价格波动性进行拟合分析,通过分析发现在样本期间,投资者投资我国黄金市场的平均收益率大于0,并且价格收益率存在明显的波动聚集性的特征。在对我国黄金市场波动性进行分析之后,利用波动性分析所构造的AR(2)-GARCH (1,1)模型回归的残差作为黄金市场价格的超额收益率进行持续游程检验。从我国黄金市场价格超额收益率的统计特征检验和持续游程检验都证明我国黄金市场上存在正的理性投机泡沫,而无法判定负泡沫的存在。同时,检验的结果支持了游程结束的概率会随着游程长度的增长而递减。资产价格泡沫的存在必定会对投资者的投资造成一定的风险,为了对我国黄金市场风险进行数量测算,本文通过构造VaR-GARCH模型对我国黄金市场价格风险和流动性风险进行测度,在得到价格风险和流动性风险VaR值后对两类风险之间的相关性进行分析。分析结果表明我国黄金市场价格风险与流动性风险之间存在相互影响关系。
[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 .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.54

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