石油价格与股票市场的溢出效应——基于中美数据的比较分析

本文以中美股票市场和国际原油市场的数据为样本,用VAR模型和二元GARCH模型研究了中美股市价格和国际石油价格的收益率及波动的溢出效应。研究结果表明,中国股市价格和国际石油价格之间,既不存在任何方向的收益率溢出效应,也不存在任何方向的波动溢出效应;而国际石油价格的变化率对于美国股市收益率确有负向先导作用,并且两者之间具有双向的波动溢出。

The Spillover between Stock Market and Intemational Oil Market:the Comparative Analysis on China and USA

Using data on the stock markets of China and USA and international oil market,this paper presents an empirical study of return and volatility spillover between international oil market and two stock markets by u- sing VAR and Multiple GARCH model.The evidence shows that there is no return or volatility spillover be- tween international oil market and Chinese stock market.In contrast,the paper finds strong evidence that rising oil price adversely affects USA stock market.Additionally,the results also indicat...