沪深煤炭、电力、水泥板块波动溢出效应的实证研究

发布时间：2018-05-25 04:35

本文选题：电力板块指数 + 煤炭板块指数　；参考：《华侨大学》2014年硕士论文

【摘要】：中国是一个燃煤发电大国，煤炭和电力是唇齿相依的上、下游产业，煤-电价格体制的差异不仅影响电力供应的长期均衡，，也导致国内资本市场上呈现截然不同的表现。本文正是从股票市场的相关板块指数出发，研究了沪深煤炭、电力和水泥板块指数收益率之间的波动联动关系。本文采用证监会行业分类指引作为依据，编制了沪深煤炭、电力和水泥板块指数的收益率作为其在A股市场上的表现，研究了从2009年12月15日以来沪深煤炭、电力和水泥板块指数的收益率波动，特别是上述板块指数之间的联动关系。依据波动溢出和联动效应理论，运用多元SVAR-BEKK模型测度同一市场内不同板块指数的波动联动程度，然后构建了基于Copula方法尾部相关系数来度量在极端情况下，板块指数间的波动程度。这两个模型都不约而同的取得了一致性结论：沪深煤炭、电力和水泥板块指数收益率之间存在着相当显著的非线性联动效应和溢出效应。从长期来看，煤炭板块指数收益率对电力板块指数收益率的影响远大于其对水泥板块的影响，这主要由于价格传导机制的差异。同时Copula方法也证实了在发生极端情况下，煤炭-电力板块间的波动溢出效应最为显著，煤炭-水泥板块次之，电力-水泥板块最次。分析其原因，本文认为主要是由于价格传导机制的不同，煤炭价格完全市场化而电力上网价格受到政策影响。并指出了理顺煤电价格机制，电力价格回归市场的重要性。
[Abstract]:China is a coal-fired power generation country, coal and electricity are dependent on each other, downstream industries, coal-electricity price system differences not only affect the long-term equilibrium of electricity supply, but also lead to a different performance in the domestic capital market. In this paper, we study the relationship between coal, electricity and cement plate index return rate of Shanghai and Shenzhen from the stock market related plate index. Based on the industry classification guidelines of CSRC, this paper has compiled the returns of Shanghai and Shenzhen coal, power and cement plate indices as its performance in A share market, and studied the coal in Shanghai and Shenzhen since December 15, 2009. Power and cement plate index yield fluctuations, especially the linkage between the above-mentioned plate index. According to the theory of volatility spillover and linkage effect, this paper uses multiple SVAR-BEKK model to measure the volatility linkage degree of different plate indices in the same market, and then constructs a tail correlation coefficient based on Copula method to measure in extreme cases. The degree of volatility between plate indices. The two models have reached the same conclusion: there is a significant nonlinear linkage effect and spillover effect between Shanghai and Shenzhen coal, power and cement plate index return rate. In the long run, the influence of coal plate index yield on power plate index yield is much greater than that on cement plate, which is mainly due to the difference of price conduction mechanism. At the same time, the Copula method also proves that in extreme cases, the fluctuation spillover effect between coal and power plates is the most significant, followed by coal cement plate and power cement plate. The reason is that the coal price is completely market-oriented and the electricity price is affected by the policy because of the difference of the price conduction mechanism. It also points out the importance of straightening out the price mechanism of coal and electricity and returning the electricity price to the market.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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