国际原油价格波动对股市影响的板块效应和规模效应研究

Study on the Block Effect and Scale Effect of International Oil Price Fluctuations in the Stock Market

股票市场中普遍存在着板块效应和公司规模效应。运用多因素模型进行实证分析,探讨国际原油价格波动对基于行业和公司规模的差异化收益率的影响,可以发现:国际原油价格对不同行业股票的差异化影响是明显的,对能源行业有显著的正向影响,对材料、运输、材料、公用事业等行业有显著的负向影响;对小规模公司股票收益率的影响大于对大规模公司股票收益率的影响。

The block effect and scale effect are widely existed in the stock market, and this paper aims to discuss the difference of income ratio based on industry and company size influenced by the oil price fluctuation. Using multi -factor model for empirical analysis, the results show that ： the influence of international crude oil price is significant different on different sectors in the stock, and on energy industry is significant positive, and on materials, transportation, materials, utilities and other industries are significant negative; and the influence on companies with small scale is greater than those with large scale.