中美投资者关注与石油市场的波动风险——基于互联网搜索视角  

Chinese and American Investors'Attention and the Risk in the Oil Market:From the Perspective of Internet Search

作　　者：李玉蕾[1] 谢勿梦 郭尧琦[3] Li Yulei;Xie Wumeng;Guo Yaoqi

机构地区：[1]中南大学哲学博士后流动站 [2]湖南财政经济学院 [3]中南大学数学与统计学院

出　　处：《统计研究》2024年第5期86-97,共12页Statistical Research

基　　金：国家社会科学基金一般项目“大国竞争背景下的稀有金属全球流动演变与我国供应安全研究”(19BJY076)。

摘　　要：行为金融学理论和互联网的发展,为解析投资者关注与金融市场之间的微观机制提供新的视角。本文聚焦于中美投资者关注对石油市场风险的影响。首先,基于GARCH-MIDAS模型实现投资者关注对石油期现货市场波动的影响测度。其次,围绕中美贸易摩擦这一突发事件构建中美投资者关注度指标,通过DCC-GARCH-CoVaR模型测度突发事件对石油市场风险溢出的影响,并分析中国与美国投资者关注对石油市场风险影响的差异性。研究发现,中美投资者关注度变化将导致石油市场波动增强,影响石油市场的稳定性;相较中国投资者关注,美国投资者关注对石油市场的影响作用更为显著。此外,投资者对中美贸易摩擦的关注对石油期现货市场之间风险溢出具有显著影响,在高风险溢出时更为显著。相关研究有助于了解突发事件对石油市场影响的不确定性,为提升我国对世界石油市场突发性风险的应对能力提供参考。The development of behavioral finance theory and the Internet provides a new perspective for analyzing the micro mechanism between investors'attention and the financial market.This paper focuses on the impact of Chinese and American investors'attention on the oil market risk.First,based on the GARCH-MIDAS model,the impact of investors'attention on oil spot and futures market volatility is measured.Secondly,this paper constructs the attention of Chinese and American investors around the Sino-US trade frictions,measures the impact of emergencies on oil market risk spillover through the construction of DCC-GARCH-CoVaR model,and analyzes the difference of the impact of Chinese and American investors'attention on oil market risk.The results show that the change in the attention of Chinese and American investors will increase the volatility of the oil market and affect the stability of the oil market,and the attention of American investors has a more significant impact on the oil market than that of Chinese investors.In addition,investors'attention to the emergency of Sino-US trade frictions has a significant impact on the risk spillover between oil futures and spot markets,and this impact is more significant when the risk spillover occurs.The research is helpful to understanding the uncertainty of the impact of emergencies on the oil market and providing reference for improving China's ability to cope with the unexpected risks in the world oil market.

关 键 词：投资者关注 突发事件 风险溢出 石油市场 互联网搜索 

分 类 号：F832.5[经济管理—金融学]