供给与需求驱动型原油价格变动对股票市场的多时间尺度影响研究  

Multiscale Impacts of Oil Price Fluctuations Driven by the Demand and Supply on the Stock Market

作　　者：黄书培 安海忠 高湘昀[1,2] 闻少博 HUANG Shu-pei;AN Hai-zhong;GAO Xiang-yun;WEN Shao-bo(School of Economics and Management, China University of Geosciences, Beijing 100083, China;Key Laboratory of Carrying Capacity Assessment for Resource and Environment, Ministry of Land and Resources, Beijing 100083, China)

机构地区：[1]中国地质大学北京经济管理学院,北京100083 [2]国土资源部资源环境承载力评价重点实验室,北京100083

出　　处：《中国管理科学》2018年第11期62-73,共12页Chinese Journal of Management Science

基　　金：国家自然科学基金青年项目(41801106);国家自然科学基金面上项目(41871202,71771022);北京市自然科学基金青年基金项目(9174041);教育部人文社科青年基金项目(18YJCZH058)

摘　　要：不同时间尺度下,供给和需求驱动型原油价格变动对股票市场的影响具有差异性,本文结合小波变化及向量自回归模型,从影响方向、影响强度及影响持续时间三个角度对这种差异性展开研究。首先,在多时间尺度下识别供给和需求驱动型原油价格变动;随后,就不同类型原油价格变动对全球综合股指的动态影响进行分析。结果发现:1)两类原油价格变动对股票市场在短、中及长期下均有显著影响,但需求驱动型原油价格变动在超短期(尺度1:2—4个月)和超长期(尺度6:64—128个月)下对股票市场没有显著影响;2)两类原油价格变动对股票市场的影响方向在短期和中期下具有随机性,在长期下具有正向影响;3)两类原油价格变动对股票市场的影响强度在短期和中期较在长期要高出至少60%;4)两类原油价格变动对股票市场的影响时间随着时间尺度的增长而增长,由短期下的20个月左右延长至长期下的60个月以上。Previous studies prove that the oil price driven by different factors could exert diverse impacts on the stock market.Moreover,the oil price and stock indices as well as their interaction are characterized by the multiscale features since there are multiple stakeholders associating with different objectives rooting in various time horizons.However,existing studies consider the impacts of different oil prices on the stock market only in the holistic time horizon,which only could offer a limited picture concerning the interaction between the international oil market and the global stock market.Therefore,in this paper the impact of the oil price shocks driven by the oil supply and demand under various time horizons is explored.A combined research framework involving the wavelet transform and the Vector Auto-regress model is proposed.Brent oil price is chosen to represent changes of the international oil market since that 50% of the world oil trade is based it,when the Morgan Stanley Capital International world index is used to reflect the changes of the global stock market.The global oil production and the oil consumption of the OECD(Organization for Economic Co-operation and Development)countries are taken as proxies for the oil supply and demand.All data sets are sampled from February 1998 to December 2015 in monthly frequency.During the empirical processes,the Brent oil price and the world stock index are decomposed into 6 time scales,then the oil price changes driven by the oil supply and demand at each time scale are identified based on their dynamic correlation obtained through the wavelet coherence,and whether different oil prices could influence the global stock market or not and the features of the impact of oil prices in terms of the direction,amplitude,and duration are examined.The results show that both oil price changes driven by the supply and demand could exert significant influence on the stock market in short,medium and long time horizons,but the oil price driven by the demand could not cause the ch

关 键 词：供给 需求 原油价格 股票市场 多时间尺度 

分 类 号：F062.1[经济管理—政治经济学]