国际石油期货价格对我国石油股票价格影响的实证分析

发布时间：2018-04-04 13:03

本文选题：油价　切入点：相关分析　出处：《首都经济贸易大学》2013年硕士论文

【摘要】：本文运用统计学方法，深刻解读国际石油期货价格和我国A股石油股票价格之间的相互关系，发掘出更加符合当今价格数据变化趋势的规律，为石油产业作出经营决策提供有力依据，给石油行业投资者提出规避风险的新策略和新参考。在长期价格波动溢出分析中，采用相关分析、协整检验、因果关系检验和VAR模型等4种研究方法和数据挖掘的决策树算法，对因果关系规律进行验证和归纳。在短期价格波动溢出分析中，建立GARCH模型，，计算股票价格异常收益波动，基于事件研究法和非参数检验，鉴别短期是否存在溢出效应。本文认为自2006年以来，国际石油期货市场对我国石油股票价格的长期变化存在显著影响，股票的价格会在一周之内对国际期货价格变化做出反应。在活跃期，WTI收益率往往与股指变化方向相反，在调整期，国内和国际市场表现普遍一致，如果有一个股票指数收益率与WTI收益率变化相反，那么三个股票中至少有两个收益率与WTI相反。所以，如果投资者能注意到WTI和至少一类股指的变化方向相反时，就能基本判断出另外两类股票的收益率是增是减。而在短期，国内石油股票价格对国际原油期货价格收益率的巨大变动十分敏感。本文本着浅入深的原则，从介绍国际石油期货市场开始，全面剖析国际石油期货价格和我国A股上市的石油股票价格之间的关系。对已有文献观点提出挑战，丰富了石油价格研究内容，引入全新的研究方法，增强了结论的说服力。
[Abstract]:By using statistical method, this paper deeply interprets the interrelation between international oil futures price and Chinese A share oil stock price, and finds out the law that is more in line with the changing trend of current price data.It provides a strong basis for the petroleum industry to make the management decision, and puts forward a new strategy and new reference for the petroleum industry investors to avoid the risk.In the long term price volatility spillover analysis, four research methods, such as correlation analysis, cointegration test, causality test and VAR model, and decision tree algorithm of data mining are used to verify and summarize the causality law.In the analysis of short-term price volatility spillover, the GARCH model is established to calculate the abnormal return volatility of stock price. Based on the event study method and non-parametric test, the short-term spillover effect is identified.This paper holds that since 2006, the international oil futures market has a significant influence on the long-term change of the oil stock price in China, and the stock price will react to the change of the international futures price within a week.In the active period, the return of WTI is often opposite to that of the stock index. During the adjustment period, the performance of domestic and international markets is generally the same. If there is a stock index yield that is opposite to that of WTI,So at least two of the three stocks yield the opposite of WTI.So if investors notice that WTI and at least one stock index are changing in the opposite direction, they can basically tell whether the yield of the other two stocks is up or down.In the short-term, the price of domestic oil stock is very sensitive to the huge change of international crude oil futures price yield.Based on the principle of "shallow to deep", this paper begins with the introduction of international oil futures market, and analyzes the relationship between the international oil futures price and the oil stock price of A shares listed in China.The challenge to the existing literatures enriches the content of oil price research, introduces a new research method, and strengthens the persuasion of the conclusion.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F426.22;F832.51

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