石油产业链股指收益率动态关系研究——基于石油开采、加工和贸易行业数据分析  

Research on the Relationship between International Oil Price Fluctuation and Oil Industry Stock Index Returns——A Dynamic Analysis of Stock Index Returns in Petroleum Exploitation,Petroleum Processing and Oil Trade

作　　者：白万平 吕政 刘丽萍 

机构地区：[1]贵州财经大学数统学院

出　　处：《价格理论与实践》2018年第7期95-98,共4页Price:Theory & Practice

基　　金：国家社会科学基金青年项目(16CTJ013);2018年度全国统计科学研究一般项目(2018339);2018年度贵州财经大学校级科研基金一般项目(2018XYB10)

摘　　要：我国石油对外依存度高,石油产业链企业发展不平衡。本文选取石油开采、石油加工和石油贸易三大行业的股票指数收益率,应用VAR-MGARCH-BEKK和MGARCH-DCC模型,分别分析石油产业链上下游行业之间的均值溢出性、波动溢出性和动态相关性。研究结论表明:这三大行业间普遍存在均值溢出效应;处于石油产业链下游的石油加工、石油贸易行业对上游石油开采行业存在显著的单向波动溢出效应;长期来看,这三个行业两两之间均呈现较强的正相关联系,但行业间发展不平衡的问题,仍然没有完全消除,有待于通过深化供给侧结构性改革来破解。China’s high dependence on foreign oil and its unique pricing mechanism result in uneven development of different enterprises in the oil industry chain. This paper selects stock index of three industries:petroleum exploitation, petroleum processing and oil trade,application of VAR-MGARCH-BEKK and MGARCH-DCC models, the volatility spillover and dynamic correlation between upstream and downstream industries of oil industry chain are analyzed respectively. The research arrives at the following conclusions: The average spillover effect is common among the three major industries;The petroleum processing and oil trade industry in the downstream of the oil industry chain has a significant one-way volatility spillover effect on the upstream petroleum exploitation industry;In the long run, there is a strong positive correlation between two of the three industries, but the development of the three industries is not balanced.

关 键 词：石油产业链 股指收益率 溢出效应 

分 类 号：F832.51[经济管理—金融学] F426.22