基于连续小波的能源价格与能源类股票的交互效应研究  

Interactive Effects between Energy Prices and Energy Stocks in China:A Study Based on Wavelet Analysis

作　　者：张爱英[1] 赫永达[2] 文红 ZHANG Ai-ying;HE Yong-da;WEN Hong(Shanxi Academy of Social Sciences,Taiyuan 030032,China;School of Statistics,Shanxi University of Finance and Econimics,Taiyuan 030006,China)

机构地区：[1]山西省社会科学院,山西太原030032 [2]山西财经大学统计学院,山西太原030006

出　　处：《经济问题》2020年第12期18-28,共11页On Economic Problems

基　　金：国家统计局项目“我国横向生态补偿机制指标体系构建与实施路径研究”(2019LY100);山西省软科学项目“地域联动视阈下山西省生态环境保护机制研究”(2018041004-2);山西省哲学社会科学规划课题“环境规制对山西省产业结构调整的污染溢出与涟漪效应研究”(2019B189)。

摘　　要：选取国内外煤炭、原油、天然气、电等多个主要能源类别的价格指标,构建出中国综合性能源价格指数,再运用Morlet连续小波和最大重叠离散小波变换(MODWT)对我国能源价格与股票市场、能源类股票间的交互关系进行分析,并进行非线性Granger因果关系检验。实证结果表明,能源价格和股票市场、能源类股票对于短期冲击反应较弱,在中长期则呈现出显著的相互关联性,特别以2013年前后为分界线,表现出显著的动态变化特征。实证研究可以为能源价格与股市的关系研究提供新的方法应用和事实依据。This study firstly selects the price indexes of coal,crude oil,natural gas,electricity and other major energy categories at home and abroad to build a comprehensive energy price index of China.Then we use Morlet continuous wavelet and maximum overlapping discrete wavelet transform(MODWT)to analyze the interactive effects between China’s energy price,stock market and energy stocks from 2007 to 2019.The linear and nonlinear Granger causality tests are employed to check their corresponding co-movement features.The empirical results show that energy prices,stock markets and energy stocks have weak response to short-term shocks,but show significant correlation in the medium and long term,especially showing significant dynamic characteristics around2013.This empirical study may provide a new method application and factual basis for the research of the relationship between energy price and stock market.

关 键 词：能源价格 股票市场 Morlet连续小波 非线性Granger因果关系检验 

分 类 号：F426[经济管理—产业经济]