完善我国黄金市场税收政策研究

黄金兼具金融和商品属性,是一国央行国际储备的重要组成部分,不同于一般的贵金属。自2001年黄金流通管理体制改革以来,我国黄金市场发展十分迅速。研究推动完善投资性黄金和商业银行黄金业务的税收政策,可依促进黄金市场健康发展。回顾我国黄金市场发展历程,比较分析国外黄金市场税收政策,有利于提出完善我国黄金市场税收政策的对策建议。     

股票市场收益率波动长记忆性的分解及实证研究

目前股票市场长记忆性检验和建模方法，不能很好地消除短期记忆的影响，针对这一问题，本文提出寻找序列的突变点，通过将序列分解为只包含长记忆性部分和不包含长记忆性部分的序列分解技术，来排除短期记忆的影响。对上证指数和深圳成分指数收益率波动的长记忆性进行实证研究发现，将序列分解以后进行长记忆性检验，不仅可以得出长记忆性检验更为精确的结论，同时可以检验序列分解过程的效果。     

外汇理财产品需警惕三大风险

市场风险。一些银行推出的外汇理财产品与汇率市场、黄金市场等挂钩，约定如果相关市场指数在事先划定的区间内波动，就可以按实际运行天数得到一个较高的收益率。一般来讲，汇率市场要比黄金市场的波动幅度大很多，因此投资者选择挂钩黄金指数的外汇理财产品更为稳妥。     

基于GARCH族模型的黄金价格收益率及波动性研究

文章应用GARCH族模型对黄金现货价格的收益率及波动性进行实证研究,实证结果表明黄金价格日收益率具有"尖峰厚尾"和"波动聚类"的特征。通过TGARCH及EGARCH模型发现我国黄金市场存在非对称性现象,正的冲击对黄金价格波动影响更大。     

投资黄金

2005年是黄金市场的大牛市，12月12日，国际黄金市场现贷价格创下24年来的新高，达到每盎司541．5美元。尽管此后金价一度滑落到每盎司490多美元，但相比年初的价格，仍然有超过10％的涨幅。     

基于长记忆的中国期货市场实证研究

通过某期货公司研发部编制的期货指数,基于长记忆研究方法,运用经典的R/S分析、修正的R/S分析,分别建立了研究长记忆的ARFIMA模型、FIGARCH模型和ARFLMA-FIGARCH模型。并运用这些模型对我国上海期货交易所的铜、铝、大连期货交易所的大豆、玉米、豆粕以及郑州期货交易所的小麦的收益率序列进行相关研究和分析,得出它们的收益率序列以及收益率波动序列均存在长记忆性,且ARFLMA(0,d1,0)-FIGARCH(1,d2,0)模型的预测效果较好。     

欧元区经济形势对黄金市场的影响

黄金市场变动主要受黄金本身供求关系影响,其中影响其供给的因素是多样的。本文专题研究有关欧元维持高位运行原因,欧元区的经济形势,及其由此导致的政策预期对国际黄金市场的影响。     

地下炒金泛滥 监管缺失 中国黄金乱象

起步于股市，成名于股市，却完败于黄金市场。 被称为“草根经济学家”的张卫星，2005年毅然投身黄金市场，并于2006年8月14日成立北京高德颐合金银制品有限公司（以下简称高德黄金），该公司日后演变成为黄金交易的“做市商”。     

基于RBF神经网络的中国黄金市场价格预测

本文以上海黄金市场的现货交易为研究对象,鉴于传统的线性分析方法的局限性,构建了RBF神经网络非线性模型,对上海黄金市场的Au99.99开盘价进行了预测。结果证明,RBF神经网络模型为黄金价格预测提供了一种有效的高精度的预测工具。     

黄金市场开放 影响金融证券市场

2001年11月28日，上海黄金交易所挂牌模拟运营，标志着中国黄金市场迈出了全面开放的第一步。中国作为世界第四大黄金生产国和第三大黄金消费国，黄金交易封闭了50年之久，随着中国入世和世界经济一体化的深入，原有的“统购统配”黄金管理体制已经严重不适应市场经济发展的要求，黄金市场的全面开放成为历史的必然。黄金市场的逐步开放，对经济、金融证券市场有重大的意义和深远的影响。     

上海黄金期货市场有效性的实证分析

黄金因为其兼有货币、商品和金融三大属性的特征历来受到人们的重视。今年年初黄金期货在上海期货交易所的上市,填补了我国长期缺乏金融期货的空白。同时管理层与市场各参与主体对黄金期货给予很高的期望与关注,因此研究上海黄金期货市场的有效性具有重要意义。通过运用ADF单位根检验、协整检验、误差修正模型以及格兰杰因果检验等时间序列与计量经济方法,对上海期货交易所黄金期货市场的有效性进行实证分析。结果表明,上海黄金期货市场尚未达到有效,并且黄金现货价格单向引导期货价格。     

Enterprise systems in financial sector – an application in precious metal trading forecasting

The use of enterprise systems has become increasingly popular in the financial service industry. This paper discusses the applications of enterprise systems in the financial sectors and presents an application in gold price forecasting. We carefully examine the impacts of a few most widely assumed factors that have significant impact on the long-term gold price using statistical regression techniques. The analysis on our proposed linear regression mode indicates that the United States ultra scale of M2 money supply has been the most important catalyst for the rising price of gold, and the CRB index upward trend has also been the weighty factor for pushing up the gold price. In addition, the gold price has a low negative correlation with the Dow Jones Industrial Average, and low positive correlations with the US dollar index and the gold ETFs holdings.     

基于CAPM的黄金风险溢价研究

运用CAPM理论中的边际风险价格的概念,通过分析一个包含了黄金市场和股票市场在内的市场资产组合,定量给出了黄金的风险溢价。同时检验了黄金收益是否在CAPM框架内有效。在与我国股市进行比较之后,得出投资者可将黄金包括到投资组合中去,以取得更好的风险收益比。     

铝期货市场的信息传递及其定价能力的比较研究——基于上海与伦敦铝期货市场的实证检验

借助现代计量经济分析方法,对上海期货交易所和伦敦金属交易所铝期货价格之间的联系以及两个市场在价格发现中的贡献份额进行了实证研究。研究结果表明:两个市场铝期货价格之间存在协整关系,期货价格之间相互影响、相互作用,一个市场的价格信息将对另外一个相关市场的价格波动产生影响;伦敦期铝市场在国际定价中处于主导地位,上海市场的定价能力次之。     

The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market

By taking Bitcoin, Litecoin, and China’s gold and RMB/US dollar exchange rate market as research objects, this paper apply the MF-ADCCA and time-delayed DCCA methods to study the impact of China’s mainland shutdown of cryptocurrencies trading on the non-linear interdependent structure and risk transmission of cryptocurrencies and its financial market. Empirical results show that the cross-correlation between cryptocurrencies and China’s financial market has a long memory and asymmetric multifractal characteristics. After the shutdown, the long memory between cryptocurrencies and Chinese gold has weakened, and the long memory between cryptocurrencies and the RMB/US dollar exchange rate market was strengthened. China’s shutdown policy has a certain risk prevention effect. Specifically, after the implementation of the policy, the risk transmission of cryptocurrencies to China’s financial market has weakened, but the influence of China’s financial market has gradually strengthened.     

Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?

This study investigates commonality in daily liquidity among 11 emerging stock markets from the Middle East and North Africa from January 2005 to June 2017. First, we test long memory in liquidity in these markets. Second, we select a number of factors eligible to affect liquidity commonality among local, regional and global factors. We find that regional and US factors do not explain liquidity variations in all the markets that exhibit low sensitivity to external factors. Our results are robust to the use of alternative proxies. The analysis in sub-periods confirms our results showing that most markets are not very sensitive to fluctuations and external shocks of liquidity. For international investors, stock markets in the Middle East and North Africa present an opportunity for further diversification, as these markets exhibit weak correlations between them and with the global market with regard to liquidity.     

Scheduled macroeconomic news announcements and intraday market sentiment

We analyze the effects of scheduled macroeconomic news on intraday and daily market sentiment by comparing sentiment on news announcement dates with that on non-announcement dates. Announcements of macroeconomic indicators change neither intraday nor daily market sentiment. However, the directions of the announced values have asymmetric effects on intraday market sentiment, although they do not affect daily market sentiment. For example, an announcement of an increase in the gross domestic product (GDP) reduces short-term intraday market sentiment, whereas an announcement of a decrease in GDP does not significantly affect intraday market sentiment. We also find that the effect of intraday market sentiment on short-term market returns is greater following announcements of macroeconomic indicators that significantly affect intraday market sentiment.