本文選題：石油市場 + 股票市場��； 參考：《求索》2014年01期

【摘要】：通過梳理石油市場與股票市場的理論互動機制,將之分解為經(jīng)濟基礎(chǔ)、市場傳染和資金跨市流動三個層面的傳導(dǎo)路徑,選擇具有典型性的中、美、俄三國股市為樣本,運用格蘭杰因果檢驗、變系數(shù)空間狀態(tài)模型和AGDCC模型實證檢驗了三者與石油市場關(guān)聯(lián)的方向性、持續(xù)性以及時變相關(guān)性等特征。研究結(jié)論表明,中國股市與石油市場的關(guān)聯(lián)特征最微弱,俄羅斯股市與石油市場的聯(lián)動效應(yīng)最明顯,美國股市與石油市場的互動機制則具有顯著的時變性。
[Abstract]:By combing the theoretical interaction mechanism between the oil market and the stock market, the paper decomposes it into three levels: economic base, market contagion and cross-market capital flow, and selects the typical Chinese, American and Russian stock markets as samples. Granger causality test, variable coefficient spatial state model and AGDCC model are used to test the relationship between the three factors and oil market, such as directivity, persistence and time-varying correlation. The results show that the correlation between Chinese stock market and oil market is the weakest, the linkage effect between Russian stock market and oil market is the most obvious, and the interaction mechanism between U.S. stock market and oil market is time-varying.
【作者單位】： 湖南大學(xué)金融與統(tǒng)計學(xué)院;
【分類號】：F764.1;F830.91;F224
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本文編號：1827555