黄金投资价值分析与我国黄金市场的发展

上海交通大学硕士学位论文黄金投资价值分析与我国黄金市场的发展姓名：逄诗伟申请学位级别：硕士专业：金融学指导教师：马晔晔200501012002THEANALYSISONGOLD’SINVESTMENTVALUEANDTHEDEVELOPMENTOFCHINESEGOLDMARKETABSTRACTTherehasbeenalonghistoryfromsincehumanbegantoknowandusegold.Becauseofitsspecialcharacteristics,suchasdurability,portability,homogeneity,anddivisibilityandsoon,goldhasalwaysbeenregardedasthesymbolofwealth.Afteractingasmoneyincommoditysocietyforalongtime,goldhadretreatedfromcirculationgraduallywiththedevelopmentofmoderneconomywithinlastfewdecades.Butthedemonetizationofgolddidnotturnitintoasimplecommodity;goldstillplaysanimportantroleinthefinancialfieldtoday.Thispaperbeginsfromtheanalysisofthedualpropertiesofgold,thatis:commoditypropertyandmonetaryproperty.Onthisbasis,thepaperturnstotheanalysisofvalueofgoldfromtheperspectiveofinvestment.Thereareseveralfactorsinfluencingthepriceofgold.Forexample:theexchangerateofUSdollarhasadirectimpactonthepriceofgoldandthereisaperfectnegativecorrelationbetweenthem;theimpactofrealinterestrateonthepriceisindirect,andtheymoveinthesamedirectionintherough;inthelongrun,goldisanidealhedgeagainstinflationbutintheshortruntheconclusionisnotthesame;theinternationalpoliticalsituationwillhaveashort-termimpactonthepriceofgold.Althoughgoldisnotanexcellentinvestmenttoolfromtheperspectiveofreturn,itstillhasanunmatchedcharmthatwilldistinguishitfromtheothercommoditiesandfinancialproducts,whichincludesthat:goldisareserveofvalue,itisthelastresortinthetimeofturbulence;thecorrelationbetweengoldandotherfinancialproductsissolowthatincludinggoldintoportfoliowillreducethetotalriskdramatically;theliquidityofgoldmarketisveryhigh,whichcanmeetthedemandoftheinvestors.Thespecialvalueofgoldsuggestswehavetomendourpacetodevelopthegoldmarket.Thegoldmarketsinmostdevelopedcountriesaremature,butinChina,goldhasbeenalwaysunderstrictcontrolforalongtime.Onlyinthelastfewyears,Chinesegovernmenthasreleasedthecontrolongoldgradually.In2002,ShanghaiGoldExchangecameintoexistence,symbolizingthefirstpaceofthedevelopmentofChinesegoldmarket.Thedevelopmentofgoldmarketwillnotonlyperfectourfinancialmarket,butwilltobroadenthetotaldemand,toavoidfinancialrisks,toincreasethereturnofcommercialbanksandtoaddindividualinvestmenttools.ButgoldmarketisstillanewthinginChina.Inordertobuildaninternationalgoldmarket,westillhavealongwaytogo.KEYWORDSmonetaryproperty,USdollarindex,correlation,goldreserve,goldmarket11.1.9.1120044201990“”2WTO200210301.2.1.3.StephenHarmston1998197120701971“Goldasastoreofvalue”32019681996GrahamSmith200111199112001100I1GrahamSmith20022ColinLawrence20033GDP500KatharinePulvemacher20031973200330“ThepriceofgoldandstockpriceindicesfortheUnitedStates”“LondongoldpricesandstockpriceindicesinEuropeanJapan”“Whyisgolddifferentfromotherassets?Anempiricalinvestigation”“UnitedStatesandUnitedKingdom:Analysisoflong-runcorrelationofreturnsongoldandequity”42.1.300017171919001919301944197152.2.70üü16ü15 2.3.6(Theprincipalofdecliningofmarginalutility)stocktoflowratio6,000150,50090spreadbetweenaskandbidmarketability2003GFMS7askbid2.4.8910020213.1.207070100100200300400500600700800Jan-71Jan-74Jan-77Jan-80Jan-83Jan-86Jan-89Jan-92Jan-95Jan-98Jan-01Jan-04113.1.1.1994199519961997199819992000200120022003227922742358248125412576258426212590259333053024574597484290-151-423-2918117327537637042048952754561761762564162910986136067088369453307360235194231410640933969370535493865261927922851334531513128317730262680253145750348656256859456236636038530763295333739073719372237393391304129162313061823243863702323593733143307360135194231410540923971375034133230$384.1384.2387.9331.3294.1278.6279.1271.0309.7363.33.1.1.1.2003128090300060019419519689.111370283.1.1.2.208065250023%3514901996Ø1996300200Ø1997125716711Ø1999571541520153.1.1.3.200120022003370535493865375034133230-45136635$271.0309.7363.32001271.02002309.720033.1.2.197181973219808001620199720012755200220034101418620012004USDXUSDX2020173.1.2.1.USDXUSDollarIndexUSDXUSDX(EUR)(JPY)(GBP)(CAD)(SEK)(CHF)0.5760.1360.1190.0910.0420.036USDXUSDX=50.14348112EURUSD-0.576USDJPY0.136GBPUSD-0.119USDCAD0.091USDSEK0.042USDCHF0.0363.1.2.2.USDX2003.72004.71-0.912001.72004.73-0.951999.72004.75-0.751995.72004.79-0.82182001.72004.7x,y25030035040045090100110120DOLLARGOLDR20.912GrangerUSDXGranger2001.72004.7USDX10:10F-USDX7594.133251.4E-05USDX7591.150380.32160USDXUSDX193.1.3.oneyearT-bill12100101299TheFinancialForecastCenter 200.00100.00200.00300.00400.00500.00600.00700.00800.00-8.00-6.00-4.00-2.000.002.004.006.008.0010.00Ø197319742.24-5.03765183197670.85%110Ø19800Ø8080Ø90211999Ø20017020028803.1.4.200419545035350100192019401949CPI54.80.33.1.4.1.Webster2000consumerpriceindex,CPIBA/A*100CPI178185185178/178*100227/178*1000.0393*1003.933.1.4.2.189520.7019953791995387100CPI1.1198213841999122836911982119991259595854740.002.004.006.008.0010.0012.0014.0016.000.00100.00200.00300.00400.00500.00600.00700.00800.00233.1.5.207080141980847/80902020213.1.5.1.Ø19804008503Ø19914540Ø“9.11”20270Ø2002112003280249.11100008000420021106003.1.5.2.2080Ø19943107Ø19988307Ø19972582.468.5419.14.5038.4823.8817.442.