国际原油价格对中国股票市场的“溢出效应”及其传导机制研究

发布时间：2018-02-08 15:37

本文关键词： 国际原油价格溢出效应传导机制股票市场　出处：《复旦大学》2012年博士论文　论文类型：学位论文

【摘要】：原油作为最基础的能源和化工原料,被誉为现代工业的“血液”,在国民经济的发展中起着举足轻重的作用。尤其是二战以后,原油已经超越煤炭,成为全球第一大能源。随着世界经济对原油依赖性越来越强,原油价格波动也日益剧烈。2003年原油价格为30美元/桶,2004年原油价格突破40美元/桶,2006年原油价格超过60美元/桶,2008年7月更是创纪录地达到145美元/桶的历史高点。原油价格波动如此之大,起伏如此之快,可以说是前所未有。中国作为世界第一大能源消费国,近几年对原油消耗量与日俱增。2001年,我国原油对外依存度还只有27%,2010年,我国原油对外依存度已经高达54%,现在更是超过美国,达到55%以上。理论上,原油对外依存度如此之高,剧烈的国际油价波动不可避免会对我国宏观经济产生意外冲击。如果股票市场是有效的,原油对宏观经济的冲击势必在股票市场上也会有所反映。A股市场上热传甚广的“中石油魔咒”即是投资者对这种反映的一种形象化描述。然而,目前国内学者多关注原油价格与我国宏观经济的关系,而较少关注原油价格与我国股票市场的关系。而对这两个市场关系和作用机制的研究无论是从国家金融安全,还是从资产配置、风险防范角度都具有重要的理论意义和现实意义。本文首先梳理相关文献,对市场间的“溢出效应”进行了界定,然后使用股改后数据从均值和波动率两个维度对国际原油价格对我国股票市场的“溢出效应”进行了测度。发现在股市平缓期间,原油价格对股票市场有着显著的负向冲击作用,这说明随着原油对外依存度不断提高,国际原油价格已经成为影响我国资本市场走势不可忽视的力量,同时也说明股改后我国资本市场有效性得到了显著提高。但是在牛市和熊市极端情形下,协整检验和Granger检验均认为原油价格与股票市场没有显著关系,说明市场在这两个时期的有效性较弱。使用滚动样本法进行的稳健性检验表明,该结论具有很好的稳定性。此外,使用DCC-GARCH模型检验表明,国际原油价格与股票市场存在正向的波动溢出效应,即一个市场的风险的会显著传染至另一市场。在确认“溢出效应”存在的情况下,本文开始探讨这种效应的传导机制,这在很多文献中被视为“黑箱”。我们分别从经济产出、利率、流动性和财富转移四个方面进行了探讨。其中,经济产出和利率传导机制是从资产估值角度切入的,流动性和财富转移则是从资产需求角度切入的。研究结论认为：(1)当国际原油价格上涨时,国内经济产出一般会下降,而经济产出在很多时候是表征企业现金流的,企业现金流减少,股票价值降低,股票市场从而出现下跌；(2)由于相对价格体系灵活性不够,国际原油价格上涨还会导致一般物价水平上升,从而降低居民的实际货币余额,推升国内利率走高,而贴现率与利率高度相关,由此导致股票价值降低。(3)当国际原油价格上涨时,由于原油的需求弹性较小,对外进口支出会增加,国际收支出现恶化,在固定汇率制度下,国际收支无法通过汇率予以调节,只能通过国外国内相对价格来调节,而要实现这一目的,就必须降低国内流动性,从而导致股票市场上货币流动性趋向紧缩,压制股票的需求,从而股票价格下跌。(4)当国际原油价格上涨时,原油进口国的财富被转移至原油出口国,居民收入增速降低,为了维持既定的消费水平,公众会选择抛售股票,从而导致股票价格下跌。最后,本文在总结研究结论的基础上,提出了两市场的投资策略以及政策层面的建议。
[Abstract]:The most basic energy and chemical raw materials as crude oil, known as the "blood" of modern industry, which plays an important role in the development of national economy. Especially after World War II, crude oil has surpassed coal, to become the world's largest energy. As the world economy becomes more and more dependent on crude oil, crude oil price fluctuations are also increasingly severe.2003 crude oil price of $30 / barrel, crude oil prices in 2004 exceeded 40 U.S. dollars / barrel, crude oil prices in 2006 more than 60 U.S. dollars / barrel, July 2008 is a record of $145 a barrel record high crude oil price fluctuations. Such large fluctuations, so fast, can be said to be a hitherto unknown.
China as the world's largest energy consuming country, in recent years the consumption of crude grow with each passing day.2001 years, China's dependence on foreign oil is only 27%, in 2010, China's dependence on foreign oil has been as high as 54%, now is more than the United States, reaching more than 55%. In theory, the dependence on oil is so high. Sharp fluctuations in international oil prices will inevitably produce unexpected impact on China's macro economy. If the stock market is effective, the impact of crude oil on the macro economy is bound in the stock market will be reflected in the.A stock market heat transfer wide "oil curse" is a vivid description of the investors that reflect.
However, the current domestic scholars pay more attention to the relationship between crude oil prices and China's macro economy relations, and less concerned about the oil price and the stock market of our country. The research of the two market relations and the mechanism of both from the national financial security, or from the asset allocation, has important theoretical and practical significance to the risk to prevent the angle.
This paper first reviews related literature on the market "spillover effect" was defined, and then use the stock after the data from the mean and volatility of the two dimensions of the international crude oil prices on China's stock market "spillover effect" was found in the stock market measure. Gentle period, crude oil prices have a significant negative impact the role of the stock market, it shows that with the increasing dependence on foreign oil, international crude oil prices have become the impact of China's capital market trend cannot be ignored, and that after the reform of China's capital market efficiency has been greatly improved. But in the bull market and bear market in extreme circumstances, cointegration test and Granger test the crude oil price and the stock market is not significant, indicating that the market effectiveness is weak in these two periods. Using the robust test method of rolling sample shows that the conclusion It has good stability. In addition, the DCC-GARCH model test shows that there is a positive volatility spillover effect between the international crude oil price and the stock market, that is, the risk of a market will significantly spread to another market.
In the presence of confirmed "spillover effect", this paper begins to discuss the conduction mechanism of this effect, which is regarded as "black box" in many documents. We were from the economic output, interest rates, liquidity and wealth transfer discussed four aspects. Among them, the economic output and the interest rate transmission mechanism is cut from the assets the valuation point, liquidity and wealth transfer is from the perspective of asset demand perspective. The study concluded that: (1) when the international crude oil prices, domestic economic output will decline, while the economic output is the characterization of enterprise cash flow in most of the time, the cash flow is reduced, reducing the value of stock, stock market to fall; (2) due to the relative price system is not flexible enough, the international crude oil prices also led to the general price level rise, thereby reducing the residents of real money balances, push up domestic interest rates higher, The discount rate and the interest rate are highly correlated, resulting in reduced stock value. (3) when the international crude oil prices, because crude oil demand is less elastic, foreign import expenditure will increase, the international balance of payments deteriorated, under the fixed exchange rate system, international payments can not be adjusted by the exchange rate, can only be adjusted by foreign and domestic relative the price, in order to achieve this objective, it is necessary to reduce domestic liquidity, resulting in monetary liquidity tightening trend of the stock market, pressing demand for shares, and stock prices fell. (4) when the international crude oil prices, crude oil imports of China's wealth is transferred to the exporter of crude oil, the income growth rate decreased, in order to maintain a given level of consumption, the public will choose to sell the stock, resulting in stock prices.
Finally, on the basis of the conclusion of the study, this paper puts forward the investment strategy of the two market and suggestions on the policy level.

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F416.22;F224

【参考文献】