国际能源市场与中国股市之间的波动溢出效应研究

发布时间：2018-02-27 13:24

本文关键词： 国际能源市场中国股市波动溢出 VAR-BEKK模型 Granger因果检验　出处：《中国海洋大学学报(社会科学版)》2017年06期 　论文类型：期刊论文

【摘要】：随着中国能源需求量的不断增加,国际能源价格的波动必然会对中国经济的发展产生影响,因此,研究国际能源市场和中国股票市场之间的波动溢出关系具有重要意义。本文分别从中国整体股市以及沪、深分市场两个角度,借助VAR-BEKK模型,利用波动序列的Granger因果关系检验,不仅研究了国际能源市场与中国股票市场之间的波动溢出方向,同时也研究了两个市场之间波动溢出的滞后效应。实证结果表明,能源市场与中国股市之间存在双向波动溢出,但是国际能源市场的波动在滞后两期后传染给中国股票市场;从分市场角度来看,沪市和深市对国际能源市场的溢出是当期的,反之,国际能源市场对沪市和深市的影响存在滞后效应。
[Abstract]:With the increase of Chinese energy demand, international energy price fluctuations will inevitably impact on the development of economy Chinese, therefore, is of great significance to study the relationship between the volatility spillover of the international energy market and Chinese stock market. This paper from the Chinese overall stock market and Shanghai, deep two aspects of the market, with the help of VAR-BEKK model, Granger causality test based on wave sequence, not only to study the volatility spillover between the direction of the international energy market and the stock market Chinese, also study the lag effect between the two market volatility spillover. The empirical results show that there is two-way volatility spillover between energy market and Chinese stock market, but the international energy market fluctuations in the two lag behind dye to Chinese stock market; from the market point of view, the Shanghai and Shenzhen on the international energy market spillover is the period, on the other hand, international There is a lag effect on the impact of the energy market on the Shanghai stock market and the Shenzhen market.

【作者单位】：中国海洋大学经济学院;
【分类号】：F416.2;F832.51

【相似文献】