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本文选取了2002年1月到2008年底的Brent原油、上海期货交易所燃料油价格和中国沪深300指数的周数据,采用了向量自回归模型(VAR)的实证研究方法,分析了国内外石油价格与中国股票市场的关系。研究结果显示,中国股市波动与国际油价波动并不存在Granger因果关系,但与国内油价波动存在Granger因果关系。中国股市波动与国际油价波动之间存在长期的协整关系,进一步的脉冲效应表明,在国际油价上涨的初期,其对中国股市的影响的正面的,但很快这种影响就转变为负的,并且在较长的期间內不断放大。
This paper chooses the weekly data of Brent Crude Oil, Shanghai Futures Exchange fuel oil price and China Shanghai-Shenzhen 300 Index from January 2002 to the end of 2008, and adopts the empirical research method of Vector Autoregressive Model (VAR) The Relationship between Price and Chinese Stock Market. The results show that there is no Granger causality between the volatility of Chinese stock market and the fluctuation of international oil prices, but there is a Granger causality relationship with domestic oil price volatility. There is a long-term cointegration relationship between the volatility of China’s stock market and the volatility of international oil prices. Further impulsive effects indicate that at the initial stage of rising international oil prices, its impact on the Chinese stock market is positive, but this impact soon turns negative , And continue to zoom in for a longer period of time.