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

doi:10.16716/j.cnki.65-1030/f.2023.04.002

新疆财经 ›› 2023,Issue (4): 15-24.doi: 10.16716/j.cnki.65-1030/f.2023.04.002

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

刘剑锋

浙江财经大学，浙江杭州 310018

收稿日期:2023-01-10 出版日期:2023-08-25 发布日期:2023-09-07
作者简介:刘剑锋（1977—），男，经济学博士，浙江财经大学金融学院教授，研究方向为金融市场行为、金融时间序列。
基金资助:
浙江省自然科学基金项目“国际原油市场与中国股票市场相关性研究——基于异质性视角”(LY18G010013)

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

LIU Jianfeng

Zhejiang University of Finance and Economics, Hangzhou 310018, China

Received:2023-01-10 Online:2023-08-25 Published:2023-09-07

摘要/Abstract

摘要：

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。

关键词: 国际原油市场, 中国股票市场, 滚窗VAR, 波动溢出指数

Abstract:

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.

Key words: international crude oil market, China stock market, rolling windows VAR, volatility-spillover index

中图分类号:

F832.51

刘剑锋. 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[J]. 新疆财经, 2023, (4): 15-24.

LIU Jianfeng. The Fluctuation Spillover Effect Between the International Crude Oil Market and the Chinese Stock Market—Measurement Based on Rolling Window VAR Model[J]. Finance & Economics of Xinjiang, 2023, (4): 15-24.

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样本指数	均值	最大值	最小值	标准差	偏度	峰度	JB检验	ADF检验
沪深300指数	-5.263	-3.241	-6.667	0.532	0.397	0.298	367.9^***	-9.029^***
医疗保健指数	-5.118	-2.853	-9.186	0.594	-0.082	1.126	325.3^***	-4.776^**
房地产指数	-5.043	-2.958	-6.724	0.573	0.209	0.068	244.5^***	-6.899^***
工业指数	-5.178	-2.859	-7.279	0.572	0.462	0.563	175.5^***	-5.252^***
能源指数	-5.146	-2.929	-7.392	0.553	0.441	0.260	420.1^***	-5.912^***
可选消费指数	-5.185	-2.864	-8.174	0.562	0.386	0.642	615.2^***	-7.997^***
电信指数	-4.866	-2.693	-7.641	0.561	0.022	0.764	269.2^***	-5.291^***
公用事业指数	-5.332	-2.742	-9.825	0.602	0.389	1.522	385.5^***	-6.338^***
金融指数	-5.190	-3.008	-6.929	0.552	0.341	0.219	304.3^***	-7.562^***
信息技术指数	-4.932	-2.737	-6.629	0.550	0.288	0.238	329.2^***	-5.289^***
日常消费指数	-5.112	-2.931	-10.324	0.545	-0.085	3.003	189.1^***	-7.342^***
材料指数	-5.087	-2.827	-6.488	0.561	0.342	0.221	323.9^***	-8.228^***
布伦特原油指数	-4.711	-2.055	-6.522	0.559	0.329	0.509	229.5^***	-6.831^***

样本指数	总波动指数	溢入指数	溢出指数	净溢出指数
沪深300指数	99.749	1.667	1.415	-0.252
医疗保健指数	98.712	3.178	1.910	-1.268
房地产指数	100.006	1.258	1.264	0.006
工业指数	99.789	2.701	2.460	-0.241
能源指数	99.729	1.718	1.446	-0.272
可选消费指数	99.717	2.123	1.840	-0.283
电信指数	99.624	1.288	0.912	-0.376
公用事业指数	99.704	1.716	1.421	-0.295
金融指数	99.824	1.074	0.898	-0.176
信息技术指数	99.447	2.568	2.015	-0.553
日常消费指数	99.378	1.782	1.159	-0.623
材料指数	99.762	2.521	2.283	-0.238

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

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