投资者关注对金银期货市场收益影响的时频分位研究
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引用本文:朱慧明,葛雅婧,吴 昊,张中青扬.投资者关注对金银期货市场收益影响的时频分位研究[J].财经理论与实践,2020,(6):35-42
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作者单位
朱慧明,葛雅婧,吴 昊,张中青扬 (湖南大学 工商管理学院湖南 长沙 410082) 
中文摘要:根据Google投资者关注度指数和金银期货市场交易数据,构建基于小波分解序列的时频门限自回归分布滞后模型,通过分位数模型参数估计,基于时域与频域联合分析视角,考量投资者关注度对金银期货市场收益的影响。结果表明:投资者关注度对金银期货市场的影响具有异质性;在低频域内,投资者关注度对金银期货市场影响相对较小;极端分位数水平下,投资者关注度对金银期货市场收益影响的时效性较短,投资者关注度对白银期货市场收益的影响较弱。
中文关键词:投资者关注度  金银期货市场  收益  时频分析  分位数回归
 
The Time-Frequency Effects between Google Attention on Gold and Silver Market Returns across Quantiles
Abstract:This study investigates the effects of investor attention on gold and silver futures markets returns. We build a wavelet threshold quantile autoregression model, adopting data from 2014 to 2019 of Gold and Silver future markets and Google Trend Index. The empirical results show that the effects of investor attention in extreme market conditions are greater across scales. A wavelet decomposition of gold and silver futures returns indicates that the effect of investor attention will diminish as the scales increase, and is more stable for gold futures markets.
keywords:investor attention  gold and silver futures market  return  time-frequency analysis  quantile regression
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