突发事件冲击下的国际原油市场波动对股市的风险溢出研究  

The Risk Contagion of Global Crude Oil Market to the Stock Market under the Impact of Emergency

作　　者：张年华 黄佳耿 徐浩宇 ZHANG Nian-hua;HUANG Jia-geng;XU Hao-yu

机构地区：[1]上海财经大学金融学院 [2]华东政法大学政府管理学院

出　　处：《中央财经大学学报》2023年第10期40-56,共17页Journal of Central University of Finance & Economics

基　　金：国家社会科学基金重点项目“基于新发展理念的经济结构调整与金融系统防风险的动态平衡机制研究”(项目编号:22AZD134)。

摘　　要：基于网络分析法原理,本文构建国际原油市场对股市的风险溢出强度指数,并在突发事件冲击下,系统考察国际原油市场波动对股市的风险溢出规律及影响机理。研究表明,突发新冠病毒感染会显著强化国际原油市场对股市的风险溢出,所在国感染风险上升会增强本土股市的脆弱性并加剧国际原油市场风险溢入。从风险溢出源头看,WTI和Brent原油期货市场是国际原油市场的风险溢出中心,这表明海外成熟度高、影响力大的原油市场波动更容易加剧系统性风险传染。从各股市受到的风险冲击强度看,尽管中国股市在病毒感染期间受到来自国际原油市场的风险溢出冲击强度低于美股和英国股市,但中国股市仍持续面临国际原油市场的风险溢出冲击。根据影响机理分析,在面对突发事件冲击时,优化金融市场环境、维持汇率稳定、降低股市投机氛围等均是有效应对手段。基于此,本文为有效监测国际原油市场风险输入,以及维持中国股市稳定和防范股市系统性风险提供有益参考。This paper constructs a risk spillover intensity index,and then study the risk contagion and impact mechanism of the global crude oil market to the stock market under the impact of emergency.We find that a sudden Covid-19 infection will intensify the risk spillover from the global crude oil market to the stock market,and the rising epidemic risk in the host country will also intensify the vulnerability of the local stock market and the risk spillover of the global crude oil market.We also find that WTI and Brent Futures Market are the risk spillover centers of the global crude oil market,which shows that the crude oil markets with high maturity and great influence are more likely to aggravate systemic risk contagion.During the period of virus infection,the risk spillover of China stock market from global crude oil market is lower than that of US stock market and UK stock market,but China stock market will still face the risk impact of global crude oil market.In the face of unexpected shocks,optimizing the financial market environment,maintaining exchange rate stability and reducing the speculative atmosphere in the stock market are all effective countermeasures.Finally,this paper provides relevant suggestions for maintaining market stability.

关 键 词：突发事件冲击 原油市场波动 股市风险 防范风险溢入 

分 类 号：F830[经济管理—金融学] F831F832