油价与我国石油公司股价间的动态关系研究

The Dynamic Relationships between Oil Prices and Share Prices of Listed Oil Companies in China

基于2011—2015年的周时间序列数据构建VAR模型,运用协整检验、Granger因果检验、脉冲响应与方差分解方法对国际油价与我国上市石油企业股价间的长期动态关系进行了研究。研究结果是:(1)国际油价仅与22家上市石油企业中的2家企业存在长期均衡关系,且这2家企业均属中国石油系统,与其余石油企业则不存在长期均衡关系;(2)国际油价与中国石油股价呈现双向引导关系;(3)国际油价与中国石油股价呈现负向效应特征,国际油价变动对中国石油股价变动具有一定的影响力;(4)国际油价与大庆华科股价呈现正向效应特征,国际油价对大庆华科股价影响较小。总体而言,国际油价与我国石油公司间的价格传导关系并不通畅。究其原因,主要在于我国石油市场发展缓慢,市场化程度低,行业体制陈旧,企业技术落后、效率低下,使得石油产业本应具备的价格传导机制不能有效运行。我国石油行业与企业必须进行深刻的反思、不断的总结和改进,全方位提升自身实力,使油价与股价间的关系能够得到真实的反映。

This article is based on 2011- 2015 weeks of time series data to construct the VAR model,using cointegration analysis,Granger causality test,impulse response analysis and variance decomposition to study the long-term dynamic relationships between oil prices and listed oil companies shares in China. The results show that：（ 1）Only two of the companies which belong to China National Petroleum Corporation（ CNPC） have long- term equilibrium relationships with the oil prices,and this kind of relationship between the oil prices and other oil companies does not exist;（ 2） The international oil prices and CNPC share prices present bi- directional leading relationships;（ 3） The international oil prices and CNPC share prices have negative effect characteristics,and the international oil prices have a certain influence on CNPC share prices changes;（ 4） The international oil prices and Daqinghuake share prices have positive effects,and the international oil prices have little effect on Daqinghuake share prices. In general,the transmission from international oil prices to China＇s oil companies share prices is not smooth. The main reason is： China＇s oil market develops slowly; the petroleum industry has low degree of marketization; the oil companies in our country have old system,backward technology and low efficiency; these make the oil prices transmission mechanism not run effectively. Therefore,China＇s petroleum industry and related companies must carry out a profound self- examination,summary continuously and improve their abilities,and then the relationship between oil prices and share prices could be reflected directly.