石油市场金融化对油价波动的影响研究

发布时间：2018-06-07 07:41

本文选题：石油市场 + 价格波动　；参考：《武汉大学》2012年博士论文

【摘要】：随着全球化趋势的不断增强,石油市场越来越成熟,对经济的影响力也越来越大,石油价格的内涵与外延也不断丰富和发展。石油的金融属性日益凸显,并作为一种新的金融形态存在于国际能源市场和金融市场中。在这一背景下,本文研究目的在于通过深入分析石油价格波动特征,透过石油价格波动的现象剖析油价的本质,重新审视石油作为自然资源的商品属性,以及作为金融资本投资对象的金融属性。在突破传统经济学研究方法上,从行为金融学角度,以“行为范式”为指导,建立符合现实石油市场的分析框架。考察石油市场基本面因素和投机行为在油价形成过程中的相对重要性,探讨油价大起大落的原因,尤其对2003年以来的石油价格波动给出合理的解释。在此基础上,根据投资者的有限理性与异质性分析石油市场中投资主体的行为特征对油价波动的影响。本文的创新性主要体现在如下几个方面：第一,从研究主题来看,虽然研究石油价格的论文众多,但本文以石油市场金融属性下的价格波动为研究主题,从行为金融学视角来研究石油市场交易者行为对价格的影响,目前国内研究并不多见。第二,传统的金融学理论不再适用于当前的石油市场,更不能用了解释2003年以来的石油市场中的“异象”。本文根据石油市场现实情况,以行为金融学为指导,基于基本面和行为视角分析石油价格的动态,考察基本面因素和投机因素对油价形成的相对重要性。结果发现,过去几年,石油期货市场的投机活动很大程度上扭曲了石油价格的形成,导致油价显著偏离其基本面决定的价格水平。第三,利用行为金融学的异质性主体模型分析石油市场中不同交易者行为对油价的影响。在对噪声交易者模型改进的基础上,构造关于异质性主体与石油期货价格的模型,并将马尔可夫区制转移模型应用到石油期货市场,分析石油期货市场参与者的异质性,以及其参与石油市场行为对油价的影响。结果发现,在2004年以前,石油市场的基本面因素可以很好的解释石油期货价格波动情形,但是,自2004年以后,石油市场中的状态转移变得更加频繁,特别是趋势追逐状态占据主导地位。该模型的一个显著特点是将石油市场的主体行为人与客观基本面结合在一起,更加有力的解释了油价运动机理,一定程度上克服了简单片面的从市场某一因素解释石油价格波动原因。第四,在标准金融理论所依据的“理性范式”和行为金融学所依据的“行为范式”之间,中国的期货市场更符合“行为范式”,因而本文选择从行为范式的角度研究中国燃料油期货市场。
[Abstract]:With the increasing trend of globalization, the oil market is becoming more and more mature, the influence on the economy is also increasing, and the connotation and extension of oil price is becoming more and more abundant and developed. The financial property of petroleum is increasingly prominent, and as a new financial form, it exists in the international energy market and financial market. Under this background, the purpose of this paper is to analyze the characteristics of oil price fluctuation, analyze the essence of oil price through the phenomenon of oil price fluctuation, and re-examine the commodity property of oil as natural resources. And as the financial capital investment object of the financial attributes. In order to break through the traditional research methods of economics, from the point of view of behavioral finance and guided by "behavioral paradigm", an analytical framework in line with the reality of oil market is established. This paper investigates the relative importance of fundamental factors and speculation in oil market in the process of oil price formation, probes into the reasons for the fluctuation of oil price, especially gives a reasonable explanation for the fluctuation of oil price since 2003. On this basis, according to the limited rationality and heterogeneity of investors, this paper analyzes the influence of the behavior characteristics of the investors on the oil price fluctuation in the oil market. The innovation of this paper is mainly reflected in the following aspects: First, from the point of view of the research topic, although there are many papers to study the oil price, this paper takes the price fluctuation under the financial attribute of the oil market as the research topic, and studies the effect of the behavior of the oil market trader on the price from the perspective of behavioral finance. At present, domestic research is rare. Second, the traditional financial theory is no longer applicable to the current oil market, nor can it explain the "anomalies" in the oil market since 2003. According to the actual situation of oil market and guided by behavioral finance, this paper analyzes the dynamics of oil price based on fundamental and behavioral perspectives, and examines the relative importance of fundamental and speculative factors to the formation of oil price. As a result, speculation in the oil futures market over the past few years has largely distorted the formation of oil prices, leading to a significant deviation from the price level determined by its fundamentals. Thirdly, the heterogeneous agent model of behavioral finance is used to analyze the influence of different traders' behavior on oil price. Based on the improvement of noise trader model, this paper constructs a model of heterogeneous subject and oil futures price, and applies Markov region system transfer model to oil futures market to analyze the heterogeneity of participants in oil futures market. And its participation in the oil market behavior on the impact of oil prices. The results show that before 2004, the fundamental factors of the oil market can explain the fluctuation of oil futures price very well, but since 2004, the state shift in the oil market has become more frequent. In particular, the trend of the pursuit of the state occupies a dominant position. A remarkable feature of the model is that it combines the main actors of the oil market with the objective fundamentals, and explains the mechanism of oil price movement more effectively. To some extent, it overcomes the simple and unilateral explanation of oil price fluctuation from one factor in the market. Fourth, between the "rational paradigm" based on the standard financial theory and the "behavioral paradigm" on which behavioral finance is based, China's futures market is more in line with the "behavioral paradigm". Therefore, this paper chooses to study China's fuel oil futures market from the perspective of behavioral paradigm.
【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831;F416.22;F224

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