摘要
随着中国能源需求量的不断增加,国际能源价格的波动必然会对中国经济的发展产生影响,因此,研究国际能源市场和中国股票市场之间的波动溢出关系具有重要意义。本文分别从中国整体股市以及沪、深分市场两个角度,借助VAR-BEKK模型,利用波动序列的Granger因果关系检验,不仅研究了国际能源市场与中国股票市场之间的波动溢出方向,同时也研究了两个市场之间波动溢出的滞后效应。实证结果表明,能源市场与中国股市之间存在双向波动溢出,但是国际能源市场的波动在滞后两期后传染给中国股票市场;从分市场角度来看,沪市和深市对国际能源市场的溢出是当期的,反之,国际能源市场对沪市和深市的影响存在滞后效应。
With the increasing demand for energy in China,the fluctuation of international energy prices will inevitably affect the development of China＇s economy.Therefore,it is of great significance to study the relationship of volatility spillover between international energy market and Chinese stock market.From two perspectives of Chinese overall stock market,and Shanghai and Shenzhen stock markets,based on VAR-BEKK model and the Granger causality test of the volatility series,this paper not only studies the volatility spillover between the international energy market and the Chinese stock market,but also studies the lag effect of volatility spillover between the two markets.The empirical results show that there is a bi-directional volatility spillover between the energy market and the Chinese stock market,but the volatility of the international energy market has spread to China＇s stock market with a two-period lag.From the perspective of the market,Shanghai and Shenzhen markets have spillover effects on the international energy market in the current period;on the contrary,the impact of the international energy market on Shanghai and Shenzhen markets has a lag effect.
出处
《中国海洋大学学报（社会科学版）》
CSSCI
2017年第6期65-71,共7页
Journal of Ocean University of China(Social Sciences)
