原油价格波动对股票价格影响的比较研究：不同行业与时段视角

发布时间：2018-01-22 13:22

本文关键词： 原油价格股市影响行业时段　出处：《浙江理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：20世纪以来的三次石油危机对全球的经济产生了深远的影响，股市作为实体经济的晴雨表，如果是市场有效的，石油价格的波动对股市的冲击应该要比实体经济更快体现出来。本文基于中外学者的研究成果对原油价格波动对股市的影响的文献进行综述，通过VAR模型的方法，引入原油价格、汇率、利率、工业生产价格指数、消费者价格指数、股票收盘价格六个变量对我国沪深A股的股价从2001-2010年10年间的月度数据从总体、分行业、分时间段进行研究都得出不同的结论。原油价格对股票价格的总体影响在我国表现在原油价格上升初期对股市有一定的刺激作用，能使股票价格上涨，而当原油价格持续上涨后，对股市却是反向的作用机制,然而这种反向的冲击效果在我国并不明显。原油价格的变化对采掘行业、房地产行业股票价格的影响在开始的时候是呈现越来越强的趋势，大约都在一直持续到第3个月的时候达到最大的正向冲击作用。原油价格的变化对电子行业、公用事业、机械设备行业、建筑行业股市指数的影响在开始的时候是呈现减弱的趋势，减弱到0附近的时候会有一个或两个的轻微反弹过程。原油价格的变化对交通运输仓储业股市指数的影响在初期减弱，，第三个月的时候很快达到负向的最大值。原油价格的变化对纺织服装行业股市指数的影响冲击不大，第三个月和第六个月的时候有一个正向的微弱冲击过程。在我们对2001年至2010年十年的时间进行分段研究的时候发现，前5年时间中，原油价格的波动对股市的冲击是有负向的效应的，随后冲击效果减弱，从方差分解也可以看出原油价格额的波动对股票价格的影响贡献也只达到3.5%。后5年中，原油价格的波动对股市的冲击效应在最初的时候是正向的冲击作用，并且这种趋势加强直到第十二个月达到最大值，随后对股市的作用是负向的，在第三十个月的时候达到负向的最大值，从方差分解可以看出原油价格波动对股票价格影响的贡献达到44%。所以原油价格的波动对股市的影响在2001—2005年间，是单一的负向作用，并且贡献不大，而在2006—2010年间，原油价格的波动对股市的影响是先有一个正向的冲击，然后会有一个负向的冲击，原油价格波动对股市影响的贡献达到44%，这表明原油还是我国能源市场很重要的资源，替代品市场很不发达。股市信息除了是市场的晴雨表，同时这些信息给投资者也是有一个参考意义，方便投资者在原油价格变动的时候对我国股市的冲击作出一个判断。
[Abstract]:Since 20th century, three oil crises have had a profound impact on the global economy, the stock market as a barometer of the real economy, if the market is effective. The impact of oil price fluctuations on the stock market should be faster than the real economy. This paper summarizes the literature on the impact of crude oil price fluctuations on the stock market based on the research results of Chinese and foreign scholars. Through the method of VAR model, introduce crude oil price, exchange rate, interest rate, industrial production price index, consumer price index. Stock closing price of six variables on China's Shanghai and Shenzhen A shares from 2001-2010 to 10 years of monthly data from the overall, sub-industry. The general effect of crude oil price on stock price in our country is that crude oil price has a certain stimulating effect on stock market at the beginning of the rise of crude oil price, which can make the stock price rise. But when the crude oil price continues to rise, it is the reverse mechanism to the stock market, but this reverse impact effect is not obvious in our country. The crude oil price changes to the extractive industry. The impact of stock prices in the real estate sector began with a growing trend, reaching the biggest positive impact until about the third month. The change in crude oil prices affected the electronics industry. The impact of the stock market indices in utilities, machinery and construction industries began with a weakening trend. There will be a slight rebound of one or two when it weakens to near zero. The impact of crude oil price changes on the transport and warehousing stock market index weakens in the early stages. The change in crude oil price had little impact on the textile and clothing industry stock market index. At the third and sixth months there was a positive weak shock process. In our study of the ten years from 2001 to 2010, we found that in the first five years. The fluctuation of crude oil price has a negative impact on the stock market, then the impact is weakened. It can also be seen from variance decomposition that the effect of the fluctuation of crude oil price on the stock price is only 3.50.In the following 5 years. The impact of crude oil price fluctuations on the stock market initially was a positive impact, and the trend strengthened until the twelfth month reached its maximum, and then the impact on the stock market is negative. Reached a negative maximum at the thirtieth month. From variance decomposition, we can see that the contribution of crude oil price fluctuation to stock price is 44%. Therefore, the impact of crude oil price fluctuation on stock market in 2001-2005 is a single negative effect. And contribution is small, and in 2006-2010, the impact of crude oil price volatility on the stock market is first a positive impact, then a negative impact. The contribution of crude oil price fluctuation to the stock market has reached 44%, which indicates that crude oil is also an important resource in China's energy market, and the substitute market is very underdeveloped. The stock market information is not only the barometer of the market. At the same time, this information is also a reference for investors, facilitating investors to make a judgment on the impact of the stock market when the crude oil price changes.
【学位授予单位】：浙江理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F416.22;F832.51

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