[1]刘剑锋.国际原油价格波动与中国股票市场的非对称影响研究——基于NARDL模型[J].金融教育研究,2023,(05):54-61.
　LIU Jianfeng.A Study on the Asymmetric Effects of International Crude Oil Price Fluctuation and Chinese Stock Market——Based on NARDL Model[J].,2023,(05):54-61.
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国际原油价格波动与中国股票市场的非对称影响研究——基于NARDL模型()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2023年05期
页码:
54-61
栏目:
经济观察
出版日期:
2023-09-25

文章信息/Info

Title:
A Study on the Asymmetric Effects of International Crude Oil Price Fluctuation and Chinese Stock Market——Based on NARDL Model
文章编号:
2095-0098(2023)05-0054-08
作者:
刘剑锋
(浙江财经大学 金融学院,浙江 杭州 310018)
Author(s):
LIU Jianfeng
(School of Finance,Zhejiang University of Finance and Economics,Hangzhou,Zhejiang 310018,China)
关键词:
国际原油价格波动;  非对称性影响;  NARDL;  股票市场
Keywords:
International crude oil price fluctuation;  Asymmetric impact;  NARDL;  Stock market
分类号:
F416.22; F830.91
文献标志码:
A
摘要:
将国际原油价格分解为国际原油价格上升和国际原油价格下降两个部分来考察国际原油价格对中国股票市场的影响,基于非对称性视角来构建NARDL模型。实证研究的结果显示,国际原油价格对中国股票市场的长期影响存在不对称性,国际原油价格下降的长期影响要比国际原油价格上升的影响更显著,影响的程度也更大。国际原油价格对中国股票市场的短期影响以对称性为主,只有房地产行业、金融行业和日常消费行业存在显著非对称。
Abstract:
The influence of international crude oil price on China's stock market is investigated by dividing the international crude oil price into two parts:the rise of international crude oil price and the fall of international crude oil price.Based on this asymmetry perspective,the NARDL model is constructed.The results of the empirical study show that the long-term impact of international crude oil prices on China's stock market is asymmetrical.The long-term impact of lower international oil prices is more significant and larger than the impact of higher international oil prices.The short-term impact of international crude oil prices on China's stock market is mainly symmetrical,and only real estate industry,financial industry and daily consumption industry have significant asymmetry.

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备注/Memo

备注/Memo:
收稿日期:2022-09-19
基金项目:浙江省自然科学基金“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”(Y18G010039)
作者简介:刘剑锋(1977—),浙江杭州人,博士研究生,教授,研究方向为金融市场、量化交易。
更新日期/Last Update: 2023-09-25