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中美股票市场与石油价格的溢出效应研究 被引量：3

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摘要 本文采用计量经济学方法实证研究国际石油市场与股票市场的相互作用,在确定变结构点的基础上,建立VAR和GARCH-BEKK模型验证石油市场和股票市场是否存在收益率和波动性的相互溢出。美国股市相对较成熟、监管相对完善,而中国股市作为有着二十年历史的新兴市场,正逐步走向成熟和完善。通过比较研究,希望发现石油价格变化对中美股市是否有不同影响。
作者 杨熹
机构地区 西南财经大学金融学院
出处 《时代金融》 2011年第7X期78-78,共1页 Times Finance
关键词 收益率 波动溢出 VAR GARCH-BEKK 变结构点
分类号 F832.51 [经济管理—金融学] F831.51 [经济管理—金融学] F416.22 [经济管理—产业经济] F224 [经济管理—国民经济]
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二级参考文献26

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共引文献150

同被引文献30

  • 1杨亚卉.国际石油价格变动对我国行业股票收益的影响[J]中国商贸,2012(28).
  • 2Pablo Moya-Martínez,Román Ferrer-Lape?a,Francisco Escribano-Sotos.Oil price risk in the Spanish stock market: An industry perspective[J]. Economic Modelling . 2014
  • 3Sunil Mohanty,Mohan Nandha,Essam Habis,Eid Juhabi.Oil price risk exposure: The case of the U.S. Travel and Leisure Industry[J]. Energy Economics . 2014
  • 4Bi-Juan Lee,Chin Wei Yang,Bwo-Nung Huang.Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries[J]. Energy Economics . 2012 (5)
  • 5Bert Scholtens,Cenk Yurtsever.Oil price shocks and European industries[J]. Energy Economics . 2011 (4)
  • 6Elyas Elyasiani,Iqbal Mansur,Babatunde Odusami.Oil price shocks and industry stock returns[J]. Energy Economics . 2011 (5)
  • 7Rong-Gang Cong,Yi-Ming Wei,Jian-Lin Jiao,Ying Fan.Relationships between oil price shocks and stock market: An empirical analysis from China[J]. Energy Policy . 2008 (9)
  • 8Mohan Nandha,Robert Faff.Does oil move equity prices? A global view[J]. Energy Economics . 2007 (3)
  • 9Cees Diks,Valentyn Panchenko.A new statistic and practical guidelines for nonparametric Granger causality testing[J]. Journal of Economic Dynamics and Control . 2006 (9)
  • 10M. Martin Boyer,Didier Filion.Common and fundamental factors in stock returns of Canadian oil and gas companies[J]. Energy Economics . 2005 (3)

引证文献3

二级引证文献11

时代金融
2011年 第7X期

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