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中国管理科学

中国管理科学 ›› 2010, Vol. 18 ›› Issue (6): 42-50.

• 论文 • 上一篇    下一篇

次贷危机前后国际原油市场与中美股票市场间的协动性研究

姬强, 范英   

  1. 中国科学院科技政策与管理科学研究所能源与环境政策研究中心, 北京 100190
  • 收稿日期:2010-05-31 修回日期:2010-10-21 出版日期:2010-12-30 发布日期:2010-12-30
  • 作者简介:姬强(1982- ),男(汉族),山东威海人,中国科学院科技政策与管理科学研究所博士研究生,研究方向:石油市场
  • 基金资助:

    国家自然科学基金资助项目(70825001)

Analysis of the Comovement Between International Crude Oil Market and China and U.S.Stock Market Before and After the U.S. Sub-prime Crisis

JI Qiang, FAN Ying   

  1. Center for Energy & Environment Policy Research, Institute of Policy and Management, Chinese Academy of Sciences, Beijing 100190, China
  • Received:2010-05-31 Revised:2010-10-21 Online:2010-12-30 Published:2010-12-30

PDF (PC)

1677

被引次数

60

摘要： 本文运用基于动态条件相关的多元GARCH(DCC—MVGARCH)模型,对美国次信贷危机发生前后国际原油市场和中、美股票市场间的协动性变化进行了研究。实证结果表明在次信贷危机发生后,国际原油市场与中、美股票市场间的协动性有了明显的增强,不同市场间的波动具有明显的传导作用。国际原油市场与美国股市的协动性相对于中国股市波动性更强,说明冲击在国际原油市场与美国股市间的传导更强烈,其协动性对冲击的反应更敏感。另外,运用偏最小二乘方法(PLS)对影响国际原油市场和中、美股票市场的诸多因素在次信贷危机爆发前后对协动性解释能力的变化进行了分析,结果发现次信贷危机对这些因素的解释能力有明显的影响。

关键词: 协动性, 动态条件相关, GARCH, PLS, 次贷危机

Abstract: The paper studies the changes of comovement between international crude oil market and China and U.S.stock market before and after the U.S.sub-prime crisis based on dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH).The empirical results demonstrate that the comovement increases after the sub-prime crisis while volatility between different markets has significant conduction.The comovement volatility between international oil market and U.S.stock market is stronger than China stock market,indicating the shock has more violent impact on international oil market and U.S.stock market and their response is more sensitive.In addition,we select some factors affecting international oil market and China and U.S.stock market to make further explanations on comovement and employ partial least squares (PLS) method to analyze the explanation power changes before and after U.S.sub-prime crisis.Results show that the sub-prime crisis significantly affected the explanations power of those factors.

Key words: comovement, dynamic conditional correlation, GARCH, PLS, sub-prime crisis

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