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方胜,卢新生,刘笑.国际原油价格变化对中美能源股影响的断点研究[J].北京理工大学学报(社会科学版),2017,19(4):36~42 本文二维码信息
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国际原油价格变化对中美能源股影响的断点研究
Research on the Break in the Impact of oil Price Changes on the US and Chinese Energy Stocks
投稿时间:2016-09-26  
DOI:10.15918/j.jbitss1009-3370.2017.1922
中文关键词:  原油价格  股票市场  中美能源股  结构性断点
English Keywords:oil prices  stock markets  the US & Chinese energy stocks  structural breaks
基金项目:国家自然科学基金资助项目(71173088)
作者单位
方胜 同济大学 经济与管理学院, 上海 200092 
卢新生 同济大学 经济与管理学院, 上海 200092 
刘笑 同济大学 经济与管理学院, 上海 200092 
摘要点击次数: 127
全文下载次数: 170
中文摘要:
      为准确测度原油价格与中美能源股间的关系,基于残差平方和全局最小化的原理,分析原油价格对中美能源股影响的结构性变化。结果表明:中国能源股的两个断点与美国次贷危机爆发和欧债危机结束的时间相近,美国能源股的两个断点与原油价格暴涨和暴跌的时间相近。进一步研究发现,在美国次贷危机爆发之前,原油价格对中国能源股的影响不显著,在次贷危机之后,对中国能源股的影响为正,其中在金融危机期间达到最大。而在任一区间,原油价格对美国能源股有显著的正向影响,且在原油价格上涨阶段达到最大。
English Summary:
      To accurately gauge the relationship between crude oil prices and the US & Chinese Energy stocks,this paper,based on the theory globally minimizing the sum of squared residuals,investigates the structural break in the impact of oil price changes on the US and Chinese Energy stock returns. Our empirical results show that the timing of the two breaks in Chinese Energy stocks approximates to the beginning of the US sub-prime mortgage crisis and the ending of European debt crisis,respectively. The timing of the two breaks in the US Energy stocks is associated with the cycle of crude oil prices. We find that the influence of the change in crude oil prices on Chinese Energy stocks is insignificant before the sub-prime crisis,but it becomes significant and statistically positive after the crisis. The influence has reached its maximum during the global financial crisis. The impact of oil price changes on the US Energy stock is significantly positive at any segment and it reaches its maximum when oil prices are booming. In addition,the effect of oil price fluctuations on the US Energy stocks is greater than on Chinese Energy stocks.
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