国际石油价格对我国A股市场价格影响的研究

发布时间：2018-02-23 19:17

本文关键词： 国际石油价格 A股市场价格长期均衡因果关系　出处：《安徽大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文首先梳理相关的文献,在回顾现有的相关国内外文献时,发现国外学者基本达成国际石油价格上涨会带来经济衰退的结论,他们通过选择不同的样本类型和指标、运用不同的模型进行研究,结果发现在国际石油价格上涨时将给宏观经济带来负面的影响。一些持反对意见的学者提出观点,货币政策的变动应该为宏观经济受到的负面影响负有更多的责任,而不是石油价格的上涨。换句话说,国际石油价格不会对宏观经济产生直接的影响,而是通过影响货币政策来间接实现对宏观经济的冲击,也就是说两者之间还是存在联系的。但是在研究国际石油价格对股票市场的影响时,国外学者主要还是通过选择不同类型的样本和指标、运用不同的模型进行研究,在研究结论上,也存在较大的争议,主要是因为不同的行业、不同的国家、不同的时间段所得出的结果都会有所差异。然而现有的国内研究相对滞后,没有从理论上说明国际石油价格对股票市场影响的传导机制,将理论分析与实证分析进行结合,在数据和变量的选择上,更多的是通过选择各个行业的数据、股改前后的数据,一方面,变量覆盖的范围比较有限,不能很好的代表我国的股票市场；另一方面,比较的是股改前后的差异,而没有很好的比较在股改完成以后,我国股市在极端变化时期和相对平缓时期对国际石油价格反应的差异。在考虑到现有国内研究的这些不足,借鉴国内外学者的研究思路和方法的基础上,本文选择中证全指代表我国A股市场价格,相比较而言,覆盖面更广,更具有代表性；并且将理论分析与实证分析进行结合。本文以国际石油价格对我国A股市场价格的影响作为研究对象,首先分析了国际石油市场和我国股票市场的运行特征,为后续的理论和实证分析、政策建议做铺垫。关于这部分的内容主要包括国际石油价格波动的历史回顾,以及国际石油市场的运行特征,然后从历史的角度,了解我国股票市场的发展历程,以及在运行中的一些特征。然而,我国股票市场起步比较晚,虽然在法律法规、制度建设、经营管理等方面已逐渐完善,但是与西方成熟的股票市场相比,还处于比较稚嫩的时期,所以国际石油价格对我国股票市场的影响是否也如一般理论上而言,还有待于去验证,这对了解我国股票市场的运行特征和完善我国股票市场发展有着重要的意义。接下来,先从理论上分析了国际石油价格基于实体经济路径和金融市场联动路径对股票市场产生影响,并且这种影响有存在的合理性,之后从实证上检验国际石油价格对我国A股市场价格的影响是否如一般理论上而言,通过运用一系列的时间序列分析方法进行研究,结果发现国际石油价格对我国A股市场价格的影响并不如一般理论上而言,可能受我国股票市场行政化程度较高、股权结构有缺陷、投机性和庄家性、股价与宏观经济相背离等特征的影响,表明我国股票市场与西方成熟股票市场相比还有很大的差异,还需要进一步的完善。最后,根据全文的分析得出了本文的研究结论,在此基础上提出一些完善我国股票市场的政策建议。
[Abstract]:This paper first reviews the relevant literature, after reviewing the related literature at home and abroad existing, found that foreign scholars basically reached the international oil price rise will bring about a recession conclusions, they can choose different types of samples and indexes, using different models, the results found that the rise in international oil prices will adversely affect the macro economy. Some opposition scholars put forward viewpoint, responsible for more negative effects of monetary policy changes should be subject to the macro economic, rather than oil prices. In other words, the international oil price will not have a direct impact on the macro economy, but by the impact of monetary policy indirectly realized on macro economy the impact that there is a link between the two. But the impact on the stock market in the study of international oil prices, Chinese and foreign scholars Mainly through the choice of different types of samples and indexes, using different models to study, in conclusion, there is a big controversy, mainly because of different industries, different countries, different time of the results will be different. However, the existing domestic research is relatively backward, no conduction mechanism of the influence of international oil prices on the stock market in theory, the theoretical analysis and empirical analysis are combined in the data and the choice of variables, more by selecting the various sectors of the data, the data before and after the share reform, on the one hand, the range variable coverage is limited, can not represent good stock market in China; on the other hand, compare the difference before and after the reform, but not very good in comparison with the completion of the reform, China's stock market in the extreme period of change and the relatively flat period on the international oil Difference in price reaction.
In consideration of the existing domestic research these problems, based on ideas and methods by scholars at home and abroad, this paper choose the card represents the price of A shares in Chinese stock market that, in comparison, broader coverage, more representative; and the theoretical analysis combined with empirical analysis based on the international. Effect of oil price on the price of A shares in Chinese stock market as the research object, firstly analyzes the international oil market and the stock market of our country for the subsequent analysis of the operation characteristics of the theoretical and empirical analysis, policy recommendations to pave the way. This part mainly reviews the history of the international petroleum price fluctuation, and the operating characteristics of international oil in the market, and then from a historical perspective, to understand the development history of China's stock market, as well as some of the characteristics in the operation. However, the stock market in China started relatively late, although in the law system. The construction, management and other aspects have been gradually improved, but compared with the western mature stock market, is still in the immature period, so the impact of international oil prices on China's stock market is also such as general theory, has yet to be verified, which is to understand the operating characteristics of the stock market of our country and has a the important significance of improving China's stock market development.
Next, the first from the theoretical analysis of the international oil price based on the path of the real economy and financial market linkage path has impact on the stock market, and this effect has the rationality of existence, from the empirical test of international oil prices on the price impact of China A stock market as the general theory, through the use of a series of time series the analysis of research methods, results showed that international oil prices affect the price of A stock market in China is not as good as the general theory, may be affected by the degree of China's administrative stock market higher, equity structure has defects, and speculative makers, stock prices and macroeconomic deviate from the characteristics, show that China's stock the market and western mature stock market there is a big difference, need to be further improved. Finally, according to the analysis in this paper, the research conclusion of this thesis, this On the basis of this, some policies and suggestions to improve the stock market in China are put forward.

【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】：F832.51;F416.22

【参考文献】