国际原油价格的波动对中国A股市场的影响——基于变系数分位数模型的实证研究

The Impact of Oil Price Fluctuations on Chinese A-share Markets——An Empirical Analysis Based on Varying Coefficient Quantile Model

从世界原油产量、全球实际经济活动和美国炼油商进口原油采购成本中分离出原油价格冲击,然后基于变系数分位数模型研究不同股票市场态势和原油价格冲击下原油价格的变化对中国A股市场的影响。实证结果表明,原油价格的变化对中国A股的影响与股票市场态势和原油价格冲击密切相关,极端市场行情下原油价格的变化对中国A股的影响强于一般行情,而且波动性较大、符号易变。在一般市场行情下,原油价格的变化对中国A股的影响为正,其与股票收益率分位点成反比例关系,与原油价格冲击分位点则呈现非对称U型关系。当原油市场处于极端牛市以及股票市场处于熊市时,原油价格的变化对中国A股的影响为正且较大;当股票市场处于极端牛市以及原油市场处于极端状态时,其影响为负且较大。研究结论对于投资者、风险管理者和政策制定者具有重要的借鉴意义。

This paper first obtains oil price shocks from disentangling the world crude oil production, global real economic activity and the U.S. refiner acquisition cost of imported crude oil. Based on the varying coefficient quantile model, this paper investigates how the effect of oil price changes on the China＇s A-share markets is linked to the quantiles of oil price shocks and stock returns. The results show that the effect of oil price changes on Chinese A-shares is closely associated with the quantiles of oil price shocks and stock returns, with the effect stronger under extreme circumstances than that under normal circumstances. In the former condition, the effect is volatile and the sign of the effect is erratic. In the latter condition, the effect is positive, negatively correlated with the quantiles of stock returns, and related to the quantiles of oil price shocks with an asymmetric U-shape. Under external circumstances, we find that the effect is strongly positive in the extreme high quantiles of oil price shocks and the low quantiles of stock returns, and the effect is strongly negative in the extreme high quantiles of stock returns and the extreme quantiles of oil price shocks. Our empirical results have im- portant implication for investors, risk managers and policy makers.