基于COPULA函数的国际原油价格与中国股市相关性分析

发布时间：2018-01-05 07:29

本文关键词：基于COPULA函数的国际原油价格与中国股市相关性分析　出处：《安徽大学》2014年硕士论文　论文类型：学位论文

【摘要】：石油作为工业的基础原材料之一,其价格的变动直接关系到企业的效益情况；石油作为人们的一种必需消费品,国际原油价格的变动同样影响着人们的消费倾向。众多学者把石油形象地称之为“经济血液”,这足以说明石油对于一个国家经济的影响较为深远。因此有必要对国际原油价格与国家的经济有何种关系进行系统性的探讨。同时,股票市场是国家的经济的晴雨表,可以提前反映一国经济的状况,所以可以将国际原油价格与国家的经济有何种关系这个问题等价成国际原油价格与国家股票市场有何种关系。 20世纪的中后期,世界上发生了三次较为严重的石油危机。这三次石油危机的出现对各国经济产生了重大的创伤,当然反映在股票市场上,股指出现较大的震荡。自此之后,学者开始陆续地重视国际原油价格与一个国家的经济的关系,并对此做出大量的研究。当然,由于不同学者研究此方面问题时所采用的方法或理论不尽相同,所以研究结果也不一致。国际原油价格与股票市场所涉及到的数据都属于金融数据,而金融数据又具有自已的特征,所以总体来说,关于国际原油价格与一个国家股市关系的研究结果随着研究金融数据理论体系的完善而逐渐地完善。本文主要利用COPULA理论对国际原油价格与中国股市关系进行研究。Copula函数不拘泥于边缘分布是否符合正态分布这个前提假设条件,因此它对于金融数据的分析具有得天独厚的优势。通过对数据的处理,首先拟合出两组数据各自的边缘分布,然后用四种Copula函数对其进行拟合,最终得出最优的Copula模型。由最优Copula模型的结果,求出它所对应的尾部相关系数。本文通过分析得出国际原油价格与中国股市存在着长期协整关系。并求出国际原油价格与上证指数的尾部相关系数为0,即两者同时上涨或同时上跌的概率为0,两者存在着负向的相关关系。最后通过方差分解得到国际原油价格的变动对中国股市的影响要大于中国股市的变动对于国际原油价格的影响。
[Abstract]:The oil industry as one of the basic raw materials, the price change is directly related to the benefit of the enterprise; oil as an essential consumer goods of the people, the international crude oil price changes also affect people's consumption. Many scholars put oil called "blood", which illustrates the influence on oil a country's economy is more far-reaching. So it is necessary to investigate the international crude oil prices and the country's economy relationship systematically. At the same time, the stock market is a barometer of the national economy, can reflect a country's economic situation in advance, so will the international crude oil prices and the economy of the country what is the relationship between the equivalent into what is the relationship between international oil price and the stock market.
In late twentieth Century, occurred three times more severe oil crisis world. The three oil crisis has produced significant trauma on the economy of every country, of course, reflected in the stock market, the stock index has a great shock. Since then, scholars began to pay attention to the relationship between international oil price and a country the economy, and this made a lot of research. Of course, because of different scholars to study this question by theory is not the same, so the results are not consistent. The data of international crude oil prices and the stock market to belong to financial data and financial data, and has its own characteristics, so the overall for the research on the relationship between international oil price and a national stock market results with the perfect theoretical system of research on financial data and gradually improve.
This paper focuses on the relationship between international oil price and the stock market of China.Copula function does not rigidly adhere to the marginal distribution is in accordance with normal distribution of this hypothesis by using COPULA theory, so it is for the analysis of financial data is richly endowed by nature advantage. By data processing, the first two sets of data fitting their marginal distribution, and then the fitted with four kinds of Copula function, finally obtains the optimal Copula model. By the optimal Copula model results, calculate the tail correlation coefficient corresponding to it. In this paper, through the analysis of international crude oil prices and Chinese stock market have a long-term cointegration relationship. And calculate the tail correlation coefficient of international crude oil prices and the Shanghai index for 0, which both rise or fall at the same time, the probability is 0, there exists a negative correlation. The international crude oil prices through variance decomposition The impact of changes on China's stock market is greater than the impact of changes in the Chinese stock market on international crude oil prices.

【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F416.22;F832.51

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