国际原油市场与股票市场的联动关系研究——基于分位数回归的经验证据

发布时间：2018-04-01 09:07

本文选题：联动　切入点：国际原油市场　出处：《财经理论与实践》2017年05期

【摘要】：构建分位数回归模型,依据澳大利亚、中国大陆、日本等八个亚太股票市场2000年1月4日至2017年4月7日数据,考量国际原油市场与股票市场的联动关系。结果显示:原油市场与亚太股票市场呈正向联动关系,在极端股市条件下两个市场的联动性更为明显。原油市场与股票市场的联动性在结构突变处发生阶段性变化,两个市场的波动具有明显的传导作用。鉴此,投资者需注重防范市场间的风险传染,政府部门宜加强金融监管,维护国家能源安全。
[Abstract]:Construction of the quantile regression model, according to Australia, Japan, China, eight Asia Pacific stock markets from January 4, 2000 to April 7, 2017 data, the linkage between international crude oil market and the stock market considerations. Results showed that the positive linkage between crude oil market and the Asia Pacific stock market linkage in two under extreme conditions of the stock market is more obvious. The linkage of the crude oil market and the stock market in the structural change occurs at the phase change, two market fluctuations with conduction effect. Therefore, investors need to pay attention to prevent market risk contagion, government departments should strengthen financial supervision, safeguard national energy security.

【作者单位】：湖南大学工商管理学院;
【基金】：国家社会科学基金重点项目(13AZZ009)
【分类号】：F416.22;F831.51

【相似文献】