国际石油价格波动的股票市场溢出效应研究——来自28个国家和地区样本数据的经验分析

Spillover Effect of International Oil Price Shock on Stock Market——An Empirical Analysis of 28 Countries and Regions

通过对Brent原油FOB现货价格与世界上28个国家和地区自有统计数据以来至2009年7月21日的股价指数和收益率的日数据进行因果关系和时变效力检验,发现:国际油价对不同国家股票市场的溢出效应具有差异性;油价对股票价格和收益率的作用并不一定对称。整体来看,国际油价与股票收益率之间存在长期均衡关系,但作用效力较低;与股票价格指数除个别市场外不存在均衡关系。通过聚类分析发现:国际油价对于新兴市场的溢出效应可能更为明显;溢出效应的大小也许与一定时期内一国采取的宏观调控政策有一定关联。但并未有充分的证据证明国际油价对一国股票市场的溢出效应与其股票市场特征有必然联系。

Through the causality and vary - time effect test of Europe Brent Spot Price FOB of oil and stock index and yield of 28 countries and regions since the statistical data can be found to 2009 July 21, it finds in this paper that the spillover effect is not same in different market; it is not certainly symmetrical of oil price to stock price and yield. Generally speaking, there is long -term equilibrium between international oil price and stock yield, while the efficacy is small; meanwhile, the long -term equilibrium is not existed between the oil price and stock price expeet for individual market. Through cluster analysis, it finds that the spillover effect on the emerging market may more obvious than traditional one ; and the efficacy of spillover may have certain relation between the macro adjustment and control policy in a given period. However, the necessary connection of spillover effect and the charac- teristie of stock market can not be sufficiently proved.