原油期货与中国股市波动——基于非线性模型实证研究

Crude oil futures and Chinese stock market volatility:Empirical study based on nonlinear models

基于2018年3月至2022年7月的日数据,研究国内原油期货价格对沪深股市的影响作用。研究发现:原油期货价格及收益率对沪深股指及收益率均具有单向的引导作用,但其对深证成指的引导作用大于上证综指的引导作用;原油期货价格与沪深股指均存在长期相近的负向协整关系;原油期货价格收益率对沪深股指收益率的正负向影响均是非线性及非对称,但是对两市影响的机制是不同的,对沪市来说,原油期货价格收益率的负向冲击影响要大于正向冲击影响,而对深市来说,原油期货价格收益率的正向冲击影响要大于负向冲击影响。

Based on the daily data from March 2018 to July 2022,this paper studies the impact of domestic crude oil futures prices on the Shanghai and Shenzhen stock markets.The results show that crude oil futures prices and yields have a one-way guiding effect on the Shanghai and Shenzhen stock indexes and yields,but their guiding effect on the Shenzhen Composite Index is greater than that of the Shanghai Composite Index.There is a long-term similar negative cointegration relationship between crude oil futures prices and Shanghai and Shenzhen stock indexes.The positive and negative effects of crude oil futures price yields on the yield of Shanghai and Shenzhen stock indices are nonlinear and asymmetrical,but the mechanism of impact on the two markets is different,for the Shanghai market,the negative impact of crude oil futures price yields is greater than the positive impact,for the Shenzhen market,the positive impact of crude oil futures price yield is greater than the negative impact.