本文選題：石油市場 + 價格波動��； 參考：《武漢大學(xué)》2012年博士論文

【摘要】：隨著全球化趨勢的不斷增強(qiáng),石油市場越來越成熟,對經(jīng)濟(jì)的影響力也越來越大,石油價格的內(nèi)涵與外延也不斷豐富和發(fā)展。石油的金融屬性日益凸顯,并作為一種新的金融形態(tài)存在于國際能源市場和金融市場中。 在這一背景下,本文研究目的在于通過深入分析石油價格波動特征,透過石油價格波動的現(xiàn)象剖析油價的本質(zhì),重新審視石油作為自然資源的商品屬性,以及作為金融資本投資對象的金融屬性。在突破傳統(tǒng)經(jīng)濟(jì)學(xué)研究方法上,從行為金融學(xué)角度,以“行為范式”為指導(dǎo),建立符合現(xiàn)實(shí)石油市場的分析框架。考察石油市場基本面因素和投機(jī)行為在油價形成過程中的相對重要性,探討油價大起大落的原因,尤其對2003年以來的石油價格波動給出合理的解釋。在此基礎(chǔ)上,根據(jù)投資者的有限理性與異質(zhì)性分析石油市場中投資主體的行為特征對油價波動的影響。 本文的創(chuàng)新性主要體現(xiàn)在如下幾個方面： 第一,從研究主題來看,雖然研究石油價格的論文眾多,但本文以石油市場金融屬性下的價格波動為研究主題,從行為金融學(xué)視角來研究石油市場交易者行為對價格的影響,目前國內(nèi)研究并不多見。 第二,傳統(tǒng)的金融學(xué)理論不再適用于當(dāng)前的石油市場,更不能用了解釋2003年以來的石油市場中的“異象”。本文根據(jù)石油市場現(xiàn)實(shí)情況,以行為金融學(xué)為指導(dǎo),基于基本面和行為視角分析石油價格的動態(tài),考察基本面因素和投機(jī)因素對油價形成的相對重要性。結(jié)果發(fā)現(xiàn),過去幾年,石油期貨市場的投機(jī)活動很大程度上扭曲了石油價格的形成,導(dǎo)致油價顯著偏離其基本面決定的價格水平。 第三,利用行為金融學(xué)的異質(zhì)性主體模型分析石油市場中不同交易者行為對油價的影響。在對噪聲交易者模型改進(jìn)的基礎(chǔ)上,構(gòu)造關(guān)于異質(zhì)性主體與石油期貨價格的模型,并將馬爾可夫區(qū)制轉(zhuǎn)移模型應(yīng)用到石油期貨市場,分析石油期貨市場參與者的異質(zhì)性,以及其參與石油市場行為對油價的影響。結(jié)果發(fā)現(xiàn),在2004年以前,石油市場的基本面因素可以很好的解釋石油期貨價格波動情形,但是,自2004年以后,石油市場中的狀態(tài)轉(zhuǎn)移變得更加頻繁,特別是趨勢追逐狀態(tài)占據(jù)主導(dǎo)地位。該模型的一個顯著特點(diǎn)是將石油市場的主體行為人與客觀基本面結(jié)合在一起,更加有力的解釋了油價運(yùn)動機(jī)理,一定程度上克服了簡單片面的從市場某一因素解釋石油價格波動原因。 第四,在標(biāo)準(zhǔn)金融理論所依據(jù)的“理性范式”和行為金融學(xué)所依據(jù)的“行為范式”之間,中國的期貨市場更符合“行為范式”,因而本文選擇從行為范式的角度研究中國燃料油期貨市場。
[Abstract]:With the increasing trend of globalization, the oil market is becoming more and more mature, the influence on the economy is also increasing, and the connotation and extension of oil price is becoming more and more abundant and developed. The financial property of petroleum is increasingly prominent, and as a new financial form, it exists in the international energy market and financial market. Under this background, the purpose of this paper is to analyze the characteristics of oil price fluctuation, analyze the essence of oil price through the phenomenon of oil price fluctuation, and re-examine the commodity property of oil as natural resources. And as the financial capital investment object of the financial attributes. In order to break through the traditional research methods of economics, from the point of view of behavioral finance and guided by "behavioral paradigm", an analytical framework in line with the reality of oil market is established. This paper investigates the relative importance of fundamental factors and speculation in oil market in the process of oil price formation, probes into the reasons for the fluctuation of oil price, especially gives a reasonable explanation for the fluctuation of oil price since 2003. On this basis, according to the limited rationality and heterogeneity of investors, this paper analyzes the influence of the behavior characteristics of the investors on the oil price fluctuation in the oil market. The innovation of this paper is mainly reflected in the following aspects: First, from the point of view of the research topic, although there are many papers to study the oil price, this paper takes the price fluctuation under the financial attribute of the oil market as the research topic, and studies the effect of the behavior of the oil market trader on the price from the perspective of behavioral finance. At present, domestic research is rare. Second, the traditional financial theory is no longer applicable to the current oil market, nor can it explain the "anomalies" in the oil market since 2003. According to the actual situation of oil market and guided by behavioral finance, this paper analyzes the dynamics of oil price based on fundamental and behavioral perspectives, and examines the relative importance of fundamental and speculative factors to the formation of oil price. As a result, speculation in the oil futures market over the past few years has largely distorted the formation of oil prices, leading to a significant deviation from the price level determined by its fundamentals. Thirdly, the heterogeneous agent model of behavioral finance is used to analyze the influence of different traders' behavior on oil price. Based on the improvement of noise trader model, this paper constructs a model of heterogeneous subject and oil futures price, and applies Markov region system transfer model to oil futures market to analyze the heterogeneity of participants in oil futures market. And its participation in the oil market behavior on the impact of oil prices. The results show that before 2004, the fundamental factors of the oil market can explain the fluctuation of oil futures price very well, but since 2004, the state shift in the oil market has become more frequent. In particular, the trend of the pursuit of the state occupies a dominant position. A remarkable feature of the model is that it combines the main actors of the oil market with the objective fundamentals, and explains the mechanism of oil price movement more effectively. To some extent, it overcomes the simple and unilateral explanation of oil price fluctuation from one factor in the market. Fourth, between the "rational paradigm" based on the standard financial theory and the "behavioral paradigm" on which behavioral finance is based, China's futures market is more in line with the "behavioral paradigm". Therefore, this paper chooses to study China's fuel oil futures market from the perspective of behavioral paradigm.
【學(xué)位授予單位】：武漢大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F831;F416.22;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 李卓;邢宏洋;;國際石油價格波動對我國通貨膨脹的影響——基于新凱恩斯Phillips曲線的研究[J];國際貿(mào)易問題;2011年11期

2 郭子嘉;;噪音交易風(fēng)險(xiǎn)下的有限套利研究[J];地方財(cái)政研究;2011年12期

3 魏巍賢;林伯強(qiáng);;國內(nèi)外石油價格波動性及其互動關(guān)系[J];經(jīng)濟(jì)研究;2007年12期

4 姬強(qiáng);朱磊;莫建雷;段宏波;許金華;范英;;2012年國際原油市場走勢分析與價格預(yù)測[J];中國科學(xué)院院刊;2012年01期

5 攀登,施東暉,曹敏;中國個人投資者采用股價趨勢交易策略的經(jīng)驗(yàn)研究[J];世界經(jīng)濟(jì);2003年11期

相關(guān)博士學(xué)位論文 前2條

1 彭浩;中國農(nóng)產(chǎn)品期貨市場效率問題的研究[D];西南財(cái)經(jīng)大學(xué);2004年

2 李勇;不同市場有效性條件下的中國投資策略研究[D];華東師范大學(xué);2006年

，

本文編號：1990389