A股市场上的“中石油魔咒”现象及其解释

发布时间：2018-05-17 17:53

本文选题：原油价格 + 股票市场　；参考：《财经研究》2012年08期

【摘要】：文章针对A股市场上流传甚广的"中石油魔咒"现象,首次从基本面角度进行了解释,认为造成这一现象的根本原因是国际原油价格对我国股票市场存在显著的负向溢出效应,即当国际原油价格上涨时,对中石油个股产生利好,但对整体宏观经济却构成利空,因而中石油股票价格上涨,整个股票市场却会下跌。进一步研究还发现,这种负向溢出效应具有非线性特征,表现为国际原油价格上涨对股票市场的打压力度要大于其下跌对股票市场的提升力度。这提醒A股投资者相对于国际原油价格下跌,要更加关注国际原油价格上涨带来的投资风险。
[Abstract]:In view of the phenomenon of "China Petroleum spell", which is widely spread in the A-share market, this paper, for the first time, explains from a fundamental point of view that the fundamental cause of this phenomenon is the significant negative spillover effect of the international crude oil price on China's stock market. That is, when the price of international crude oil rises, it is good for PetroChina stocks, but it is bad for the overall macro economy. Therefore, the price of CNPC shares will rise, but the whole stock market will fall. Furthermore, it is found that the negative spillover effect has nonlinear characteristics, which shows that the international crude oil price rise has more pressure on the stock market than the decline on the stock market. This reminds A-share investors to pay more attention to the investment risks caused by the rise in international crude oil prices relative to the decline in international crude oil prices.
【作者单位】：复旦大学经济学院;上海浦东发展银行;国金证券;
【基金】：国家自然科学基金资助项目(70671027) 教育部人文社会科学规划项目(09YJC790044)
【分类号】：F426.22;F832.51;F224

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