国际油价与行业股市之间的风险溢出效应分析  

An Analysis of Risk Spillover Effect between International Oil Price and Industry Stock Market

作　　者：王三兴[1,2] 李惠玉 陈甜甜 宋然 Wang Sanxing;Li Huiyu;Chen Tiantian;Song Ran

机构地区：[1]安徽大学经济学院 [2]安徽大学生态与经济发展研究中心

出　　处：《宏观经济研究》2020年第8期166-175,共10页Macroeconomics

摘　　要：国际石油市场朝着金融化发展的趋势日益明显,越来越多的投资者将石油作为可投资的目标之一,石油市场与股市之间的关联度也越来越高。本文从行业的角度出发,运用二元Copula-GARCH模型测算出国际油价与中国行业股市之间的相依结构,并在此基础上度量了国际石油价格波动对行业股票市场的条件在险价值(CoVaR)。实证结果显示最近三年国际石油价格波动对中国行业股市产生的风险溢出效应较大,并在不同行业之间显示出较大的差异。国际石油价格波动对WTI与原材料行业股市的相关系数和风险溢出效应影响最大,对WTI与金融行业股市相关系数的影响最小,对WTI与可选消费行业的风险溢出效应最小。The trend of financialization of international oil market is becoming obvious day by day.More and more investors regard oil as one of their investable targets,and the correlation between the oil market and the stock market is also increasing.From the perspective of the industry,this paper uses the binary Copula-GARCH model to measure the dependence structure between international oil prices and the Chinese industry stock market,and on this basis,measures the Conditional Value at Risk(CoVaR)of international oil price fluctuations on the industry stock market.The empirical results show that the risk spillover effect of international oil price fluctuations on the stock market of the Chinese industry in the past three years is large and shows large differences between different industries.International oil price fluctuations have the greatest impact on the correlation coefficient and risk spillover effect of WTI and the stock market of the raw material industry,the least impact on the correlation coefficient of WTI and the financial industry stock market,and the smallest risk spillover effect on WTI and optional consumer industries.

关 键 词：石油价格 股票市场 风险溢出 二元Copula-GARCH 条件在险价值 

分 类 号：F416.22[经济管理—产业经济] F764.1