国际黄金现货市场的避险能力研究——基于DCC-GARCH模型  

Research on the Hedging Ability of International Gold Spot Market——Based on DCC-GARCH Model

作　　者：邹子昂 彭啸帆 皮俊[1] ZOU Ziang;PENG Xiaofan;PI Jun(College of Finance and Statistics,Hunan University,Changsha,Hunan 410079,China)

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《财经理论与实践》2018年第6期44-50,共7页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金创新群体项目(71221001)

摘　　要：通过引入DCC-GARCH模型,考量黄金现货市场与白银现货市场、大宗商品市场、汇率市场以及股票市场之间的动态相关性。结果表明:黄金现货市场与白银现货市场、大宗商品市场以及汇率市场动态相关性较强,与股票市场动态相关性较弱;样本期间内黄金现货市场与美元指数和美元股指整体呈负相关,对其避险能力较强,对大宗商品市场整体呈正相关,一般条件下不具备避险功能。因此,对于含有大量美元汇率或者美元股指等金融资产的投资组合而言,黄金是一个理想的风险对冲工具。By introducing the DCC-GARCH model,this paper investigates the dynamic relationship between the gold spot market and the silver market,the bulk commodity market,the exchange rate market and the stock market.The empirical evidence indicates that:it is strong for the dynamic relationship between the gold spot market and the silver spot market,the bulk commodity market and the exchange rate market,but it is weak for the dynamic relationship between the gold spot market and the stock market.During the sample period,the gold spot market was negatively correlated with the US dollar index and the US dollar stock index,and its hedging ability was strong;it was positively correlated with the bulk commodity market as a whole,and it could not be considered as a hedge under normal conditions.Therefore,gold is an ideal risk hedging tool for portfolios that include large amounts of US dollar exchange rates or US dollar stock indexes.

关 键 词：DCC-GARCH模型 黄金市场 动态相关性 

分 类 号：F830.94[经济管理—金融学]