金融危机影响下波罗的海原油运价指数与中美石油股指的多重分形研究  

Multifractal analysis of the Baltic crude oil price index and the China-US oil stock index under the influence of the financial crisis

作　　者：王越[1] 何红弟[1] WANG Yue;HE Hong-di(Logistics Research Center, Shanghai Maritime University, Shanghai 201306, China)

机构地区：[1]上海海事大学物流研究中心,上海201306

出　　处：《大连海事大学学报》2018年第2期104-112,共9页Journal of Dalian Maritime University

基　　金：国家自然科学基金资助项目(11672176);上海市科委资助项目(17DZ2280200)

摘　　要：为分析金融危机对原油运价指数与石油股指之间互相关性造成的影响,以波罗的海原油运价指数与中美石油代表股指为研究对象,运用多重分形去趋势互相关分析法(MF-DCCA)探讨金融危机爆发前后波罗的海原油运价指数与中美石油股指之间互相关性的差异.实证结果表明:波罗的海原油运价指数和中美石油股指之间不仅存在多重分形,而且还表现出明显的时段性特征,即金融危机后期多重分形特征较金融危机前期更强;波罗的海原油运价指数与中国石油股指之间的小幅波动较与美国石油股指之间的小幅波动具有更强的正持续性,大幅波动具有更弱的反持续性;波罗的海原油运价指数与美国石油股指之间的多重分形强度在金融危机前后均较与中国石油股指之间的多重分形强度更强.对原油运价指数与中美石油股指之间互相关性的差异分析,可为我国石油市场的管理者和投资者在市场风险投资方面提供决策参考.In order to analyze the influence of the financial crisis on the relationship between the oil freight index and oil stock index,taking the Baltic Dirty Tank Index and China/US oil representative stock index as study objects,the cross-correlation differences before and after the financial crisis were studied by using the Multifractal Detrended Cross-Correlation Analysis（ MF-DCCA）. The empirical results show that there is not only a multifractal existence between the Baltic Dirty Tank Index and China/US oil stock index,but also the obvious characteristics of the period,that is,the late financial crisis has more diversified fractal characteristics than the early financial crisis. The small fluctuations between the Baltic Dirty Tank Index and the China oil stock index have a stronger positive persistence than the US oil stock index,and the large fluctuations have a weaker anti-persistence. The multifractal strength between the Baltic Dirty Tank Index and the US oil stock index is stronger than the China oil stock index before and after the financial crisis. The analysis of the difference between oil freight index and China/US oil stock index can provide reference and suggestions for managers and investors in the oil market about risk investment.

关 键 词：波罗的海原油运价指数 中美石油股指 金融危机 多重分形 

分 类 号：F830.99[经济管理—金融学] U69[交通运输工程—港口、海岸及近海工程]