本文關鍵詞： 原油價格 股市 影響 行業(yè) 時段　出處：《浙江理工大學》2013年碩士論文　論文類型：學位論文

【摘要】：20世紀以來的三次石油危機對全球的經濟產生了深遠的影響，股市作為實體經濟的晴雨表，如果是市場有效的，石油價格的波動對股市的沖擊應該要比實體經濟更快體現(xiàn)出來。本文基于中外學者的研究成果對原油價格波動對股市的影響的文獻進行綜述，通過VAR模型的方法，引入原油價格、匯率、利率、工業(yè)生產價格指數、消費者價格指數、股票收盤價格六個變量對我國滬深A股的股價從2001-2010年10年間的月度數據從總體、分行業(yè)、分時間段進行研究都得出不同的結論。原油價格對股票價格的總體影響在我國表現(xiàn)在原油價格上升初期對股市有一定的刺激作用，能使股票價格上漲，而當原油價格持續(xù)上漲后，對股市卻是反向的作用機制,然而這種反向的沖擊效果在我國并不明顯。原油價格的變化對采掘行業(yè)、房地產行業(yè)股票價格的影響在開始的時候是呈現(xiàn)越來越強的趨勢，大約都在一直持續(xù)到第3個月的時候達到最大的正向沖擊作用。原油價格的變化對電子行業(yè)、公用事業(yè)、機械設備行業(yè)、建筑行業(yè)股市指數的影響在開始的時候是呈現(xiàn)減弱的趨勢，減弱到0附近的時候會有一個或兩個的輕微反彈過程。原油價格的變化對交通運輸倉儲業(yè)股市指數的影響在初期減弱，，第三個月的時候很快達到負向的最大值。原油價格的變化對紡織服裝行業(yè)股市指數的影響沖擊不大，第三個月和第六個月的時候有一個正向的微弱沖擊過程。在我們對2001年至2010年十年的時間進行分段研究的時候發(fā)現(xiàn)，前5年時間中，原油價格的波動對股市的沖擊是有負向的效應的，隨后沖擊效果減弱，從方差分解也可以看出原油價格額的波動對股票價格的影響貢獻也只達到3.5%。后5年中，原油價格的波動對股市的沖擊效應在最初的時候是正向的沖擊作用，并且這種趨勢加強直到第十二個月達到最大值，隨后對股市的作用是負向的，在第三十個月的時候達到負向的最大值，從方差分解可以看出原油價格波動對股票價格影響的貢獻達到44%。所以原油價格的波動對股市的影響在2001—2005年間，是單一的負向作用，并且貢獻不大，而在2006—2010年間，原油價格的波動對股市的影響是先有一個正向的沖擊，然后會有一個負向的沖擊，原油價格波動對股市影響的貢獻達到44%，這表明原油還是我國能源市場很重要的資源，替代品市場很不發(fā)達。股市信息除了是市場的晴雨表，同時這些信息給投資者也是有一個參考意義，方便投資者在原油價格變動的時候對我國股市的沖擊作出一個判斷。
[Abstract]:Since 20th century, three oil crises have had a profound impact on the global economy, the stock market as a barometer of the real economy, if the market is effective. The impact of oil price fluctuations on the stock market should be faster than the real economy. This paper summarizes the literature on the impact of crude oil price fluctuations on the stock market based on the research results of Chinese and foreign scholars. Through the method of VAR model, introduce crude oil price, exchange rate, interest rate, industrial production price index, consumer price index. Stock closing price of six variables on China's Shanghai and Shenzhen A shares from 2001-2010 to 10 years of monthly data from the overall, sub-industry. The general effect of crude oil price on stock price in our country is that crude oil price has a certain stimulating effect on stock market at the beginning of the rise of crude oil price, which can make the stock price rise. But when the crude oil price continues to rise, it is the reverse mechanism to the stock market, but this reverse impact effect is not obvious in our country. The crude oil price changes to the extractive industry. The impact of stock prices in the real estate sector began with a growing trend, reaching the biggest positive impact until about the third month. The change in crude oil prices affected the electronics industry. The impact of the stock market indices in utilities, machinery and construction industries began with a weakening trend. There will be a slight rebound of one or two when it weakens to near zero. The impact of crude oil price changes on the transport and warehousing stock market index weakens in the early stages. The change in crude oil price had little impact on the textile and clothing industry stock market index. At the third and sixth months there was a positive weak shock process. In our study of the ten years from 2001 to 2010, we found that in the first five years. The fluctuation of crude oil price has a negative impact on the stock market, then the impact is weakened. It can also be seen from variance decomposition that the effect of the fluctuation of crude oil price on the stock price is only 3.50.In the following 5 years. The impact of crude oil price fluctuations on the stock market initially was a positive impact, and the trend strengthened until the twelfth month reached its maximum, and then the impact on the stock market is negative. Reached a negative maximum at the thirtieth month. From variance decomposition, we can see that the contribution of crude oil price fluctuation to stock price is 44%. Therefore, the impact of crude oil price fluctuation on stock market in 2001-2005 is a single negative effect. And contribution is small, and in 2006-2010, the impact of crude oil price volatility on the stock market is first a positive impact, then a negative impact. The contribution of crude oil price fluctuation to the stock market has reached 44%, which indicates that crude oil is also an important resource in China's energy market, and the substitute market is very underdeveloped. The stock market information is not only the barometer of the market. At the same time, this information is also a reference for investors, facilitating investors to make a judgment on the impact of the stock market when the crude oil price changes.
【學位授予單位】：浙江理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F416.22;F832.51

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