發(fā)布時(shí)間：2018-01-05 04:01

  本文關(guān)鍵詞：原油價(jià)格波動(dòng)對(duì)股票市場(chǎng)多時(shí)間尺度影響研究　出處：《中國(guó)地質(zhì)大學(xué)(北京)》2017年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 原油價(jià)格 股票市場(chǎng) 多時(shí)間尺度 動(dòng)態(tài)影響 傳導(dǎo)

【摘要】：原油作為現(xiàn)代工業(yè)的基礎(chǔ)原料與重要能源來(lái)源,其價(jià)格波動(dòng)對(duì)股票市場(chǎng)存在顯著性影響。本研究采取多領(lǐng)域方法交叉融合的時(shí)間序列分析框架,從多時(shí)間尺度的視角出發(fā),以供給驅(qū)動(dòng)型和需求驅(qū)動(dòng)型原油識(shí)別為切入點(diǎn),對(duì)原油價(jià)格波動(dòng)對(duì)股票市場(chǎng)的影響及在股票市場(chǎng)中的傳導(dǎo)進(jìn)行研究。主要研究工作和創(chuàng)新貢獻(xiàn)體現(xiàn)在以下幾個(gè)方面:(1)將原油價(jià)格波動(dòng)影響因素分析與多時(shí)間尺度分析理念融合,建立基于供給和需求影響因素的多時(shí)間尺度原油價(jià)格波動(dòng)類型識(shí)別模型,突破傳統(tǒng)原油價(jià)格波動(dòng)與股票市場(chǎng)動(dòng)態(tài)關(guān)系研究視角。首先在原始域下,識(shí)別原油價(jià)格波動(dòng)主要影響因素為原油供給和需求。在多時(shí)間尺度下,通過(guò)多時(shí)間尺度分解及動(dòng)態(tài)相關(guān)關(guān)系分析結(jié)合,將原油價(jià)格在多時(shí)間尺度下區(qū)分為供給和需求驅(qū)動(dòng)型原油價(jià)格波動(dòng),結(jié)果顯示基于不同的影響因素驅(qū)動(dòng)型原油價(jià)格波動(dòng)表現(xiàn)出不同的波動(dòng)特征,為進(jìn)一步分析原油價(jià)格波動(dòng)對(duì)股票市場(chǎng)的影響提供了更為細(xì)致的觀察角度并奠定了數(shù)據(jù)基礎(chǔ)。(2)融合小波變換及向量自回歸模型構(gòu)建多時(shí)間尺度下變量間動(dòng)態(tài)影響分析模型,分析供給和需求驅(qū)動(dòng)型原油價(jià)格波動(dòng)對(duì)股票市場(chǎng)的綜合股指與行業(yè)股指的影響。在短時(shí)間周期下,供給和驅(qū)動(dòng)型原油價(jià)格波動(dòng)對(duì)全球綜合股指與行業(yè)股指的影響方向均呈現(xiàn)隨機(jī)性;在較長(zhǎng)的時(shí)間周期下,在初始方向上均呈現(xiàn)為正,這表明供給和需求驅(qū)動(dòng)型原油價(jià)格波動(dòng)帶來(lái)國(guó)際間財(cái)富轉(zhuǎn)移使得原油進(jìn)口國(guó)擁有更多的財(cái)富并投向國(guó)際金融市場(chǎng),全球股票市場(chǎng)在這種情況下呈現(xiàn)出上升態(tài)勢(shì);供給驅(qū)動(dòng)型原油價(jià)格波動(dòng)對(duì)大部分行業(yè)股指的影響呈現(xiàn)負(fù)向影響,是通過(guò)提高生產(chǎn)成本等對(duì)行業(yè)股指產(chǎn)生負(fù)向影響,而需求驅(qū)動(dòng)型原油價(jià)格對(duì)部分行業(yè)呈現(xiàn)正向影響對(duì)部分行業(yè)呈現(xiàn)負(fù)向影響,這主要取決于原油價(jià)格上漲帶來(lái)的負(fù)向影響是否能夠抵消行業(yè)自身的上升趨勢(shì)。(3)融合小波相干、互相關(guān)函數(shù)及網(wǎng)絡(luò)分析方法,構(gòu)建多時(shí)間尺度下原油價(jià)格波動(dòng)在行業(yè)股指間的傳導(dǎo)網(wǎng)絡(luò)模型,通過(guò)網(wǎng)絡(luò)分析挖掘原油價(jià)格波動(dòng)在股票市場(chǎng)中傳導(dǎo)特征。首先,隨著時(shí)間尺度的增加,原油價(jià)格波動(dòng)在行業(yè)股指間傳導(dǎo)時(shí)的領(lǐng)先滯后時(shí)間長(zhǎng)度逐漸增長(zhǎng)。交通、公用以及可選消費(fèi)行業(yè)具有較高的概率滯后于其他行業(yè)股指發(fā)生波動(dòng)。材料以及電信行業(yè)具有較高概率領(lǐng)先于其他行業(yè)股指在原油價(jià)格波動(dòng)影響下發(fā)生波動(dòng)。此外,根據(jù)不同時(shí)間尺度下領(lǐng)先滯后時(shí)間長(zhǎng)度及傳導(dǎo)路徑的變化,本文推測(cè),在短時(shí)間周期下,股票市場(chǎng)的復(fù)雜波動(dòng)是由于在受到原油價(jià)格波動(dòng)影響后,各行業(yè)股指同時(shí)發(fā)生波動(dòng)而造成的;而在較長(zhǎng)的時(shí)間周期下,因?yàn)閭鲗?dǎo)時(shí)間差異造成股票市場(chǎng)的波動(dòng)是來(lái)自于不同時(shí)間點(diǎn)上的原油價(jià)格波動(dòng)沖擊的疊加。因此,在短時(shí)間周期和長(zhǎng)時(shí)間周期下,股票市場(chǎng)波動(dòng)復(fù)雜性的引起原因不同。
[Abstract]:Crude oil as the basic raw material of modern industry and an important source of energy, its price fluctuations have a significant impact on the stock market. This research adopts time series cross fusion method of multi domain analysis framework, starting from the multi time scale perspective, driven and demand driven type crude oil identification as a starting point to study the impact of supply. The crude oil price fluctuations on the stock market and the conduction in the stock market. The main research work and contributions are reflected in the following aspects: (1) the factor analysis and multiple time scale impact of oil price fluctuation analysis of the concept of integration, the establishment of the impact of supply and demand of multiple time scale factors of crude oil price fluctuation type recognition model based on breakthrough the traditional crude oil price volatility and the stock market perspective. First, in the original domain, the main influence factors identification of fluctuations in crude oil prices for crude oil supply And demand. In the multi time scale, the multi time scale decomposition and dynamic correlation analysis, the price of crude oil in the multi time scale between supply and demand driven fluctuations in crude oil prices, the impact of different factors on the driven oil price fluctuations show different wave characteristics showed that for the further analysis of influence of crude oil the price fluctuation of the stock market to provide a more detailed view and the data base. (2) analysis model based on wavelet transform and vector autoregressive model to construct the multi time scale under dynamic impact effect between variables, analysis of supply and demand driven oil price fluctuations on the stock market composite index and industry index. In a short period of time, the direction of supply driven and oil price fluctuations impact on the comprehensive index and industry global stock index showed a random; in a long time Between the cycle, in the initial direction showed positive, indicating that the supply and demand driven oil price fluctuations of international wealth transfer makes the oil importing countries have more wealth and invest in international financial markets, the global stock market in this case showed a rising trend; the supply driven effect of crude oil price fluctuations on most the industry index showed the negative influence, is a negative impact by increasing the cost of production of the industry index, while the demand driven price of crude oil has a positive impact on the part of the industry has a negative effect on the part of the industry, which mainly depends on crude oil prices brought about the negative influence of the industry itself is able to offset the upward trend (. 3) fusion wavelet coherence, cross-correlation function and network analysis method, constructing multi time scale fluctuations in crude oil prices in the transmission network model of industrial stock price indices, by Network analysis and mining of crude oil price fluctuations in the stock market conduction characteristics. First, with the increasing time scale, crude oil price fluctuations in the stock index of the leading industry conduction time lag length increasing. The traffic, public consumption and optional lag probability industries with high fluctuations in other industries after the stock index and the telecommunications industry has high material. The probability ahead of other industry index fluctuations in the impact of oil price fluctuation. In addition, according to the change of different time scales lead lag time length and transmission path in this paper that in a short period of time, complex fluctuations in the stock market is due to the impact of fluctuations in crude oil prices, the industry index fluctuation occurred at the same time; while in the longer period of time, because the transmission time difference caused by the fluctuation of the stock market is from a different point in time In the short time period and the long period, the volatility of the stock market is caused by the superposition of the fluctuation of the price of crude oil.

【學(xué)位授予單位】：中國(guó)地質(zhì)大學(xué)(北京)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2017
【分類號(hào)】：F416.22;F764.1;F831.51

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