A股市场上的“中石油魔咒”现象及其解释  

CNPC Curse in A-share Market and Its Explanation

作　　者：刘红忠[1] 何文忠 李治平[3] 

机构地区：[1]复旦大学经济学院,上海200433 [2]上海浦东发展银行,上海200001 [3]国金证券,上海201204

出　　处：《财经研究》2012年第8期109-121,共13页Journal of Finance and Economics

基　　金：国家自然科学基金资助项目(70671027);教育部人文社会科学规划项目(09YJC790044)

摘　　要：文章针对A股市场上流传甚广的"中石油魔咒"现象,首次从基本面角度进行了解释,认为造成这一现象的根本原因是国际原油价格对我国股票市场存在显著的负向溢出效应,即当国际原油价格上涨时,对中石油个股产生利好,但对整体宏观经济却构成利空,因而中石油股票价格上涨,整个股票市场却会下跌。进一步研究还发现,这种负向溢出效应具有非线性特征,表现为国际原油价格上涨对股票市场的打压力度要大于其下跌对股票市场的提升力度。这提醒A股投资者相对于国际原油价格下跌,要更加关注国际原油价格上涨带来的投资风险。This paper provides an explanation of CNPC curse in A-Share market from the fundamental perspective for the first time and believes that the reason for CNPC curse is the negative spillover effect of international crude oil prices on China＇s A-share market, that is to say, the increase in in- ternational crude oil prices is advantageous to CNPC, but is disadvantageous greater than the rise effect of the decrease in international crude oil prices on stock market, which reminds A-share investors to pay more attention to the investment risks caused by the increase in international crude oil prices.

关 键 词：原油价格 股票市场 中石油魔咒 溢出效应 

分 类 号：F830.9[经济管理—金融学]