多源原油冲击对中国股价的异质性影响分析——来自微观公司层面的证据  

How Do Different Crude Oil Shock Factors Affect the Chinese Stock Market——Evidence from the Firm-Level Data

作　　者：赵万里[1] 范英[1] 姬强 张大永 ZHAO Wanli;FAN Ying;JI Qiang;ZHANG Dayong(School of Economics&Management,Beihang University,Beijing 100191;Institutes of Science and Development,Chinese Academy of Sciences,Beijing 100190;School of Public Policy and Management,University of Chinese Academy of Sciences,Beijing 100049;Research Institute of Economics and Management,Southwestern University of Finance and Economics,Chengdu 611130)

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]中国科学院科技战略咨询研究院,北京100190 [3]中国科学院大学公共政策与管理学院,北京100049 [4]西南财经大学经济与管理研究院,成都611130

出　　处：《系统科学与数学》2022年第2期255-270,共16页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学优秀青年基金项目(72022020);国家自然科学基金面上项目(71974159)资助课题。

摘　　要：在中国原油对外依存度不断攀升的时代背景下,原油冲击对中国股票市场的影响机制分析受到政府监管部门和投资者的广泛关注.文章根据原油冲击的不同来源,将原油价格序列分解为原油供给冲击因子,总需求冲击因子和原油特殊需求冲击因子三类,分析了这三类原油冲击因子对中国A股上市的1975支股票收益的不同影响机制.研究结果表明:从短期来看,对中国上市公司影响最广泛的是油价特殊需求冲击,其次是油价总需求冲击,且这两类都是负向影响,而油价供给冲击是正向影响,且影响范围较小.从长期来看,三种油价冲击对中国上市公司的长期影响更加广泛.其中,油价供给冲击和油价总需求冲击造成的油价变动会引起中国受影响上市公司平均股价的升高.而油价特殊需求冲击对中国上市公司股票收益率具有负效应.China depends increasingly on the international crude oil markets,and thus its economy shows high sensitivity to oil shocks.Using listed firms’ data,this paper explores stock market responses to three type of oil shocks,namely,aggregate supply shocks,aggregate demand shocks and oil specific demand shocks.Our research finds that oil specific demand shock has the highest impact in the short term,followed by aggregate demand shocks.These impacts are all negative,but the supply side shock has positive but insignificant impact.We also find clear industrial heterogeneity in the responses to oil shocks.In addition,oil shocks have stronger long-term impacts on the listed firms in China.While the industrial heterogeneity remains,we find that both aggregate demand and aggregate supply shocks have positive impacts on average stock prices,whereas the direction of oil specific demand shocks’ impacts go to the opposite side.

关 键 词：原油冲击 中国A股 股票收益率 不对称效应 

分 类 号：F832.51[经济管理—金融学] F416.22