国际油价波动对中国股市影响及分析

Impact of International Oil Price on China Stock Market

本文以1996年～2009年月度数据为研究样本,结合我国经济运行状况深入研究分析了国际油价波动对中国股市收益的长短期及动态影响。油价波动与我国沪深股市之间存在长期协整关系,随着经济运行状况的改变和时间的推移,油价波动对我国股市影响的动态关系亦随之变动,且油价波动对我国沪深股市的冲击作用主要集中在短期。在油价的行业板块效应研究中发现油价波动与水电、交通运输、公用、采掘、制造、工业、金属和造纸八大板块之间存在协整关系,长期均衡关系对水电、交通运输、采掘和制造板块具有反向调节作用。决策者可根据油价波动状况及相应的政策导向适时调整投资组合以规避油价波动所带来的风险。

The paper takes month data from 1996 to 2009 as the research sample to deeply investigate and analyze the long-term, short-term relationship and dynamic relationship between the international oil price and China stock market according to China economic situation. Empirical results show that although there exists a long term co-integration between oil price and China stock market, the impact of oil price on China stock market mainly concentrates on a short-term one. With economic situation changing and time passing, the correlation between oil price and China stock market changes in different periods. Meanwhile, oil prices have co-integration relation- ships with eight sectors which include transportation industry, paper-making industry and so on. The long-run e- quilibrium has reversal adjustment to hydra-water, transportation, mining and manufacturing sector. According to oil price fluctuations, policy makers and financial investors can avoid the financial risks in China stock market which are caused by fluctuations of oil price by adjusting portfolios timely.