本文關(guān)鍵詞：基于COPULA函數(shù)的國(guó)際原油價(jià)格與中國(guó)股市相關(guān)性分析　出處：《安徽大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 國(guó)際原油 中國(guó)股市 Copula函數(shù)

【摘要】：石油作為工業(yè)的基礎(chǔ)原材料之一,其價(jià)格的變動(dòng)直接關(guān)系到企業(yè)的效益情況；石油作為人們的一種必需消費(fèi)品,國(guó)際原油價(jià)格的變動(dòng)同樣影響著人們的消費(fèi)傾向。眾多學(xué)者把石油形象地稱(chēng)之為“經(jīng)濟(jì)血液”,這足以說(shuō)明石油對(duì)于一個(gè)國(guó)家經(jīng)濟(jì)的影響較為深遠(yuǎn)。因此有必要對(duì)國(guó)際原油價(jià)格與國(guó)家的經(jīng)濟(jì)有何種關(guān)系進(jìn)行系統(tǒng)性的探討。同時(shí),股票市場(chǎng)是國(guó)家的經(jīng)濟(jì)的晴雨表,可以提前反映一國(guó)經(jīng)濟(jì)的狀況,所以可以將國(guó)際原油價(jià)格與國(guó)家的經(jīng)濟(jì)有何種關(guān)系這個(gè)問(wèn)題等價(jià)成國(guó)際原油價(jià)格與國(guó)家股票市場(chǎng)有何種關(guān)系。 20世紀(jì)的中后期,世界上發(fā)生了三次較為嚴(yán)重的石油危機(jī)。這三次石油危機(jī)的出現(xiàn)對(duì)各國(guó)經(jīng)濟(jì)產(chǎn)生了重大的創(chuàng)傷,當(dāng)然反映在股票市場(chǎng)上,股指出現(xiàn)較大的震蕩。自此之后,學(xué)者開(kāi)始陸續(xù)地重視國(guó)際原油價(jià)格與一個(gè)國(guó)家的經(jīng)濟(jì)的關(guān)系,并對(duì)此做出大量的研究。當(dāng)然,由于不同學(xué)者研究此方面問(wèn)題時(shí)所采用的方法或理論不盡相同,所以研究結(jié)果也不一致。國(guó)際原油價(jià)格與股票市場(chǎng)所涉及到的數(shù)據(jù)都屬于金融數(shù)據(jù),而金融數(shù)據(jù)又具有自已的特征,所以總體來(lái)說(shuō),關(guān)于國(guó)際原油價(jià)格與一個(gè)國(guó)家股市關(guān)系的研究結(jié)果隨著研究金融數(shù)據(jù)理論體系的完善而逐漸地完善。 本文主要利用COPULA理論對(duì)國(guó)際原油價(jià)格與中國(guó)股市關(guān)系進(jìn)行研究。Copula函數(shù)不拘泥于邊緣分布是否符合正態(tài)分布這個(gè)前提假設(shè)條件,因此它對(duì)于金融數(shù)據(jù)的分析具有得天獨(dú)厚的優(yōu)勢(shì)。通過(guò)對(duì)數(shù)據(jù)的處理,首先擬合出兩組數(shù)據(jù)各自的邊緣分布,然后用四種Copula函數(shù)對(duì)其進(jìn)行擬合,最終得出最優(yōu)的Copula模型。由最優(yōu)Copula模型的結(jié)果,求出它所對(duì)應(yīng)的尾部相關(guān)系數(shù)。本文通過(guò)分析得出國(guó)際原油價(jià)格與中國(guó)股市存在著長(zhǎng)期協(xié)整關(guān)系。并求出國(guó)際原油價(jià)格與上證指數(shù)的尾部相關(guān)系數(shù)為0,即兩者同時(shí)上漲或同時(shí)上跌的概率為0,兩者存在著負(fù)向的相關(guān)關(guān)系。最后通過(guò)方差分解得到國(guó)際原油價(jià)格的變動(dòng)對(duì)中國(guó)股市的影響要大于中國(guó)股市的變動(dòng)對(duì)于國(guó)際原油價(jià)格的影響。
[Abstract]:The oil industry as one of the basic raw materials, the price change is directly related to the benefit of the enterprise; oil as an essential consumer goods of the people, the international crude oil price changes also affect people's consumption. Many scholars put oil called "blood", which illustrates the influence on oil a country's economy is more far-reaching. So it is necessary to investigate the international crude oil prices and the country's economy relationship systematically. At the same time, the stock market is a barometer of the national economy, can reflect a country's economic situation in advance, so will the international crude oil prices and the economy of the country what is the relationship between the equivalent into what is the relationship between international oil price and the stock market.
In late twentieth Century, occurred three times more severe oil crisis world. The three oil crisis has produced significant trauma on the economy of every country, of course, reflected in the stock market, the stock index has a great shock. Since then, scholars began to pay attention to the relationship between international oil price and a country the economy, and this made a lot of research. Of course, because of different scholars to study this question by theory is not the same, so the results are not consistent. The data of international crude oil prices and the stock market to belong to financial data and financial data, and has its own characteristics, so the overall for the research on the relationship between international oil price and a national stock market results with the perfect theoretical system of research on financial data and gradually improve.
This paper focuses on the relationship between international oil price and the stock market of China.Copula function does not rigidly adhere to the marginal distribution is in accordance with normal distribution of this hypothesis by using COPULA theory, so it is for the analysis of financial data is richly endowed by nature advantage. By data processing, the first two sets of data fitting their marginal distribution, and then the fitted with four kinds of Copula function, finally obtains the optimal Copula model. By the optimal Copula model results, calculate the tail correlation coefficient corresponding to it. In this paper, through the analysis of international crude oil prices and Chinese stock market have a long-term cointegration relationship. And calculate the tail correlation coefficient of international crude oil prices and the Shanghai index for 0, which both rise or fall at the same time, the probability is 0, there exists a negative correlation. The international crude oil prices through variance decomposition The impact of changes on China's stock market is greater than the impact of changes in the Chinese stock market on international crude oil prices.

【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F416.22;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 韋艷華,張世英;金融市場(chǎng)的相關(guān)性分析——Copula-GARCH模型及其應(yīng)用[J];系統(tǒng)工程;2004年04期

2 郭國(guó)峰;鄭召鋒;;國(guó)際能源價(jià)格波動(dòng)對(duì)中國(guó)股市的影響——基于計(jì)量模型的實(shí)證檢驗(yàn)[J];中國(guó)工業(yè)經(jīng)濟(jì);2011年06期

3 陳達(dá)忠;原油價(jià)格對(duì)經(jīng)濟(jì)影響的非對(duì)稱(chēng)性——文獻(xiàn)綜述[J];國(guó)際石油經(jīng)濟(jì);2005年08期

4 劉瓊芳;張宗益;;基于Copula房地產(chǎn)與金融行業(yè)的股票相關(guān)性研究[J];管理工程學(xué)報(bào);2011年01期

5 齊中英;朱彬;鞠曉峰;;歐佩克行為對(duì)石油價(jià)格波動(dòng)的影響分析[J];哈爾濱工業(yè)大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2006年01期

6 何念如;朱閏龍;;世界原油價(jià)格上漲對(duì)中國(guó)經(jīng)濟(jì)的影響分析[J];世界經(jīng)濟(jì)研究;2006年02期

7 史丹;國(guó)際油價(jià)的形成機(jī)制及對(duì)我國(guó)經(jīng)濟(jì)發(fā)展的影響[J];經(jīng)濟(jì)研究;2000年12期

8 金洪飛;金犖;;石油價(jià)格與股票市場(chǎng)的溢出效應(yīng)——基于中美數(shù)據(jù)的比較分析[J];金融研究;2008年02期

9 韋艷華,張世英,孟利鋒;Copula理論在金融上的應(yīng)用[J];西北農(nóng)林科技大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2003年05期

10 劉亮亮;;國(guó)際石油市場(chǎng)與中國(guó)股市間的波動(dòng)率溢出分析[J];金融經(jīng)濟(jì);2012年18期

，

本文編號(hào)：1382157