基于非对称的石油价格与金砖国家股市的关联分析

Granger Causality Analysis of International Oil and Stock Market Based on Frequency

[目的/意义]石油在经济增长和社会发展过程中发挥着重要的作用,而股票市场作为宏观经济的"晴雨表",在经济预测和价值发现中发挥着重要作用。因此,运用计量经济学方法对金砖国家股票市场与国际石油价格之间的因果关系进行分析具有较高的研究价值和意义。[方法/过程]使用非对称格兰杰因果关系检验方法和2015年1月5日到2017年9月13日的日度频率数据来研究石油价格与金砖国家股市的关系。[结果 /结论]研究结果表明:在金砖国家中,巴西与中国的情况相同,其股市均不会与石油价格之间产生因果关系;而俄罗斯、印度、南非的情况类似,国际石油价格变化率可以为其股市收益率预测提供信息,而南非的股市收益率可以为国际石油价格变化率预测提供信息。总体来看,石油对一个国家的股市产生的影响比较大,而股市很难影响石油价格,这说明在当前及今后很长时间内,石油仍对经济发展有很大的影响。

[ Purpose/Significance] Petroleum play-s an important role in economic growth and social development. As a ＂barometer＂ of the macro economy, the stock market play-s an important role in econonfic forecasting and value discovery-. Therefore, the use of econometric methods to analyze the causal relationship between the BRICS stock market and interna- tional oil prices has a higher research value and significance. [ Method/process ] The paper uses the asymmetric Granger causality- test method and daily frequency data from 2015 -01 -05 to 2017 -09 - 13 to study the relationship between oil prices and the BRICS countries＇stock markets. [ Result/Conclusion] The results show that： In the BRICS countries, Bra- zil and China are in the same situation, neither stock market has a causal relationship with oil prices. Russia, India, and South Africa have similar situations. The rate of change of international oil prices can be their national stock market return. Rate forecasts provide information, while South African stock returns can provide information on the rate of change of inter- national oil prices. Overall, oil has a greater impact on the country＇s stock market, and the stock market can hardly affect the price of oil. This is basically in line with the actual situation at this stage. This shows that for a long time now and in the future, oil still has a great impact on the economy.