国际原油价格对我国新能源行业股票价格的波动溢出效应研究

在大气污染日益严峻的情况下，新能源行业受政府大力支持和投资者青睐。新能源与原油一定程度上互为替代品，理论上国际原油价格必然对我国新能源行业股票价格有显著的波动溢出效应，但有些学者却持反对态度，认为我国股票市场对外还没有完全开放，新能源行业发展又很不成熟，所以该溢出效应很难显著。文章运用VAR- Asymmetric- BEKK模型进行比较研究得出：在未去除我国整体股市行情因素时，国际原油价格波动对我国新能源行业股票价格波动溢出效应不显著；而在去除我国整体股行情因素时，国际原油价格波动对我国新能源行业股票价格波动溢出效应在1%显著性水平下显著。表明存在从国际原油价格向我国新能源行业股票价格的波动溢出效应，只是该溢出效应被我国股市总体行情掩盖了。

Research on the Volatility Spillover Effect of International Crude Oil Price to China's New Energy Industry Stock Price

Owing to the increasingly serious air pollution, the new energy industry gets strongly supports from governments and investors. To a certain extent, new energy and crude oil are substitutes. Theoretically, there is significant volatility spillover effect from international crude oil price to China's new energy industry stock price. But some scholars don't think so. Their reasons are China's not fully opened stock market and not developed new energy industry, so there is no significant volatility spillover effect. Through using the VAR-Asymmetric-BEKK model and comparative study method, we find that the volatility spillover effect of international crude oil price to China's new energy industry stock price is not significant without removing China's overall stock market factors. But when China's overall stock market factors are removed, the volatility spillover effect becomes significant. It is indicated that there is significant volatility spillover effect of international crude oil price to China's new energy industry stock price. However, the volatility spillover effect is masked by China's overall stock market factors.