原油价格与世界股票市场之间的高阶矩相依性研究

Dependence of Higher Moments between Oil Price and International Stock Markets

作为全球主要能源和各类化学工业产品的原材料,原油在现代社会经济运行中扮演着重要角色。相较于煤炭、天然气等其他一次性能源,原油展现出更为明显的稀缺性和分布不均衡性,因此成为各国普遍重视的战略资源。同时,伴随着原油金融属性日趋强化,其在投资者资产组合的权重不断增加,对全球股票市场走势的影响愈发显著。运用协高阶矩风险传染检验框架,构建协偏度、协峰度和协波动等检验统计量,对16年来国际原油价格影响世界主要股票市场的渠道及特征进行全面深入的考察,发现在2000年后WTI原油价格与8种不同股票市场指数之间的相关性逐渐增强,但并没有出现非常强烈的正相关,且风险传染检验结果显示取得显著性检验值次数最多的是协峰度统计量CK31、协波动统计量CV22以及相关性传染统计量FR。实证结果表明,国际原油价格对世界股票市场的风险传染更多的不是发生在相关性层面,而是发生在收益率的波动、偏度和峰度等这些高阶矩层面;在国际原油价格对世界股票市场之间的诸多风险传染特征中,最应该引起重视的是市场极端波动之间的传染性;国际原油价格对发达国家(地区)股票市场和新兴股票市场都有着非常显著的影响,但新兴股票市场所受的影响更大。通过对国际原油价格与世界主要股票市场之间风险传染的特征、渠道和程度等方面的检验,不仅可以加深对能源类产品与股票市场关系的认识,而且可以将此作为大类资产配置的重要决策依据。同时,为国际原油价格对股票市场风险传染的测度和管理提供了具有可操作性的实证工具和更为全面系统的结论参考。另外,从实证研究结果看,全球应加强原油与股票市场间极端风险传染的监管,新兴股票市场需进一步完善运行机制和监管制度。

As the raw material of global major energy and various chemical industrial products, crude oil plays an important role in the modern social economic operation. Compared with other primary energy sources such as coal and natural gas, crude oil shows scarcity and uneven distribution more obviously. So crude oil becomes a kind of strategic resource that all countries attach great importance to. Meanwhile, with the enhancement of the financial properties of crude oil, the proportion of crude oil in the investors＇ portfolios is growing and its impact on the trend of global stock market is increasing significantly. This article uses co-higher-moments contagion risk testing framework and constructs test statistics such as co-skewness, co- kurtosis and co-volatility to study the channel and characteristics of contagion effect between international oil prices on stock mar- kets in recent 16 years. We find the correlation between WTI crude oil price and 8 kinds of stock market indices is increasing, however there is no strong positive correlation. What more, the result of contagion risk test shows that the co-kurtosis statistics （CK3,）, co-volatility （CV22） statistics and correlation statistics （FR） get significant values most. Based on the empirical results, Some conclusions derived include： ①contagion risk from international oil price to stock mar- kets is not occurred in correlation level but in the volatility, skewness and kurtosis level; ②the most important characteristics of contagion risk is inter-effect of extreme volatility of stock market in several contagion characteristics between international oil price and stock markets; ③international oil price has significant effect on both stock markets of developed countries and developing countries. By testing the characteristics, channels and extent of contagion between international oil price and the major stock markets in the world, we can not only deepen the understanding of the relationship between energy products and stock markets, but also re- gard it as important decision basis. Meanwhile, the methods and results in this paper provides some operable empirical tools and more comprehensive and systematic conclusions for measurement and management to contagion risk between international oil price and stock markets. In addition, from the perspective of the empirical research results, we suggest that the global regulars should strengthen the regulation of the extreme financial contagion risk between crude oil and stock markets. Meanwhile, it is urgent for emerging stock market to improve the operating mechanism and regulatory system.