本文關(guān)鍵詞： 國(guó)際油價(jià) 股指收益 結(jié)構(gòu)性國(guó)際油價(jià)波動(dòng) 動(dòng)態(tài)變動(dòng)關(guān)系 非對(duì)稱性影響　出處：《哈爾濱工業(yè)大學(xué)》2012年博士論文　論文類型：學(xué)位論文

【摘要】：石油是重要的能源和基礎(chǔ)原材料，其價(jià)格波動(dòng)對(duì)經(jīng)濟(jì)的影響歷來(lái)是各領(lǐng)域重點(diǎn)關(guān)注的焦點(diǎn)問(wèn)題之一。隨著世界經(jīng)濟(jì)一體化進(jìn)程不斷推進(jìn)，世界各國(guó)經(jīng)濟(jì)之間的聯(lián)系日益緊密，金融市場(chǎng)與原油市場(chǎng)的聯(lián)動(dòng)性亦逐年增強(qiáng)。世界產(chǎn)業(yè)結(jié)構(gòu)格局的不斷調(diào)整使高能耗產(chǎn)業(yè)逐步由發(fā)達(dá)國(guó)家轉(zhuǎn)移至發(fā)展中國(guó)家，，國(guó)際油價(jià)波動(dòng)對(duì)能源消耗和原油進(jìn)口依存度較大的發(fā)展中國(guó)家經(jīng)濟(jì)影響已不容忽視。我國(guó)是世界上一次能源消費(fèi)最大的發(fā)展中國(guó)家，關(guān)注國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)經(jīng)濟(jì)的影響問(wèn)題，具有重要的理論和現(xiàn)實(shí)意義。本文以國(guó)際油價(jià)波動(dòng)對(duì)中國(guó)股票市場(chǎng)的影響為研究對(duì)象，探尋國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)經(jīng)濟(jì)活動(dòng)的影響。在綜述國(guó)際油價(jià)波動(dòng)與宏微觀經(jīng)濟(jì)間關(guān)系的國(guó)內(nèi)外研究現(xiàn)狀基礎(chǔ)上，從國(guó)際油價(jià)的形成機(jī)制入手，歸納總結(jié)國(guó)際油價(jià)的影響因素及國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)股市產(chǎn)生影響的貨幣傳導(dǎo)和貿(mào)易傳導(dǎo)等四種傳導(dǎo)路徑，確立了國(guó)際油價(jià)波動(dòng)與我國(guó)股市之間的關(guān)聯(lián)性。主要從以下幾方面展開(kāi)國(guó)際油價(jià)波動(dòng)對(duì)中國(guó)股市影響方面的研究。 首先，利用協(xié)整檢驗(yàn)與誤差修正檢驗(yàn)?zāi)Ｐ痛_立國(guó)際油價(jià)波動(dòng)與中國(guó)股票市場(chǎng)的長(zhǎng)短期關(guān)系，結(jié)合動(dòng)態(tài)計(jì)量檢驗(yàn)方法和我國(guó)經(jīng)濟(jì)運(yùn)轉(zhuǎn)狀況分析國(guó)際油價(jià)波動(dòng)與我國(guó)股市之間的動(dòng)態(tài)關(guān)系變動(dòng)狀況。我國(guó)股市與國(guó)際油價(jià)波動(dòng)間的相關(guān)性并非簡(jiǎn)單的正負(fù)相關(guān)，而是正負(fù)交錯(cuò)出現(xiàn)，即隨著經(jīng)濟(jì)運(yùn)行狀況的改變和時(shí)間的推移，國(guó)際油價(jià)波動(dòng)與我國(guó)股市間的動(dòng)態(tài)關(guān)系亦隨之變動(dòng)。另外，國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)股市的影響主要集中在短期，隨著我原油進(jìn)口量和依存度的逐年攀升，國(guó)際油價(jià)頻繁上漲的利空信息對(duì)我國(guó)股市的抑制作用逐年凸顯。國(guó)際油價(jià)波動(dòng)主要與水電業(yè)、交通運(yùn)輸業(yè)、公共事業(yè)、采掘業(yè)、制造業(yè)、工業(yè)、金屬業(yè)和造紙業(yè)存在穩(wěn)定的長(zhǎng)短期關(guān)系。 然后，將國(guó)際原油市場(chǎng)結(jié)構(gòu)性變動(dòng)納入國(guó)際油價(jià)波動(dòng)與我國(guó)股市間關(guān)系的研究中，比較分析不同因素所致的國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)股市的影響。利用結(jié)構(gòu)VAR模型將國(guó)際油價(jià)波動(dòng)分解為供給因素、經(jīng)濟(jì)需求因素和預(yù)防性購(gòu)買因素所致的國(guó)際油價(jià)波動(dòng)，并比較分析結(jié)構(gòu)性國(guó)際油價(jià)波動(dòng)三種因素對(duì)我國(guó)股票市場(chǎng)股指收益的影響。結(jié)構(gòu)性國(guó)際油價(jià)波動(dòng)中由供給和預(yù)防性購(gòu)買所致的國(guó)際油價(jià)上漲對(duì)我國(guó)股市及相關(guān)行業(yè)板塊股指收益會(huì)產(chǎn)生不利影響，而經(jīng)濟(jì)需求沖擊所致的短期內(nèi)國(guó)際油價(jià)上漲對(duì)我國(guó)股市及相關(guān)行業(yè)板塊股指收益的抑制作用則會(huì)被能夠良好的經(jīng)濟(jì)運(yùn)行形勢(shì)部分甚至全部抵消。從國(guó)際原油市場(chǎng)內(nèi)部結(jié)構(gòu)性變動(dòng)方面驗(yàn)證前期動(dòng)態(tài)研究結(jié)果，即國(guó)際油價(jià)波動(dòng)與我國(guó)股市之間變動(dòng)關(guān)系并非單一的正相關(guān)抑或是負(fù)相關(guān)而是取決于結(jié)構(gòu)性國(guó)際油價(jià)變動(dòng)三種因素的交互影響。 最后，對(duì)比分析了不同驅(qū)動(dòng)因素所致國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)股市的非對(duì)稱性影響，發(fā)現(xiàn)結(jié)構(gòu)性國(guó)際油價(jià)波動(dòng)三種因素對(duì)我國(guó)股市股指收益的非對(duì)稱性影響存在一定差異。非對(duì)稱性影響模型結(jié)果顯示不同驅(qū)動(dòng)因素所致的國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)股市及相關(guān)行業(yè)板塊股指收益均存在著不同程度的非對(duì)稱性影響。并非所有國(guó)際油價(jià)波動(dòng)對(duì)我國(guó)股市的影響都存在顯著的非對(duì)稱性影響，需區(qū)分國(guó)際油價(jià)上漲的驅(qū)動(dòng)因素后方能作出定論。在結(jié)構(gòu)性油價(jià)波動(dòng)對(duì)相關(guān)行業(yè)板塊股指的非對(duì)稱影響研究中發(fā)現(xiàn)除對(duì)制造業(yè)不存在非對(duì)稱性影響外余下的七個(gè)相關(guān)行業(yè)板塊股指收益均受到不同程度的非對(duì)稱性影響。 本研究突破了既有研究視角，豐富了國(guó)際油價(jià)波動(dòng)對(duì)發(fā)展中國(guó)家經(jīng)濟(jì)影響方面的研究，能為政府決策者和投資決策者應(yīng)對(duì)國(guó)際油價(jià)波動(dòng)提供一定的參考與借鑒，具有重要的理論與現(xiàn)實(shí)意義。
[Abstract]:Oil is the raw material of energy and an important basis, affect the price fluctuations of the economy has always been one of the focus of the focus in the field. Along with the continuous development of world economic integration, between the world economy is more closely linked to the linkage, the financial market and the oil market also increased year by year. Continuous adjustment of world industrial structure pattern the high energy consumption industry gradually transferred from developed countries to developing countries, the international oil price fluctuation of imported crude oil dependence on energy consumption and economy of developing countries a greater impact can not be ignored. China is the world's primary energy consumption is the largest developing country, the problem of international oil price fluctuations on the impact on China's economy, it has important theoretical and practical. In this paper the international oil price fluctuations on Chinese stock market as the research object, to explore the international oil price fluctuations on China by Influence of economic activities. On the base of the current situation of micro economic relationship between international oil price fluctuation and macro review at home and abroad, starting from the international oil price formation mechanism, the influence factors and summarizes the international oil price fluctuations in international oil prices on China's stock market monetary transmission and Trade Transmission four kinds of conduction path, established the association the international oil price volatility between China's stock market. Mainly from the following aspects of the study on the influence of international oil price fluctuations on the stock market Chinese.
First of all, using cointegration test and error correction model to establish the international oil price fluctuation and China stock market long-term relationship, combined with the method of dynamic measurement and test of China's economic operation analysis of the dynamic relationship between international oil price and China stock market changes. The positive and negative correlation is not China's stock market and international oil price fluctuations between the simple related, but there is positive and negative staggered, with economic situation changes and the passage of time, the international oil price fluctuations in China's stock market and the dynamic relationship between Yi Suizhi changes. In addition, the impact of international oil price fluctuation on China's stock market is mainly concentrated in the short term, with imports of crude oil and the dependence on the inhibitory effect of frequent increased year by year. Rise in international oil prices bad information on China's stock market gradually prominent. The international oil price fluctuations and hydropower industry, transportation industry, public utilities, mining industry There is a stable long - and short term relationship between manufacturing, industry, metal and paper making.
Then, the structural changes in international crude oil market research into the international oil price volatility and the relationship between China's stock market, comparative analysis of the effect of international oil price fluctuations caused by different factors on China's stock market. The international oil price volatility is decomposed into supply factors using structural VAR model, economic demand factors and preventive factors caused by the international oil price to buy comparative analysis of the effect of structural fluctuations, and fluctuations in international oil prices of three kinds of factors on the stock returns of China's stock market. Have a negative impact on the stock market of our country and the relevant industry sector stock index returns by supply and prevent buying caused by international oil prices rising structural fluctuations in international oil prices, and economic demand shocks on China stock market and inhibition the relevant industry sector stock index returns in the short term due to rising international oil prices would be capable of good economic situation of some or all arrived From the internal structural change of the international crude oil market, we verify the preliminary dynamic research results, that is, the relationship between international oil price fluctuations and China's stock market is not a single positive correlation or a negative correlation, but depends on the interaction of three factors of structural international oil price change.
Finally, a comparative analysis of different driving factors caused by the asymmetric effects of oil price fluctuation on China's stock market, found that structural fluctuations in international oil prices of three kinds of factors are different asymmetrical effects on China stockmarket. Asymmetric effect model results show that different driving factors of international oil price fluctuations on China's stock market and the relevant industry sector stock returns are different asymmetrical effects. Not all effects of international oil price fluctuations on China's stock market has asymmetric effect significantly, the driving factor between international oil prices of the rear can make a conclusion. In the study of structural oil price volatility asymmetric effect on industry sector index in addition to the seven found in related industries for the manufacturing industry did not affect the existence of asymmetry outside the remaining plate stock returns are subject to different levels of It is called the effect of sex.
This research breaks through the existing research perspective, enriches the research on the impact of international oil price fluctuation on developing countries' economy, and can provide some references for government decision-makers and investment decision-makers to cope with the fluctuation of international oil price, which has important theoretical and practical significance.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F416.22

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