国际原油期货市场与中国股票市场联动关系探究

The Linkage Between Crude Oil Futures Market and Chinese Equity Market

就2007—2017年间中国股票市场与国际原油期货市场的联动关系进行研究。在研究过程中,选取了纽约商业交易所上市的西德克萨斯轻质原油期货(WTI)的价格作为原油期货市场价格水平的代表,同时选取沪深300股票指数的价格水平作为中国股市的代表变量,着重从收益率角度考察两市之间的相互关系。研究发现,就收益率而言,国际原油期货市场受到其自身滞后期信息的影响,而受到来自国内股票市场的影响较小;而我国股票市场较多地受到来自国际原油期货市场的影响,原油期货收益率变动是中国股票市场收益率变动的单向格兰杰因。而我国市场并未受自身滞后期的显著影响。

This article aims at examining the linkage between the Chinese equity market and the international crude oil futures market during the daily data of 2007-2017.In this paper,the price of West Texas Light Crude Oil Futures(WTI),which is listed on the New York Mercantile Exchange was selected as the representative of the crude oil futures market.Meanwhile,the price of the CSI 300 Stock Index was selected as the representative of the Chinese equity market,we focused on the relationship between the two financial markets from the perspective of return.The empirical results show that the international crude oil futures market is mainly influenced by its own lag information and it is less affected by the domestic equity market.As to out equity market,the equity market is much more affected by the international crude oil futures market.However,China’s market has not been significantly affected by its own lag information.