国际原油市场与股票市场的风险溢出研究

Risk Spillovers between Crude Oil Market and Stock Markets

本文采用GARCH-时变Copula-CoVaR模型测度了中国内地、中国香港、美国、日本等14个全球主要经济体的股票市场和国际原油市场间的风险溢出效应。研究发现,所考察的股市和原油市场间存在双向风险溢出效应。总体来讲,2018年至今各经济体股市与原油市场的风险溢出水平明显攀升;分区域来看,美洲股市与原油市场间的风险溢出水平最高。本文的研究对国际投资者、风险管理者及监管机构都有重要的现实意义。

This paper uses the GARCH-Time-Varying Copula-CoVaR model to measure the risk spillover effects between the stock markets and the international crude oil market.The stock markets includes the Chinese mainland,Hong Kong,the United States,Japan and so on.We found that there is a two-way risk spillover effect between the stock market and the international crude oil market.In general,the level of risk spillovers in the stock markets and crude oil market has risen significantly since 2018;from a regional perspective,the level of risk spillovers between the American stock markets and crude oil market has been the highest.The research of this paper is of great practical significance to international investors,risk managers and regulators.