本文選題：國(guó)際油價(jià)　切入點(diǎn)：股指收益　出處：《運(yùn)籌與管理》2015年04期

【摘要】：本文分別檢驗(yàn)了不同驅(qū)動(dòng)因素所致的油價(jià)波動(dòng)(結(jié)構(gòu)性油價(jià)波動(dòng))對(duì)我國(guó)股市收益波動(dòng)的非對(duì)稱性影響,并探尋了油價(jià)波動(dòng)對(duì)我國(guó)股市產(chǎn)生非對(duì)稱性影響的來(lái)源。首先利用SVAR模型將油價(jià)波動(dòng)分解為供給、需求和預(yù)防性購(gòu)買三種驅(qū)動(dòng)因素所致的油價(jià)波動(dòng),發(fā)現(xiàn)三種驅(qū)動(dòng)因素所致的油價(jià)波動(dòng)對(duì)我國(guó)股市收益的影響存在顯著差異;GARCH非對(duì)稱模型檢驗(yàn)及其信息影響曲線結(jié)果顯示供給和預(yù)防性購(gòu)買因素所致的油價(jià)波動(dòng)是對(duì)我國(guó)股市的產(chǎn)生非對(duì)稱性影響的主要原因。在應(yīng)對(duì)油價(jià)波動(dòng)策略時(shí),區(qū)分油價(jià)波動(dòng)背后的驅(qū)動(dòng)因素有助于政府機(jī)構(gòu)采取行之有效的宏觀調(diào)控。
[Abstract]:This paper examines the asymmetric effects of oil price fluctuations (structural oil price fluctuations) on the volatility of China's stock market returns due to different driving factors. The source of asymmetric influence of oil price fluctuation on China's stock market is explored. Firstly, the oil price fluctuation is decomposed into three kinds of driving factors, namely supply, demand and preventive purchase, by using SVAR model, and the oil price fluctuation is divided into three kinds of driving factors: supply, demand and preventive purchase. It is found that there are significant differences in the influence of oil price fluctuation caused by three kinds of driving factors on stock market returns in China. GARCH asymmetric model test and information impact curve test results show that the oil price fluctuation caused by supply and precautionary purchase factors is related to. The main reasons for the asymmetric influence of China's stock market. In dealing with the oil price fluctuation strategy, Distinguishing the drivers behind oil price fluctuations helps government agencies to take effective macro-control.
【作者單位】： 廣州工程技術(shù)職業(yè)學(xué)院外語(yǔ)與商貿(mào)系;常熟理工學(xué)院經(jīng)濟(jì)與管理系;
【基金】：國(guó)家自然科學(xué)基金資助項(xiàng)目(70673015) 廣州工程技術(shù)職業(yè)學(xué)院2013年院級(jí)項(xiàng)目(KY201301)
【分類號(hào)】：F764.1;F832.51

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本文編號(hào)：1652961