摘要
随着国际、国内金融市场互动的不断增强以及石油市场与金融市场作用的日益密切,石油背后的金融属性对自身价格的主宰也更加明显,国际金融因素更容易通过作用油价的方式影响中国的股票市场。以2002年后油价脱离传统面的波动为契机,运用VAR模型和GARCH-BEKK模型对三大市场的相关关系进行研究。结果表明,国际金融因素与国际石油价格相互作用后单向对中国股票市场产生溢出效应。这为中国在政策层面上采取措施缓冲和避免国际油价波动给中国股票市场带来的不利冲击,维护中国石油价格和经济发展的稳定提供必要的参考和指引。
With increasing interacting between the international and the domestic financial markets, as well as strong couplingbetween the oil market and financial markets, the financial attributes of petroleum nowadays play a more evident role in domi-nating the oil price. The international financial factors are more likely to influence the stock market in China through the “af-fecting oil” way. Taking the volatility of oil prices out of the traditional reasons after the year of 2002 as the opportunity,VAR model and GARCH-BEKK model were established to analyze the correlation between these three markets studied. Theresults show that the international financial factors and international oil prices interact with each other, and then have unidi-rectional spillover effects on Chinese stock market. This can provide the necessary reference and guidance for China to takemeasures at the policy level, to buffer and avoid adverse impact of fluctuations in international oil prices, and therefore tomaintain domestic oil prices and economic development stability.
出处
《中国石油大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2014年第1期177-185,共9页
Journal of China University of Petroleum(Edition of Natural Science)
基金
中国石油大学(华东)2013年重大培育项目(13CX05040B)
山东省2013年社科规划课题(13CGLZ06)
关键词
国际石油价格
金融因素
溢出效应
BEKK
模型
international oil prices
financial attributes
spillover effects
BEKK model
