国际石油价格波动对中国股票市场的风险溢出效应  

The Research on Risk Spillover Effect from International Oil Price Change to the China's Stock Market

作　　者：刘湘云[1] 朱春明[1] 

机构地区：[1]广东商学院金融学院国民经济研究中心,广东广州510320

出　　处：《广东金融学院学报》2011年第2期56-71,91,共17页Journal of Guangdong University of Finance

基　　金：国家社会科学基金项目(10CJL017);中国博士后科学基金项目(20090450627);广东省自然科学基金项目(8151032001000006);资本市场与投融资研究创新团队项目资助

摘　　要：由于交易时间上的不对称,采用非对称性调整方法对上证指数进行了滞后1期的调整,在此基础上,对非对称性调整前后的数据分别采用了Granger因果关系检验、向量自回归(VAR)模型、脉冲响应函数(IRF)、预测误差方差分解(FEVD)的方法以及MGARCH-BEKK(1,1)模型对纽约商业交易所(NYMEX)的西德克萨斯州中质油现货价格日对数收益率和上证指数日对数收益率之间的均值溢出效应和波动率溢出效应进行分析研究。研究结果表明,总体来说,两市收益率之间的风险溢出效应十分微弱和不稳定,但从2007年开始,这种风险溢出效应变得更显著,主要表现在WTI原油市场对上证指数具有"正的均值溢出效应"和"正的波动率溢出效应"。As the transaction time is asymmetric, the asymmetric adjusting method has been used to make one period lag adjustment for the Shanghai Securities Composite Index （SSCI）. Based on the adjustment, this paper adopted several methods and models, such as Granger Causality test, Vector Autoregressive （VAR） model, Impulse Response Function （IRF）, Forecast Error Variance Decomposition （ FEVD ） and MGARCH - BEKK （ 1,1 ）, to study the mean value spillover effect and the volatility spillover effect between the yields of daily WTI oil price and SSCI. The research shows that the risk spillover effect between the two markets is fairly weak and unstable in general, but since the year of 2007 this risk spillover effect became more significant which could be seen that the positive mean value spillover effect and the positive volatility spillover effect to the SSCI on the WTI crude oil market.

关 键 词：石油价格 股票市场 风险溢出效应 

分 类 号：F830.91[经济管理—金融学]