石油价格波动对中国股市影响的实证分析——基于近似单整时间序列的Bonferroni检验

Empirical Analysis on the Relationship Between the Oil Price and Chinese Stock Market——Based on Bonferroni Test of Near Integrated Regressor

以国际原油价格与中国股市收益率日数据为样本,对中国股市的有效性进行了实证研究。通过等尾置信区间估计方法,证明国际原油价格时间序列数据为一近单整过程而非确定的单位根过程。在此基础上,使用近单整时间序列的Bonferroni检验,得出国际原油价格对中国股市的收益率不存在明显溢出效应的结论,并对造成这一现象的原因进行了分析。这一研究结论对未来我国原油定价机制改革以及制订股市投资策略都具有重要意义。

This paper tests the relationship between the stock market of China and oil price of WTI. The time series of oil price is proved to be near integrated by an equal-tailed confidence interval test of Stock（1991）, which means overrejection when standard cointegration method is employed. Instead, the bonferroni test is applied to the model in this paper, the evidence shows that there is no return between oil market and Chinese stock market, and a analysis is given on this phenomenon. The conclusion will be useful to the reform ofoil pricing mechanism and the strategy of stock market investment in China.