尾部溢出视角下国际油价对中国新能源股价的影响研究  

Research on the Impact of International Oil Prices on China’s New Energy Stock Price from the Perspective of Tail Spillovers

作　　者：郭娜 陈东晖[1] 刘彦迪 叶小芬 GUO Na;CHEN Donghui;LIU Yandi;YE Xiaofen(School of Finance,Tianjin University of Finance and Economics,Tianjin 300222,China;Coordinated Innovation Center for Computable Modeling in Management Science,Tianjin University of Finance and Economics,Tianjin 300222,China;School of Business,Zhujiang College,South China Agricultural University,Guangzhou 510900,China)

机构地区：[1]天津财经大学金融学院,天津300222 [2]天津财经大学管理可计算建模协同创新中心,天津300222 [3]华南农业大学珠江学院商学院,广东广州510900

出　　处：《统计与信息论坛》2023年第8期89-100,共12页Journal of Statistics and Information

基　　金：国家社会科学基金重大项目“服务实体经济和防范系统性风险并重的金融体制改革路径与机制研究”(23ZDA038)。

摘　　要：经济绿色转型离不开新能源行业的平稳健康发展,在世界石油市场不确定性增强的背景下,研究国际油价波动对中国新能源行业股价的溢出效应并厘清其中的影响机理,对于中国防范化解输入性金融风险、推动新能源产业高质量发展具有重要意义。以国际油价和中国新能源行业股价为研究对象,采用基于分位数关联的尾部溢出指数方法,实证研究了国际油价波动对中国新能源行业股价的溢出效应,并进一步分析了其中的影响机理及动态特征。研究发现:第一,国际油价波动对中国新能源行业股价具有明显的溢出效应,且这一溢出效应在极端波动状态下显著增强。相对而言,光伏、水电和核能行业股价受国际油价波动的溢出影响更强;第二,国际油价极端上升和下降状态下对中国新能源行业股价的溢出呈现非对称性,多数情况下极端下降状态的溢出效应更强;第三,国际油价波动及其溢出效应均可显著抬升中国新能源股市风险,且溢出强度在跨市场风险传导中起到推波助澜的作用。此外,左尾溢出对新能源股市风险的影响呈现出“短期、高强度”特征,而右尾溢出呈现出“高持续性”特征。It empirically examines the spillover effect of international oil price volatility on China’s new energy industry stock prices under normal and extreme conditions,using Brent crude oil futures prices and seven types of A-share new energy stock index returns from 1 January in 2016 to 31 March in 2021,and further analyzes the mechanism of the effect based on the quantile-based correlation of the tail spillover index method and dynamic characteristics.The empirical results show that:Firstly,international oil price volatility has a significant spillover effect on the share price of China’s new energy industry,and this spillover effect is significantly enhanced under extreme volatility.In relative terms,the stock markets of the photovoltaic,hydropower and nuclear industries are subject to a greater degree of spillover from fluctuations in the international crude oil market.Secondly,the level of spillover from international oil price fluctuations on China’s new energy stock prices is significantly higher in the extreme state than in the intermediate state,and the larger the size of the shock,the higher the level of spillover.In addition,the level of aggregate directional spillovers in the extreme up and down states show asymmetry,with the spillover effect being stronger in the extreme down state in most cases;Thirdly,both international oil price volatility itself and the spillover effect of international oil prices on Chinese new energy industry share prices can significantly raise Chinese new energy stock market risk,and the volatility spillover effect reinforces the impact of international oil price volatility on Chinese new energy share price volatility.The volatility spillovers in the left tail of the conditional distribution have a“short-term,high-intensity”impact on new energy stock market risk,while the volatility spillovers in the right tail shows“high-sustainability”.Based on the above findings,the policy recommendations are as follows:Firstly,for investors in A-share new energy stocks,they shoul

关 键 词：原油价格 新能源行业 股票市场 尾部依赖 溢出效应 

分 类 号：F206[经济管理—国民经济]