基于互激励跳跃扩散模型的国际油价与股市溢出效应研究  

Modeling Spillover Effect Between the International Oil Prices and the Stock Market Using Mutually Exciting Jump Diffusion Model

作　　者：李福兴 林宇[2] 陈粘 淳伟德[2] LI Fu-xing;LI Yu;CHEN Zhan;CHUN Wei-de(College of Management Science,Chengdu University of Technology,Chengdu 610059,China;School of Business,Chengdu University of Technology,Chengdu 610059,China)

机构地区：[1]成都理工大学管理科学学院,四川成都610059 [2]成都理工大学商学院,四川成都610059

出　　处：《数学的实践与认识》2020年第19期28-39,共12页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71771032)。

摘　　要：针对国际石油市场与中美股票市场出现的跳跃聚集现象和互激励效应,本文首先通过引入Hawkes过程构建了互激励跳跃扩散模型,对国际油价与中美股价间跳跃溢出效应开展研究;然后运用广义矩估计法(Generalized Method of Moments,GMM)估计模型的参数并分析了国际石油市场和中美股市间跳跃溢出效应的方向和程度,同时对跳跃溢出效应的显著性进行Wald检验;最后通过模拟过程的成功率(Success Rate,SR)和误判率(Misjudgment Rate,MR)对互激励跳跃扩散模型测度跳跃溢出效应的有效性进行评价.实证结果表明:国际石油市场与中美股市不仅单个市场收益率存在跳跃聚集现象、自激励效应,而且相互之间跳跃具有明显的非对称互激励效应,石油价格跳跃对股票指数的影响显著强于股票指数跳跃对石油价格的影响;国际油价的跳跃对中国股票指数的影响明显强于美国,一旦国际石油价格发生跳跃,会刺激中国股指频繁跳跃,而对美国股市影响较践ald检验结果进一步验证了国际油价和中美股价间跳跃溢出效应结论的可靠性,而成功率(SR)和误判率(MR)则表明互激励扩散模型测度自激励、非对称互激励跳跃溢出效应准确有效.Based on jump clustering and mutual incentive effect existed in the international oil market and the stock market of China and the United States,this paper firstly introduces the Hawkes process to construct the mutually exciting jump diffusion model to carry out the research on the jump spillover effect.In addition,the direction and extent of jump spillover effect are analyzed after using the GMM to estimate the parameters of the model,and the Wald test of the significance of jump spillover effect is conducted at the same time.Finally,the success rate(SR)and misjudgment rate(MR)of simulation are adopted to evaluate the effectiveness of measuring jump spillover effect by the mutual excitation jump diffusion model.The empirical results show that,for the international oil market and the stock market of China and the United States,there not only exist the jump clustering and self-excitation effect of the yield of a single market,but also has an obvious effect of asymmetric interaction with the influence of oil prices jump on stock index significantly better than the impact of stock index jump on oil prices;the influence of international oil price jumps to the stock index of China is much stronger than the United States,that is,the jumping of international oil price may irritate frequently jumping of the stock index of China,but have a small effect on stock market of the U.S.;Wald test results further verify the existence of jump spillover.And the SR and MR indicate that the mutually exciting jump diffusion model is accurate and reliable to measure self-exciting and asymmetric mutual exciting jump spillover effect.

关 键 词：Hawkes过程 互激励 跳跃溢出效应 WALD检验 

分 类 号：F416.22[经济管理—产业经济] F764.1F832.51F837.12