国际原油价格与中国能源股票价格的同步性测度及分析

The Measurement and Analysis of Synchronicity Between International Crude Oil Price and China’s Energy Stock Price

随着全球金融市场的一体化,中国股市波动对国际原油价格的波动越来越为敏感.为了更好地研究能源股票价格和国际原油价格之间的联动性,文章以国际原油价格作为基准,选取1994-2017年间中国能源板块76支个股和NYMEX西德克萨斯轻质原油共288组月度数据,基于价格同步性视角构建了刻画国际原油价格与中国能源股票价格同步性的测度指标,并从地缘政治风险指数、地缘政治事件、国际原油持仓多空平衡以及中国国内宏观经济环境等方面探究该同步性指标的影响因素.实证研究结论表明:同步性指标在地缘政治事件期内波动增大,且有波动聚集特征;地缘政治风险整体上是影响同步性指标的格兰杰原因;地缘政治事件对国际原油价格与中国能源股票价格同步性产生正向影响,而中国国内宏观经济环境和国际原油持仓多空平衡对两者间同步性产生负向影响,并且原油持仓多空平衡比国内宏观经济环境的影响程度更大.文章的同步性指标构建方法和研究结论可以为捕捉市场联动程度、预测股票市场波动以及投资组合提供经验证据和决策支持.

With the integration of global financial markets,China’s stock market volatility is increasingly sensitive to fluctuations of the international crude oil prices.In order to better study the linkage between energy stock price and international crude oil price,this paper takes the crude oil price as the benchmark and selects the288 monthly data of 76 China’s energy stocks and NYMEX West Texas Light Crude Oil from 1994 to 2017.Based on the perspective of price synchronicity,we construct a measure indicator of the synchronicity between international crude oil prices and China’s energy stock prices,and analyze the influencing factors of this synchronicity indicator including geopolitical risk index,geopolitical events,net positions of international crude oil,domestic macroeconomic environment,and so on.The empirical study results show that,the volatility of synchronicity indicator increased during the geopolitical period,and there exists volatility aggregation characteristics.The geopolitical risk is the Granger causality that affects the synchronicity indicator,and the geopolitical event has a positive impact on the synchronicity.In addition,domestic macroeconomic environment and net positions of international crude oil have a negative impact on the synchronicity,and the latter has a greater impact.In this paper,the construction methods and research conclusions on the synchronicity indicators can provide empirical evidence and decision support for capturing the degree of market co-movement,predicting stock market volatility and portfolios.