国际油价波动对中国股市的影响及分析

发布时间：2018-03-01 08:52

本文关键词： 国际油价股指收益结构性国际油价波动动态变动关系非对称性影响　出处：《哈尔滨工业大学》2012年博士论文　论文类型：学位论文

【摘要】：石油是重要的能源和基础原材料，其价格波动对经济的影响历来是各领域重点关注的焦点问题之一。随着世界经济一体化进程不断推进，世界各国经济之间的联系日益紧密，金融市场与原油市场的联动性亦逐年增强。世界产业结构格局的不断调整使高能耗产业逐步由发达国家转移至发展中国家，，国际油价波动对能源消耗和原油进口依存度较大的发展中国家经济影响已不容忽视。我国是世界上一次能源消费最大的发展中国家，关注国际油价波动对我国经济的影响问题，具有重要的理论和现实意义。本文以国际油价波动对中国股票市场的影响为研究对象，探寻国际油价波动对我国经济活动的影响。在综述国际油价波动与宏微观经济间关系的国内外研究现状基础上，从国际油价的形成机制入手，归纳总结国际油价的影响因素及国际油价波动对我国股市产生影响的货币传导和贸易传导等四种传导路径，确立了国际油价波动与我国股市之间的关联性。主要从以下几方面展开国际油价波动对中国股市影响方面的研究。首先，利用协整检验与误差修正检验模型确立国际油价波动与中国股票市场的长短期关系，结合动态计量检验方法和我国经济运转状况分析国际油价波动与我国股市之间的动态关系变动状况。我国股市与国际油价波动间的相关性并非简单的正负相关，而是正负交错出现，即随着经济运行状况的改变和时间的推移，国际油价波动与我国股市间的动态关系亦随之变动。另外，国际油价波动对我国股市的影响主要集中在短期，随着我原油进口量和依存度的逐年攀升，国际油价频繁上涨的利空信息对我国股市的抑制作用逐年凸显。国际油价波动主要与水电业、交通运输业、公共事业、采掘业、制造业、工业、金属业和造纸业存在稳定的长短期关系。然后，将国际原油市场结构性变动纳入国际油价波动与我国股市间关系的研究中，比较分析不同因素所致的国际油价波动对我国股市的影响。利用结构VAR模型将国际油价波动分解为供给因素、经济需求因素和预防性购买因素所致的国际油价波动，并比较分析结构性国际油价波动三种因素对我国股票市场股指收益的影响。结构性国际油价波动中由供给和预防性购买所致的国际油价上涨对我国股市及相关行业板块股指收益会产生不利影响，而经济需求冲击所致的短期内国际油价上涨对我国股市及相关行业板块股指收益的抑制作用则会被能够良好的经济运行形势部分甚至全部抵消。从国际原油市场内部结构性变动方面验证前期动态研究结果，即国际油价波动与我国股市之间变动关系并非单一的正相关抑或是负相关而是取决于结构性国际油价变动三种因素的交互影响。最后，对比分析了不同驱动因素所致国际油价波动对我国股市的非对称性影响，发现结构性国际油价波动三种因素对我国股市股指收益的非对称性影响存在一定差异。非对称性影响模型结果显示不同驱动因素所致的国际油价波动对我国股市及相关行业板块股指收益均存在着不同程度的非对称性影响。并非所有国际油价波动对我国股市的影响都存在显著的非对称性影响，需区分国际油价上涨的驱动因素后方能作出定论。在结构性油价波动对相关行业板块股指的非对称影响研究中发现除对制造业不存在非对称性影响外余下的七个相关行业板块股指收益均受到不同程度的非对称性影响。本研究突破了既有研究视角，丰富了国际油价波动对发展中国家经济影响方面的研究，能为政府决策者和投资决策者应对国际油价波动提供一定的参考与借鉴，具有重要的理论与现实意义。
[Abstract]:Oil is the raw material of energy and an important basis, affect the price fluctuations of the economy has always been one of the focus of the focus in the field. Along with the continuous development of world economic integration, between the world economy is more closely linked to the linkage, the financial market and the oil market also increased year by year. Continuous adjustment of world industrial structure pattern the high energy consumption industry gradually transferred from developed countries to developing countries, the international oil price fluctuation of imported crude oil dependence on energy consumption and economy of developing countries a greater impact can not be ignored. China is the world's primary energy consumption is the largest developing country, the problem of international oil price fluctuations on the impact on China's economy, it has important theoretical and practical. In this paper the international oil price fluctuations on Chinese stock market as the research object, to explore the international oil price fluctuations on China by Influence of economic activities. On the base of the current situation of micro economic relationship between international oil price fluctuation and macro review at home and abroad, starting from the international oil price formation mechanism, the influence factors and summarizes the international oil price fluctuations in international oil prices on China's stock market monetary transmission and Trade Transmission four kinds of conduction path, established the association the international oil price volatility between China's stock market. Mainly from the following aspects of the study on the influence of international oil price fluctuations on the stock market Chinese.
First of all, using cointegration test and error correction model to establish the international oil price fluctuation and China stock market long-term relationship, combined with the method of dynamic measurement and test of China's economic operation analysis of the dynamic relationship between international oil price and China stock market changes. The positive and negative correlation is not China's stock market and international oil price fluctuations between the simple related, but there is positive and negative staggered, with economic situation changes and the passage of time, the international oil price fluctuations in China's stock market and the dynamic relationship between Yi Suizhi changes. In addition, the impact of international oil price fluctuation on China's stock market is mainly concentrated in the short term, with imports of crude oil and the dependence on the inhibitory effect of frequent increased year by year. Rise in international oil prices bad information on China's stock market gradually prominent. The international oil price fluctuations and hydropower industry, transportation industry, public utilities, mining industry There is a stable long - and short term relationship between manufacturing, industry, metal and paper making.
Then, the structural changes in international crude oil market research into the international oil price volatility and the relationship between China's stock market, comparative analysis of the effect of international oil price fluctuations caused by different factors on China's stock market. The international oil price volatility is decomposed into supply factors using structural VAR model, economic demand factors and preventive factors caused by the international oil price to buy comparative analysis of the effect of structural fluctuations, and fluctuations in international oil prices of three kinds of factors on the stock returns of China's stock market. Have a negative impact on the stock market of our country and the relevant industry sector stock index returns by supply and prevent buying caused by international oil prices rising structural fluctuations in international oil prices, and economic demand shocks on China stock market and inhibition the relevant industry sector stock index returns in the short term due to rising international oil prices would be capable of good economic situation of some or all arrived From the internal structural change of the international crude oil market, we verify the preliminary dynamic research results, that is, the relationship between international oil price fluctuations and China's stock market is not a single positive correlation or a negative correlation, but depends on the interaction of three factors of structural international oil price change.
Finally, a comparative analysis of different driving factors caused by the asymmetric effects of oil price fluctuation on China's stock market, found that structural fluctuations in international oil prices of three kinds of factors are different asymmetrical effects on China stockmarket. Asymmetric effect model results show that different driving factors of international oil price fluctuations on China's stock market and the relevant industry sector stock returns are different asymmetrical effects. Not all effects of international oil price fluctuations on China's stock market has asymmetric effect significantly, the driving factor between international oil prices of the rear can make a conclusion. In the study of structural oil price volatility asymmetric effect on industry sector index in addition to the seven found in related industries for the manufacturing industry did not affect the existence of asymmetry outside the remaining plate stock returns are subject to different levels of It is called the effect of sex.
This research breaks through the existing research perspective, enriches the research on the impact of international oil price fluctuation on developing countries' economy, and can provide some references for government decision-makers and investment decision-makers to cope with the fluctuation of international oil price, which has important theoretical and practical significance.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F416.22

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