国际石油价格对中国股票市场的风险溢出效应研究

I摘要国家的重要战略资源之一就是石油，而且石油的价格变动在某一方面会反映出每个国家的经济发展程度。现在的世界各国经济逐渐趋于全球化，进而只要石油价格有些波动都会影响到国际金融市场。我国在石油进口方面所占比例极大，所以无论是从资本市场建设，资产配置方面，亦或是从国家能源安全角度出发，对我国股市的溢出效应会受到原油期货价格变动的冲击进行研究，都是具有非常重要的现实意义的。本文立足中国 A 股市场，使用不同的静态和动态 Copula 函数考察 WTI 原油期货价格变化与上证指数之间的依赖关系。进一步衡量油价变化与中国股票回报之间的溢出效应并使用 CoVaR 方法量化溢出风险指标，最后根据风险度量结果提出政策性建议和投资策略。关键词：WTI 原油期货，股票市场，风险溢出效应，Copula 函数，CoVaRIAbstractOne of the important strategic resources of the country is oil, and the price changes of oil in a certain way will reflect the degree of economic development of each country. The economies of all countries in the world are gradually globalizing. As long as there are some fluctuations in oil prices, they will affect the international financial markets. China accounts for a large proportion of oil imports, so whether it is from the perspective of capital market construction, asset allocation, or from the perspective of national energy security, to study the spillover effect of China’s stock market will be impacted by changes in crude oil futures prices. Based on the Chinese A-share market, this article uses different static and dynamic Copula functions to examine the dependence between WTI crude oil futures price changes and the Shanghai Stock Index. Further measure the spillover effect between changes in oil prices and the return of Chinese stocks and use the CoVaR method to quantify spillover risk indicators, and finally put forward policy recommendations and investment strategies based on the risk measurement resu...