国际原油市场与中国股票市场的波动溢出效应——基于滚窗VAR模型的测度

The Fluctuation Spillover Effect Between the International Crude Oil Market and the Chinese Stock Market——Measurement Based on Rolling Window VAR Model

文章运用滚窗VAR模型测算了2011—2021年间布伦特原油指数与中国沪深300指数、11个一级行业指数之间的总波动溢出指数和净波动溢出指数,结合波动溢出指数的时变特征对国际原油市场与中国股票市场之间的波动溢出效应进行了研究。研究发现:整体来说两个市场间的波动溢出效应是比较小的。但是在市场危机时期,两个市场间的波动溢出效应会显著增强:国内市场危机时期,两个市场间的波动溢出效应具有方向性,主要是从国际原油市场向中国股票市场输出波动;国际市场危机时期,两个市场间的波动溢出效应不具有方向性。基于此,今后国内投资机构和投资者应增强资产组合的多元性;在国际市场危机时期,监管部门应重点关注国际原油市场对中国股票市场的输入型金融风险。

This paper uses the rolling window VAR model to estimate the total volatility spillover index and net volatility spillover index between Brent crude oil index,CSI 300 index and primary industry index during 2011-2021,and studies the volatility spillover effect between international crude oil market and Chinese stock market combined with the time-varying characteristics of volatility spillover index.In general,the spillover effect of volatility between the two markets is relatively small.However,in the period of market crisis,the spillover effect of volatility between markets will increase significantly.During the domestic market crisis,however,the volatility spillover effect between markets is directional,mainly from the international crude oil market to the Chinese stock market.In the period of international market crisis,the spillover effect of volatility between markets is not directional.Based on this,domestic institutions and investors should enhance the diversification of asset portfolios in the future;In the period of international market crisis,the regulatory authorities should pay special attention to the imported financial risks of the international crude oil market to the Chinese stock market.