本文選題：原油價(jià)格 + 股票市場(chǎng)��； 參考：《財(cái)經(jīng)研究》2012年08期

【摘要】：文章針對(duì)A股市場(chǎng)上流傳甚廣的"中石油魔咒"現(xiàn)象,首次從基本面角度進(jìn)行了解釋,認(rèn)為造成這一現(xiàn)象的根本原因是國際原油價(jià)格對(duì)我國股票市場(chǎng)存在顯著的負(fù)向溢出效應(yīng),即當(dāng)國際原油價(jià)格上漲時(shí),對(duì)中石油個(gè)股產(chǎn)生利好,但對(duì)整體宏觀經(jīng)濟(jì)卻構(gòu)成利空,因而中石油股票價(jià)格上漲,整個(gè)股票市場(chǎng)卻會(huì)下跌。進(jìn)一步研究還發(fā)現(xiàn),這種負(fù)向溢出效應(yīng)具有非線性特征,表現(xiàn)為國際原油價(jià)格上漲對(duì)股票市場(chǎng)的打壓力度要大于其下跌對(duì)股票市場(chǎng)的提升力度。這提醒A股投資者相對(duì)于國際原油價(jià)格下跌,要更加關(guān)注國際原油價(jià)格上漲帶來的投資風(fēng)險(xiǎn)。
[Abstract]:In view of the phenomenon of "China Petroleum spell", which is widely spread in the A-share market, this paper, for the first time, explains from a fundamental point of view that the fundamental cause of this phenomenon is the significant negative spillover effect of the international crude oil price on China's stock market. That is, when the price of international crude oil rises, it is good for PetroChina stocks, but it is bad for the overall macro economy. Therefore, the price of CNPC shares will rise, but the whole stock market will fall. Furthermore, it is found that the negative spillover effect has nonlinear characteristics, which shows that the international crude oil price rise has more pressure on the stock market than the decline on the stock market. This reminds A-share investors to pay more attention to the investment risks caused by the rise in international crude oil prices relative to the decline in international crude oil prices.
【作者單位】： 復(fù)旦大學(xué)經(jīng)濟(jì)學(xué)院;上海浦東發(fā)展銀行;國金證券;
【基金】：國家自然科學(xué)基金資助項(xiàng)目(70671027) 教育部人文社會(huì)科學(xué)規(guī)劃項(xiàng)目(09YJC790044)
【分類號(hào)】：F426.22;F832.51;F224

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本文編號(hào)：1902301