石油价格与股票市场的动态相关性分析  

Analysis of the Dynamic Correlation between Crude Oil and Stock Markets

作　　者：郦博文 巴曙松[1,2] 韦伟 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026 [2]中国银行业协会,北京100033 [3]上海证券交易所,上海200120

出　　处：《大连理工大学学报（社会科学版）》2017年第4期40-45,共6页Journal of Dalian University of Technology(Social Sciences)

基　　金：国家自然科学基金重点项目:"复杂纵向数据的统计推断"(11231010)

摘　　要：能源信息变量和金融信息变量的关系是能源经济学的重要课题。文章试图应用非参数时变Copula方法来检验石油价格与股票市场间的相关关系,发现石油价格和全球股票市场间的相关性随着时间变化而发生变化。通过度量尾部相依系数的变化趋势,两者之间的相关性在经济动荡或金融危机期间显著增强。The correlation between energy variables and financial variables is a key issue in energy economics.In this paper,we employ the non-parametric Time-varying Copula approach to investigate the dynamic between the Brent crude oil price and stock markets,and have found the relationship between oil and stock markets is time-varying.By measuring the tail dependence coefficient,its increase shows that the dynamic relation between the two variables became strong in the economic turmoil and financial crisis.The empirical results have important implications for portfolio diversification and risk management.

关 键 词：石油价格 股票市场 时变COPULA 非参数方法 尾部相关性 

分 类 号：F830.9[经济管理—金融学]