【作者】 王欣；

【导师】 何嗣江；

【作者基本信息】 浙江大学 ， 项目管理， 2011， 硕士

【摘要】 本文首先综述了黄金价格在人类经济史上的演变,分三个阶段描述性分析了黄金价格的走势,以及黄金价格在我国经济中的发展。然后对现有的国际上著名的黄金交易市场与上海黄金交易市场进行了对比分析,找出影响黄金交易价格的一些共性因素,如供求关系,货币流动性,石油价格,原产地政治动荡,甚至包括美元汇率及美国股市等因素。这些因素难以全面的量化分析,而本文研究的主要目的是找到黄金的定价因素,所以在研究中,摒弃了上述分析的外部因素,主要考虑黄金市场内部因素,实证部分以中国上海和英国伦敦黄金市场为例,在国内外黄金价格形成机制的基础上,应用R/S分析方法实证研究了国内外黄金价格波动性及其演化,以及利用格兰杰检验分析了国际金价以及国内股市与国内金价之间的因果关系。实证研究表明：国内外黄金价格波动都存在集聚性和持续性的特征,而且国外市场金价波动的上述特征强于国内市场；国内外黄金价格波动都是由最初的强持续性向弱持续性演化,国际市场由强持续性向弱持续性演化的速度慢于国内市场。国内黄金市场对国际黄金市场价格影响小,但影响力在逐步增强。结合上述实证分析结果,提出了通过建立多层次的交易市场,增加市场深度,培育市场参与者,增强市场广度,从而以量的角度扩大市场规模,形成一定的国际影响力。另外,本文也提出通过丰富黄金衍生品的交易,更好的缓解国内黄金市场的波动,更好的与世界黄金市场接轨,为黄金市场逐步向国际开放做好准备。更多还原

【Abstract】 This paper reviews the economic history of gold price devided by three phases and discribs the price of gold in China’s economic development. Then the famous Shanghai Gold Exchange and the other famous international gold trading market were compared to find out some common factors involving the price of gold trading, such as supply and demand, liquidity, oil prices, political instability origin, or even including the dollar and U.S. stock market and other factors. These factors are difficult to completely quantify in analysis. Inorder to find the factor which affects gold price, external factors above were eliminated in the study. The main gold market internal factors were taken into account in the empirical part of the gold in Shanghai and London market. The paper analyses the price formation mechanism of gold at home and abroad, based on the application of R/S analysis of empirical research of the domestic gold price volatility and its evolution and takes advertange of Granger Causality Test to indentify the relationship between international gold price and the domestic stock market and domestic price of gold.Empirical research shows that gold price volatility in both domestic and international presence and persistence of clustering features, and fluctuations in foreign markets, the characteristics of gold is stronger than the domestic market; domestic and international gold price fluctuations are sustained by the strong initial aptitude continuing evolution of the weak The international market continued to aptitude weak by the strong continuity of slow evolution of the domestic market. The domestic gold market on the international gold market price is small, but the impact is gradually enhanced.Combination of the above empirical results, presented through the establishment of multi-level market, increase market depth, develop the market participants, and enhance market breadth, and thus the amount of perspective to expand the market size, a certain international influence. In addition, we also present a rich gold through derivatives trading, better ease the domestic gold market volatility, better integration with the world gold market, to make the gold market gradually opening up to international.更多还原