石油市场与股票市场的互动机制比较研究

发布时间：2018-05-01 03:30

  本文选题：石油市场 + 股票市场　； 参考：《求索》2014年01期

【摘要】：通过梳理石油市场与股票市场的理论互动机制,将之分解为经济基础、市场传染和资金跨市流动三个层面的传导路径,选择具有典型性的中、美、俄三国股市为样本,运用格兰杰因果检验、变系数空间状态模型和AGDCC模型实证检验了三者与石油市场关联的方向性、持续性以及时变相关性等特征。研究结论表明,中国股市与石油市场的关联特征最微弱,俄罗斯股市与石油市场的联动效应最明显,美国股市与石油市场的互动机制则具有显著的时变性。
[Abstract]:By combing the theoretical interaction mechanism between the oil market and the stock market, the paper decomposes it into three levels: economic base, market contagion and cross-market capital flow, and selects the typical Chinese, American and Russian stock markets as samples. Granger causality test, variable coefficient spatial state model and AGDCC model are used to test the relationship between the three factors and oil market, such as directivity, persistence and time-varying correlation. The results show that the correlation between Chinese stock market and oil market is the weakest, the linkage effect between Russian stock market and oil market is the most obvious, and the interaction mechanism between U.S. stock market and oil market is time-varying.
【作者单位】： 湖南大学金融与统计学院;
【分类号】：F764.1;F830.91;F224
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本文编号：1827555