原油价格波动对中国股票市场的风险溢出效应研究

Study on Risk Spillover Effect of Crude Oil Price Fluctuation on Chinese Stock Market

针对原油价格波动对中国股票市场是否存在溢出效应问题,首先利用POT模型构建布伦特原油价格和上证指数的边缘分布,然后采用Copula方法分析其相依结构,得到最合适的Copula函数,最后采用Co VaR方法对溢出效应进行测度。度量同时期原油价格波动对美国股票市场的风险溢出值作为对比,结果表明原油价格波动对中国股票市场的风险溢出效应相较于美国市场而言比较有限,并分析可能是由于我国长期以来一直实行的成品油定价机制的原因。

In order to verify whether the oil price fluctuation has risk spillover effect on Chinese stock market, we have taken Brent oil price , China＇s Shanghai Composite Index and S＆P 500 as the research object, adopted POT （peak over threshold） model to fit the marginal distribution of Brent oil price and China＇s Shanghai Composite Index, constructed Copula method to capture the risk -dependent structure between them and employed CoVaR approach to measure the risk spillover value. Meanwhile, we also take the same type of step to measure the risk spillover value of Brent oil price on S＆P 500. According to these two risk Spillover values, and find that the risk spillover effect of crude oil price fluctuation on Chinese stock market is rather limited compared to the American market which may be due to the existence of refined oil pricing mechanism in China.