国际石油价格与中国股票市场关联性的实证研究

发布时间：2018-01-23 12:54

本文关键词： 国际石油价格股票市场 VAR模型向量误差修正模　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：“石油是现代经济社会发展的基础,是现代化工业的血液”。随着全球工业化进程的不断深入,作为原材料和基础能源的石油已全面渗透到国民经济社会中的各个方面,成为当今社会不可或缺的组成部分。近年来,伴随着各国经济的高速发展,各国对石油的需求也大幅攀升,1989年世界石油日需求量为5180万桶,而2010年该数据上升至近9000万桶。中国作为新兴经济体的主要代表,随着工业化程度不断提高,对石油的需求量也与日俱增,石油需求量由2002年的495万桶/日迅速攀升至2011年的近1000万桶/日。2000年到2009年,世界能源消费需求年增长率仅2.6%,但我国年均增长率却高达9.8%,中国在2009年的石油消费量已占到了全球的10%,成为仅次于美国的世界第二大石油消费国。在能源供给方面,自1993年我国正式成为石油净进口国之后,我国石油对外依存度不断上升。据统计,2009年我国石油对外依存度达到54%,并且该比例仍将进一步扩大。同时,我国在1998年改革了石油价格双轨制,使国内石油价格开始逐步与国际油价接轨。因此,国际油价的大幅上涨将直接导致国内生产生活成本的攀升,严重影响到我国经济的健康可持续发展。随着我国资本市场的快速发展,股票市场在国民经济社会发展中的重要性日益上升。截至2010年底,我国沪深股市总市值达到26.54万亿元,总市值跃居世界第二名,证券化率达70.8%,并且2010年度我国股市融资额高居全球第一,未来我国证券化率将进一步提高。因此,对国际石油价格与中国股票市场的关联性进行研究对于监管者制定相关政策和投资者把握股票市场走向,都具有十分重要的参考意义。石油在国民经济发展中重要性的显著提高以及20世纪爆发的三次石油危机,使得对石油价格冲击的研究成为20世纪70年代后学术界关注的重点。不过,目前这些研究还主要集中在石油价格与宏观经济关联性方面,而对石油价格与股票市场关联性的研究较少,并且这些研究中运用的模型以及相关理论的分析都不尽如人意。同时,在石油价格冲击是否对股票市场造成影响以及这种影响的方向和程度等问题上,目前学术界仍存在很大争论。因此,本文引入利率、国际石油价格、上证综指、工业增加值等内生变量构造一个多因子模型,通过实证研究来探寻国际石油价格与中国股票市场的关联性。本文首先强调石油在国民经济社会发展中的重要性,并分别论述了20世纪三次石油危机爆发的原因以及对美、欧、日等国国民经济社会发展带来的巨大冲击。鉴于石油的重要性,世界各国在石油危机后纷纷展开了对国际石油价格控制权的争夺,表现最突出的便是OPEC产油国组织与欧美日等世界主要石油消费国之间的斗争。不过,随着非OPEC产油国在世界石油市场中份额的不断扩大以及石油期货市场的建立,使得任何一方都不再对国际油价拥有绝对控制权,国际石油价格的多极制衡格局逐步形成。石油市场各方力量的博弈以及石油期货的金融衍生品特性,使得国际石油价格在20世纪70年代后出现了前所未有的剧烈波动。接着,笔者简单介绍了当前国际石油市场中的五大主要现货市场和三大主要期货市场,以及WTI和Brent原油期货合约在国际石油定价过程中扮演的重要地位。阐述了当前国际石油定价机制并指出了计算公式,即P=A+D。其中,P为国际石油交易价格,A为基准价格,D为升、贴水。由于各地区石油品味和运输成本存在的差异,不同贸易区的基准油的选择也有所不同。其中,北美原油定价基准为WTI,欧洲原油定价基准为Brent原油期货,中东原油定价基准为迪拜原油。然后,本文将一个多世纪以来的石油价格走势分为三个阶段,即早期高油价时代、平稳低油价时代和剧烈波动时代,进而阐述国际石油价格的演变历史以及世界石油价格控制权的变迁。接着,笔者通过多视角对造成20世纪70年代后国际油价的巨幅波动的原因进行了分析,发现石油期货市场的建立、利益集团间的博弈以及经济租金的重新分配能够很好地对石油价格的剧烈波动做出解释。同时,笔者还回顾了中国股市的发展历程,并结合中国股市阐述了波动性理论。在对国、内外相关研究成果进行分析后发现,发现国外大多数研究已在国际石油价格与宏观经济关联性上基本达成一致,即认为国际油价上涨会对经济发展造成显著负面影响。但是,也有部分学者认为油价波动并不会对国民经济发展造成显著性影响。一方面,他们认为货币政策变动应该为经济衰退负有更多的责任,而非石油价格的上涨。另一方面,石油成本在国民经济中比重显著下降,石油价格上涨对宏观经济的负面冲击也显著下降。在国内,大多数研究者还主要侧重于对石油价格与宏观经济关联性的研究。而在石油价格与股票市场关联性方面,国内学者则主要是从分行业角度来进行研究,从而判断各行业股票收益率在国际油价冲击下出现的变化。在实证方面,本文选取1996年7月至2010年12月的月度数据作为样本,包含WTI价格、短期利率、上证综指和工业增加值四个内生变量,共696个样本数据。我们利用ADF检验法和PP检验法对各变量时间序列的平稳性进行检验,结果发现石油价格序列、股票价格序列、工业产值序列和无风险利率序列都是非平稳的时间序列。但在对这些变量序列进行一阶对数差分后,各变量的收益率或变动率则都是平稳过程。因此,我们首先用股票市场收益率、石油价格变化率、利率变化率以及工业增加值变化率来建立VAR模型。接着,笔者利用VAR模型来对石油价格和股票价格之间的动态联系进行分析。根据最小信息准则研究后,我们选择的最佳滞后项为4期。通过对VAR特征根的观察,我们发现VAR模型是平稳的,但在进一步分析后发现VAR模型存在参数过多且难以解释的问题。因此,本文继续使用脉冲响应和方差分解来进行分析,脉冲响应和方差分解得到的结论基本一致,即各变量间表现出一定的独立性,但同时各变量间仍存在着相互冲击和影响。然后,笔者分别用E-G两步法和Johansen检验法对变量间的协整关系进行了检验。通过E-G两步法检验结果发现变量间并不存在协整关系,不过E-G两步法本身存在缺陷,使得检验结果容易犯错误。因此,我们又运用Johansen检验法进行协整检验,结果发现四个非平稳时间序列中存在两个协整关系。最后,笔者在前面研究结果的基础之上,建立了一个包含无风险利率、石油价格、工业增加值、股票指数四个变量的向量误差修正模型。实证结果表明,对利率而言,主要是受自身变动的短期影响,而受石油价格变动、工业增加值变动和股票指数变动的影响并不显著。同时,对石油价格而言,同样主要受自身变动的影响,而受到利率变动、工业增加值和股票指数变动的影响并不十分明显。但是,对工业增加值变动而言,其第一个滞后期受到石油价格变动和股票指数变动的显著影响,同时也受到自身变动的显著影响。对于本文最关心的股票价格变动,其在第一个滞后期只受到石油价格变动的显著影响,而不受其他变量的影响包括他自身的变量的影响。但到了第二个滞后期,其他变量的影响变动不显著,而其受到自身变动的影响开始显著。因此,从长期看,利率、石油价格和工业增加值以及股票价格之间存在长期的均衡关系。但就短期变动而言,石油价格对股票价格的影响最为显著。本文研究主要有以下创新点：(1)研究对象上的创新。目前对石油价格冲击的研究主要集中在宏观经济领域,而本文则多角度、系统性地对国际石油价格波动对我国股票市场收益率的冲击进行了研究。(2)研究方法上的创新。本文通过建立一个包含VTI、利率、上证综指和工业增加值四个变量的多因子模型,综合运用向量自回归模型(VAR)、脉冲响应函数及方差分解、Johansen协整检验和误差修正模型对各变量间的冲击方向和程度进行了实证研究,从而探寻到国际石油价格冲击对我国股票市场的影响。
[Abstract]:"Oil is the foundation of modern economic and social development, the modernization is the blood of industry". With the deepening of global industrialization process, as the raw materials and energy base oil has penetrated into the national economy and society, has become the indispensable part of today's society. In recent years, along with the rapid development of the economy of various countries. The demand for oil also rose sharply in 1989, the world oil demand for 51 million 800 thousand barrels, while in 2010 the data rose to nearly 90 million barrels.
China as the main representative of emerging economies, with the continuous improvement of industrialization level, the demand for oil will grow with each passing day, the demand for oil by 4 million 950 thousand barrels in 2002 to nearly 10 million barrels a day in 2011, quickly climbed to.2000 to 2009, world energy consumption demand growth rate of only 2.6%, but the average annual growth in China the rate is as high as 9.8% in 2009, Chinese oil consumption has accounted for 10% of the world, after the United States to become the world's second largest oil consumer. In the energy supply, since 1993 China became a net oil importer, China's dependence on foreign oil continues to rise. According to statistics, in 2009 China the degree of dependence on foreign oil reached 54%, and the proportion will be further expanded. At the same time, China's reform of oil price system in 1998, the domestic oil prices and international oil prices began to practice. Therefore, the international oil price The sharp rise will lead to the rise of domestic production and living costs, which seriously affects the healthy and sustainable development of our country's economy.
With the rapid development of China's capital market, the importance of the stock market in the national economic and social development in the increasingly rising. At the end of 2010, China's Shanghai and Shenzhen stock market capitalization reached 26 trillion and 540 billion yuan, the total market value ranked second in the world, the securitization rate reached 70.8%, and the 2010 annual amount of financing in China's stock market ranked first in the world, the future of our country the securitization rate will be further improved. Therefore, the research for regulators to formulate relevant policies and investors to grasp the Stock Market Association of international petroleum price and Chinese stock market, has a very important significance.
The three oil crisis significantly increased the importance of oil in the development of the national economy and the twentieth Century outbreak, which makes the research on the impact of the oil price has become the focus of the academic community after 1970s. However, these studies focused on oil prices and macroeconomic relevance, and the relevance of the oil price and the stock market study and analysis of the use of these research model and the related theory is not satisfactory. At the same time, the oil price shock is caused and the impact on the stock market direction and degree, the academic circles still exist great controversy. Therefore, this paper introduces the interest rate, the international oil price, the Shanghai Composite Index, industrial the added value of the endogenous variables to construct a multi factor model, through empirical research to explore the relationship between international oil price and China stock market.
This paper emphasizes the importance of oil in the national economic and social development, and discusses the causes of the three oil crisis in twentieth Century and to the United States, Europe, Japan and other countries has great impact of national economic and social development. In view of the importance of oil in the world, after the oil crisis started on the international oil price control for the most outstanding performance is between OPEC producers and Europe and other major world oil consumption in the struggle. However, with non OPEC oil producers in the world oil market share continues to expand and oil futures market is established, that any party are no longer on the international oil price has absolute control. The international oil price multipolar balancein gradually formed the pattern of oil market. The strength of the parties to the game and the characteristics of oil futures financial derivatives, the international oil price in twentieth Century 70 years There had been unprecedented fluctuations in the post generation.
Then, the author introduces the current international oil market in five major stock markets and three major futures market, and the important position of WTI and Brent crude oil futures contract plays in the international oil pricing process. Describes the current international oil pricing mechanism and points out the calculation formula, which is P=A+D., P for the transaction price international oil, A benchmark price for the D premium to rise, due to the differences in various regions. The oil tastes and transportation costs, the benchmark oil of different trade area selection is different. Among them, the North American crude oil pricing benchmark for WTI, the European crude oil pricing benchmark Brent crude oil futures, the Middle East crude oil pricing benchmark for Dubai crude oil.
Then, this paper will be more than a century of oil price trend is divided into three stages, namely the early era of high oil prices, oil price volatility and the steady low age era, and then elaborates the history and evolution of the international oil price control of world oil price changes. Then, through the view of pen caused by international oil prices after 1970s the huge fluctuations were analyzed, found that the oil futures market, re allocation of the game of interest groups and economic rent can be very good to the sharp fluctuations of oil price explanation. At the same time, the author also reviewed the development course of China stock market, combined with the Chinese stock market volatility theory expounded.
In the country, and analysis the related research results and found that most of the studies have been found abroad in the international oil price and economic relevance on the basic agreement, that international oil prices will have a significant negative impact on economic development. However, some scholars believe that oil price fluctuations will not cause a significant impact on the national economic development. On the one hand, they believe that monetary policy changes should be more responsible for the recession, rather than the rise of oil price. On the other hand, the proportion of the cost of oil in the national economy significantly decreased, oil prices rose a negative impact on the macroeconomic also significantly decreased. In China, most researchers still focused on study on oil price and economic relevance. In the relevance of the oil price and the stock market, the domestic scholars are mainly from the industry perspective into A study is conducted to determine the changes in the stock returns of various industries under the impact of international oil prices.
In the empirical analysis, this paper selects the monthly data from July 1996 to December 2010 as samples, including the WTI price, the short-term interest rate, the Shanghai Composite Index and the industrial added value of four endogenous variables, a total of 696 sample data. We use ADF test method and PP test the stationarity of each variable time series. The results showed that the oil price sequence, stock price series, industrial output sequence and the risk-free interest rate series are non-stationary time series. But when the variable sequence of first-order logarithmic difference after each variable yields or rates of change are stationary processes.
Therefore, we first use the rate of return of the stock market, the oil price change rate, interest rate and the rate of change of industrial added value to establish the VAR model. Then, the author analyzed the dynamic relationship between the oil price and the stock price by using VAR model. According to the minimum standards of information, we choose the best lag for 4. Through the observation of VAR eigenvalues, we found that the VAR model is stable, but found that the VAR model has too many parameters and it is difficult to explain the problems in further analysis. Therefore, this paper continues to use the impulse response and variance decomposition analysis, impulse response and variance decomposition are basically the same conclusion, namely all variables showed a certain degree of independence, but also the variables still exist the mutual impact and influence.
Then, the author of the co relation between variables was tested using E-G test method and two step Johansen. Through the E-G two step test results show that the cointegration relationship does not exist between the variables, but the E-G two step to its defects, makes the test results are easy to make mistakes. Therefore, we use Johansen cointegration test method the inspection results, it is found that there are two cointegration relationship between four non-stationary time series.
Finally, based on the previous research results, establish a complete risk-free interest rate, oil price, industrial added value, the stock index of the four variable vector error correction model. The empirical results show that the interest rate, mainly short-term changes by its own shadow ring, and the oil price change, industrial added the value changes and stock index change is not significant. At the same time, the oil price is concerned, the same is mainly affected by their own changes, and affected by changes in interest rates, the industrial added value and the influence of stock index change is not obvious. But in ten, the industrial added value changes, the first lag significantly affected oil prices change and the fluctuation of stock market, but also affected their movements. For the most concerned about the stock price changes, the only by the oil price changes significantly at the first lag The influence, but not affected by other variables including his own variables. But by the second lag, the effects of changes in other variables is not significant, but the change was significantly influenced by their own. Therefore, the interest rate in the long term, oil prices and industrial added value there is a long-term equilibrium relationship between and the stock price. But the short-term changes, oil prices on the impact of stock price is the most significant.
This paper mainly has the following innovations: (1) the research object innovation. The current research on the impact of the oil price is mainly concentrated in the macroeconomic field, but this is the multi angle, systematically to the international oil price fluctuations on China's stock market gains rate shocks were studied. (2) the innovation of research methods on. This paper includes the establishment of a VTI, the interest rate, the Shanghai Composite Index and the industrial added value of multi factor model of four variables, using vector autoregressive model (VAR), impulse response function and variance decomposition, Johansen cointegration test and error correction model of direction and degree of impact between the variables of an empirical study, in order to explore the influence to the international oil price shocks on China's stock market.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F416.22;F224

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