国际石油价格—股指影响网络关联性研究

发布时间：2018-09-05 17:40

【摘要】：油价与股市关联规律的研究对于一国经济发展有着重要的意义。本文选取2000年1月3日至2012年3月16日的布伦特原油现货价格日数据、全球28个国家和地区的主要股价指数日数据，研究国际油价与全球主要股指有无因果关系，并通过国际油价与股价指数相互间的因果关系，建立有向加权影响网络，通过分析影响网络的拓扑结构、节点状态、节点影响力、节点冲突度及网络的加权涌现等特性来研究国际原油价格与全球股市之间的互动关系。研究结果表明：第一，国际油价对股指的影响是分层的。瑞士、挪威、爱尔兰、香港、日本、泰国、菲律宾、澳大利亚、新西兰及南非主要股指将作为第一层而最先受到国际油价变动的影响，中国上证股指与国际油价无直接因果影响关系。第二，当油价-股指影响网络的整体链路权重降低到0.1时，，节点国股指将与国际油价实现同步涨跌。第三，若减小股指节点的进入链路权重，同时增大股指节点的外出链路权重，即减弱本国受他国经济的影响，同时增强本国对他国的经济影响，则股指节点在网络中影响力增强。第四，产油国股指对国际油价影响较大。产油国如新西兰、南非、阿根廷、泰国、挪威、墨西哥、加拿大。第五，油价变化率涨跌会引起马来西亚、加拿大、韩国、香港、瑞士、新加坡、挪威、爱尔兰、菲律宾、日本、新西兰及澳大利亚股指收益率同向涨跌；各国股指收益率涨跌大多会导致国际油价变化率发生同向涨跌，且新加坡、加拿大、阿根廷、南非、挪威的股指收益率涨跌会导致国际油价变化率发生同向大幅涨跌。
[Abstract]:The study of the correlation between oil price and stock market is of great significance to the economic development of a country. In this paper, the spot price daily data of Brent crude oil from January 3, 2000 to March 16, 2012, and the daily data of major stock price indices in 28 countries and regions are selected to study whether there is a causal relationship between international oil prices and major global stock indexes. Through the causal relationship between international oil price and stock price index, the directed weighted influence network is established, and the topological structure, node state, node influence are analyzed. In order to study the interaction between international crude oil price and global stock market, the degree of node conflict and weighted emergence of network are studied. The results show that: firstly, the influence of international oil price on stock index is stratified. Major indices in Switzerland, Norway, Ireland, Hong Kong, Japan, Thailand, the Philippines, Australia, New Zealand and South Africa will be the first to be affected by changes in international oil prices. There is no direct causal relationship between Shanghai Stock Index and international oil price. Second, when the overall link weight of the oil-stock index influence network is reduced to 0.1, the stock index of the node country will rise and fall simultaneously with the international oil price. Thirdly, if we reduce the access link weight of the stock index node and increase the outgoing link weight of the stock index node, that is, to weaken the influence of other countries' economy, and to enhance the economic impact of our own country on other countries. Then the stock index node in the network influence increased. Fourth, oil-producing countries have a greater impact on international oil prices. Oil producing countries such as New Zealand, South Africa, Argentina, Thailand, Norway, Mexico, Canada. Fifth, the rate of change in oil prices will cause Malaysia, Canada, South Korea, Hong Kong, Switzerland, Singapore, Norway, Ireland, the Philippines, Japan, New Zealand and Australia to rise and fall; Most of the rise and fall of national stock index yields will lead to the same rise and fall of international oil prices, and Singapore, Canada, Argentina, South Africa and Norway will cause the rate of changes in international oil prices to rise and fall in the same direction.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F764.1;F831.51;F224

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