本文關(guān)鍵詞： 國(guó)際原油價(jià)格 溢出效應(yīng) 傳導(dǎo)機(jī)制 股票市場(chǎng)　出處：《復(fù)旦大學(xué)》2012年博士論文　論文類(lèi)型：學(xué)位論文

【摘要】：原油作為最基礎(chǔ)的能源和化工原料,被譽(yù)為現(xiàn)代工業(yè)的“血液”,在國(guó)民經(jīng)濟(jì)的發(fā)展中起著舉足輕重的作用。尤其是二戰(zhàn)以后,原油已經(jīng)超越煤炭,成為全球第一大能源。隨著世界經(jīng)濟(jì)對(duì)原油依賴(lài)性越來(lái)越強(qiáng),原油價(jià)格波動(dòng)也日益劇烈。2003年原油價(jià)格為30美元/桶,2004年原油價(jià)格突破40美元/桶,2006年原油價(jià)格超過(guò)60美元/桶,2008年7月更是創(chuàng)紀(jì)錄地達(dá)到145美元/桶的歷史高點(diǎn)。原油價(jià)格波動(dòng)如此之大,起伏如此之快,可以說(shuō)是前所未有。 中國(guó)作為世界第一大能源消費(fèi)國(guó),近幾年對(duì)原油消耗量與日俱增。2001年,我國(guó)原油對(duì)外依存度還只有27%,2010年,我國(guó)原油對(duì)外依存度已經(jīng)高達(dá)54%,現(xiàn)在更是超過(guò)美國(guó),達(dá)到55%以上。理論上,原油對(duì)外依存度如此之高,劇烈的國(guó)際油價(jià)波動(dòng)不可避免會(huì)對(duì)我國(guó)宏觀經(jīng)濟(jì)產(chǎn)生意外沖擊。如果股票市場(chǎng)是有效的,原油對(duì)宏觀經(jīng)濟(jì)的沖擊勢(shì)必在股票市場(chǎng)上也會(huì)有所反映。A股市場(chǎng)上熱傳甚廣的“中石油魔咒”即是投資者對(duì)這種反映的一種形象化描述。 然而,目前國(guó)內(nèi)學(xué)者多關(guān)注原油價(jià)格與我國(guó)宏觀經(jīng)濟(jì)的關(guān)系,而較少關(guān)注原油價(jià)格與我國(guó)股票市場(chǎng)的關(guān)系。而對(duì)這兩個(gè)市場(chǎng)關(guān)系和作用機(jī)制的研究無(wú)論是從國(guó)家金融安全,還是從資產(chǎn)配置、風(fēng)險(xiǎn)防范角度都具有重要的理論意義和現(xiàn)實(shí)意義。 本文首先梳理相關(guān)文獻(xiàn),對(duì)市場(chǎng)間的“溢出效應(yīng)”進(jìn)行了界定,然后使用股改后數(shù)據(jù)從均值和波動(dòng)率兩個(gè)維度對(duì)國(guó)際原油價(jià)格對(duì)我國(guó)股票市場(chǎng)的“溢出效應(yīng)”進(jìn)行了測(cè)度。發(fā)現(xiàn)在股市平緩期間,原油價(jià)格對(duì)股票市場(chǎng)有著顯著的負(fù)向沖擊作用,這說(shuō)明隨著原油對(duì)外依存度不斷提高,國(guó)際原油價(jià)格已經(jīng)成為影響我國(guó)資本市場(chǎng)走勢(shì)不可忽視的力量,同時(shí)也說(shuō)明股改后我國(guó)資本市場(chǎng)有效性得到了顯著提高。但是在牛市和熊市極端情形下,協(xié)整檢驗(yàn)和Granger檢驗(yàn)均認(rèn)為原油價(jià)格與股票市場(chǎng)沒(méi)有顯著關(guān)系,說(shuō)明市場(chǎng)在這兩個(gè)時(shí)期的有效性較弱。使用滾動(dòng)樣本法進(jìn)行的穩(wěn)健性檢驗(yàn)表明,該結(jié)論具有很好的穩(wěn)定性。此外,使用DCC-GARCH模型檢驗(yàn)表明,國(guó)際原油價(jià)格與股票市場(chǎng)存在正向的波動(dòng)溢出效應(yīng),即一個(gè)市場(chǎng)的風(fēng)險(xiǎn)的會(huì)顯著傳染至另一市場(chǎng)。 在確認(rèn)“溢出效應(yīng)”存在的情況下,本文開(kāi)始探討這種效應(yīng)的傳導(dǎo)機(jī)制,這在很多文獻(xiàn)中被視為“黑箱”。我們分別從經(jīng)濟(jì)產(chǎn)出、利率、流動(dòng)性和財(cái)富轉(zhuǎn)移四個(gè)方面進(jìn)行了探討。其中,經(jīng)濟(jì)產(chǎn)出和利率傳導(dǎo)機(jī)制是從資產(chǎn)估值角度切入的,流動(dòng)性和財(cái)富轉(zhuǎn)移則是從資產(chǎn)需求角度切入的。研究結(jié)論認(rèn)為：(1)當(dāng)國(guó)際原油價(jià)格上漲時(shí),國(guó)內(nèi)經(jīng)濟(jì)產(chǎn)出一般會(huì)下降,而經(jīng)濟(jì)產(chǎn)出在很多時(shí)候是表征企業(yè)現(xiàn)金流的,企業(yè)現(xiàn)金流減少,股票價(jià)值降低,股票市場(chǎng)從而出現(xiàn)下跌；(2)由于相對(duì)價(jià)格體系靈活性不夠,國(guó)際原油價(jià)格上漲還會(huì)導(dǎo)致一般物價(jià)水平上升,從而降低居民的實(shí)際貨幣余額,推升國(guó)內(nèi)利率走高,而貼現(xiàn)率與利率高度相關(guān),由此導(dǎo)致股票價(jià)值降低。(3)當(dāng)國(guó)際原油價(jià)格上漲時(shí),由于原油的需求彈性較小,對(duì)外進(jìn)口支出會(huì)增加,國(guó)際收支出現(xiàn)惡化,在固定匯率制度下,國(guó)際收支無(wú)法通過(guò)匯率予以調(diào)節(jié),只能通過(guò)國(guó)外國(guó)內(nèi)相對(duì)價(jià)格來(lái)調(diào)節(jié),而要實(shí)現(xiàn)這一目的,就必須降低國(guó)內(nèi)流動(dòng)性,從而導(dǎo)致股票市場(chǎng)上貨幣流動(dòng)性趨向緊縮,壓制股票的需求,從而股票價(jià)格下跌。(4)當(dāng)國(guó)際原油價(jià)格上漲時(shí),原油進(jìn)口國(guó)的財(cái)富被轉(zhuǎn)移至原油出口國(guó),居民收入增速降低,為了維持既定的消費(fèi)水平,公眾會(huì)選擇拋售股票,從而導(dǎo)致股票價(jià)格下跌。 最后,本文在總結(jié)研究結(jié)論的基礎(chǔ)上,提出了兩市場(chǎng)的投資策略以及政策層面的建議。
[Abstract]:The most basic energy and chemical raw materials as crude oil, known as the "blood" of modern industry, which plays an important role in the development of national economy. Especially after World War II, crude oil has surpassed coal, to become the world's largest energy. As the world economy becomes more and more dependent on crude oil, crude oil price fluctuations are also increasingly severe.2003 crude oil price of $30 / barrel, crude oil prices in 2004 exceeded 40 U.S. dollars / barrel, crude oil prices in 2006 more than 60 U.S. dollars / barrel, July 2008 is a record of $145 a barrel record high crude oil price fluctuations. Such large fluctuations, so fast, can be said to be a hitherto unknown.
China as the world's largest energy consuming country, in recent years the consumption of crude grow with each passing day.2001 years, China's dependence on foreign oil is only 27%, in 2010, China's dependence on foreign oil has been as high as 54%, now is more than the United States, reaching more than 55%. In theory, the dependence on oil is so high. Sharp fluctuations in international oil prices will inevitably produce unexpected impact on China's macro economy. If the stock market is effective, the impact of crude oil on the macro economy is bound in the stock market will be reflected in the.A stock market heat transfer wide "oil curse" is a vivid description of the investors that reflect.
However, the current domestic scholars pay more attention to the relationship between crude oil prices and China's macro economy relations, and less concerned about the oil price and the stock market of our country. The research of the two market relations and the mechanism of both from the national financial security, or from the asset allocation, has important theoretical and practical significance to the risk to prevent the angle.
This paper first reviews related literature on the market "spillover effect" was defined, and then use the stock after the data from the mean and volatility of the two dimensions of the international crude oil prices on China's stock market "spillover effect" was found in the stock market measure. Gentle period, crude oil prices have a significant negative impact the role of the stock market, it shows that with the increasing dependence on foreign oil, international crude oil prices have become the impact of China's capital market trend cannot be ignored, and that after the reform of China's capital market efficiency has been greatly improved. But in the bull market and bear market in extreme circumstances, cointegration test and Granger test the crude oil price and the stock market is not significant, indicating that the market effectiveness is weak in these two periods. Using the robust test method of rolling sample shows that the conclusion It has good stability. In addition, the DCC-GARCH model test shows that there is a positive volatility spillover effect between the international crude oil price and the stock market, that is, the risk of a market will significantly spread to another market.
In the presence of confirmed "spillover effect", this paper begins to discuss the conduction mechanism of this effect, which is regarded as "black box" in many documents. We were from the economic output, interest rates, liquidity and wealth transfer discussed four aspects. Among them, the economic output and the interest rate transmission mechanism is cut from the assets the valuation point, liquidity and wealth transfer is from the perspective of asset demand perspective. The study concluded that: (1) when the international crude oil prices, domestic economic output will decline, while the economic output is the characterization of enterprise cash flow in most of the time, the cash flow is reduced, reducing the value of stock, stock market to fall; (2) due to the relative price system is not flexible enough, the international crude oil prices also led to the general price level rise, thereby reducing the residents of real money balances, push up domestic interest rates higher, The discount rate and the interest rate are highly correlated, resulting in reduced stock value. (3) when the international crude oil prices, because crude oil demand is less elastic, foreign import expenditure will increase, the international balance of payments deteriorated, under the fixed exchange rate system, international payments can not be adjusted by the exchange rate, can only be adjusted by foreign and domestic relative the price, in order to achieve this objective, it is necessary to reduce domestic liquidity, resulting in monetary liquidity tightening trend of the stock market, pressing demand for shares, and stock prices fell. (4) when the international crude oil prices, crude oil imports of China's wealth is transferred to the exporter of crude oil, the income growth rate decreased, in order to maintain a given level of consumption, the public will choose to sell the stock, resulting in stock prices.
Finally, on the basis of the conclusion of the study, this paper puts forward the investment strategy of the two market and suggestions on the policy level.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F416.22;F224

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