本文關鍵詞：基于COPULA函數(shù)的國際原油價格與中國股市相關性分析　出處：《安徽大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 國際原油 中國股市 Copula函數(shù)

【摘要】：石油作為工業(yè)的基礎原材料之一,其價格的變動直接關系到企業(yè)的效益情況；石油作為人們的一種必需消費品,國際原油價格的變動同樣影響著人們的消費傾向。眾多學者把石油形象地稱之為“經(jīng)濟血液”,這足以說明石油對于一個國家經(jīng)濟的影響較為深遠。因此有必要對國際原油價格與國家的經(jīng)濟有何種關系進行系統(tǒng)性的探討。同時,股票市場是國家的經(jīng)濟的晴雨表,可以提前反映一國經(jīng)濟的狀況,所以可以將國際原油價格與國家的經(jīng)濟有何種關系這個問題等價成國際原油價格與國家股票市場有何種關系。 20世紀的中后期,世界上發(fā)生了三次較為嚴重的石油危機。這三次石油危機的出現(xiàn)對各國經(jīng)濟產生了重大的創(chuàng)傷,當然反映在股票市場上,股指出現(xiàn)較大的震蕩。自此之后,學者開始陸續(xù)地重視國際原油價格與一個國家的經(jīng)濟的關系,并對此做出大量的研究。當然,由于不同學者研究此方面問題時所采用的方法或理論不盡相同,所以研究結果也不一致。國際原油價格與股票市場所涉及到的數(shù)據(jù)都屬于金融數(shù)據(jù),而金融數(shù)據(jù)又具有自已的特征,所以總體來說,關于國際原油價格與一個國家股市關系的研究結果隨著研究金融數(shù)據(jù)理論體系的完善而逐漸地完善。 本文主要利用COPULA理論對國際原油價格與中國股市關系進行研究。Copula函數(shù)不拘泥于邊緣分布是否符合正態(tài)分布這個前提假設條件,因此它對于金融數(shù)據(jù)的分析具有得天獨厚的優(yōu)勢。通過對數(shù)據(jù)的處理,首先擬合出兩組數(shù)據(jù)各自的邊緣分布,然后用四種Copula函數(shù)對其進行擬合,最終得出最優(yōu)的Copula模型。由最優(yōu)Copula模型的結果,求出它所對應的尾部相關系數(shù)。本文通過分析得出國際原油價格與中國股市存在著長期協(xié)整關系。并求出國際原油價格與上證指數(shù)的尾部相關系數(shù)為0,即兩者同時上漲或同時上跌的概率為0,兩者存在著負向的相關關系。最后通過方差分解得到國際原油價格的變動對中國股市的影響要大于中國股市的變動對于國際原油價格的影響。
[Abstract]:The oil industry as one of the basic raw materials, the price change is directly related to the benefit of the enterprise; oil as an essential consumer goods of the people, the international crude oil price changes also affect people's consumption. Many scholars put oil called "blood", which illustrates the influence on oil a country's economy is more far-reaching. So it is necessary to investigate the international crude oil prices and the country's economy relationship systematically. At the same time, the stock market is a barometer of the national economy, can reflect a country's economic situation in advance, so will the international crude oil prices and the economy of the country what is the relationship between the equivalent into what is the relationship between international oil price and the stock market.
In late twentieth Century, occurred three times more severe oil crisis world. The three oil crisis has produced significant trauma on the economy of every country, of course, reflected in the stock market, the stock index has a great shock. Since then, scholars began to pay attention to the relationship between international oil price and a country the economy, and this made a lot of research. Of course, because of different scholars to study this question by theory is not the same, so the results are not consistent. The data of international crude oil prices and the stock market to belong to financial data and financial data, and has its own characteristics, so the overall for the research on the relationship between international oil price and a national stock market results with the perfect theoretical system of research on financial data and gradually improve.
This paper focuses on the relationship between international oil price and the stock market of China.Copula function does not rigidly adhere to the marginal distribution is in accordance with normal distribution of this hypothesis by using COPULA theory, so it is for the analysis of financial data is richly endowed by nature advantage. By data processing, the first two sets of data fitting their marginal distribution, and then the fitted with four kinds of Copula function, finally obtains the optimal Copula model. By the optimal Copula model results, calculate the tail correlation coefficient corresponding to it. In this paper, through the analysis of international crude oil prices and Chinese stock market have a long-term cointegration relationship. And calculate the tail correlation coefficient of international crude oil prices and the Shanghai index for 0, which both rise or fall at the same time, the probability is 0, there exists a negative correlation. The international crude oil prices through variance decomposition The impact of changes on China's stock market is greater than the impact of changes in the Chinese stock market on international crude oil prices.

【學位授予單位】：安徽大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F416.22;F832.51

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本文編號：1382157