摘要
不同时间尺度下,供给和需求驱动型原油价格变动对股票市场的影响具有差异性,本文结合小波变化及向量自回归模型,从影响方向、影响强度及影响持续时间三个角度对这种差异性展开研究。首先,在多时间尺度下识别供给和需求驱动型原油价格变动;随后,就不同类型原油价格变动对全球综合股指的动态影响进行分析。结果发现:1)两类原油价格变动对股票市场在短、中及长期下均有显著影响,但需求驱动型原油价格变动在超短期(尺度1:2—4个月)和超长期(尺度6:64—128个月)下对股票市场没有显著影响;2)两类原油价格变动对股票市场的影响方向在短期和中期下具有随机性,在长期下具有正向影响;3)两类原油价格变动对股票市场的影响强度在短期和中期较在长期要高出至少60%;4)两类原油价格变动对股票市场的影响时间随着时间尺度的增长而增长,由短期下的20个月左右延长至长期下的60个月以上。
Previous studies prove that the oil price driven by different factors could exert diverse impacts on the stock market.Moreover,the oil price and stock indices as well as their interaction are characterized by the multiscale features since there are multiple stakeholders associating with different objectives rooting in various time horizons.However,existing studies consider the impacts of different oil prices on the stock market only in the holistic time horizon,which only could offer a limited picture concerning the interaction between the international oil market and the global stock market.Therefore,in this paper the impact of the oil price shocks driven by the oil supply and demand under various time horizons is explored.A combined research framework involving the wavelet transform and the Vector Auto-regress model is proposed.Brent oil price is chosen to represent changes of the international oil market since that 50% of the world oil trade is based it,when the Morgan Stanley Capital International world index is used to reflect the changes of the global stock market.The global oil production and the oil consumption of the OECD(Organization for Economic Co-operation and Development)countries are taken as proxies for the oil supply and demand.All data sets are sampled from February 1998 to December 2015 in monthly frequency.During the empirical processes,the Brent oil price and the world stock index are decomposed into 6 time scales,then the oil price changes driven by the oil supply and demand at each time scale are identified based on their dynamic correlation obtained through the wavelet coherence,and whether different oil prices could influence the global stock market or not and the features of the impact of oil prices in terms of the direction,amplitude,and duration are examined.The results show that both oil price changes driven by the supply and demand could exert significant influence on the stock market in short,medium and long time horizons,but the oil price driven by the demand could not cause the changes of the stock market in ultrashort and ultra-long time scales.Concerning the influence direction of the oil prices,the stock market responds to both types of oil price changes with random direction in short and medium terms,while the stock market has positive changes in the long term.When it comes to the duration of the impact of the oil prices,it is found that the lasting time become longer from 20 months in the short term to over 60 months in the long term with the increase of the time scales.In term of the amplitude of the influences of oil prices,the amplitudes in the short and medium terms are at least 60%stronger than that in the long term.According to above results,it is infered that the influences of the oil price changes transmit to the stock market with different channels.In the short term,the information spilling over between the oil market and the stock market relates two markets.In the medium term,the oil price changes could change the cost or benefit of the production entities and further change their performance in the stock market.In the long term,the oil price changes could redistribute the international wealth and lead more capital into the stock market,which may boom the stock market.Hence,it is necessary for the policy makers and investors to make specific decision refer to different time horizons and stock market shocks caused by different oil price types.In this paper,the multiscale features of the financial time series and the differences caused by different oil price shock types are considered simultaneously.The impacts of the oil price driven by the oil supply and demand are compared in 6 time scales.There are obvious differences and similarities across different time scales,which offer more detailed observation and forward one more step concerning the interaction between the oil market and the stock market.
作者
黄书培
安海忠
高湘昀
闻少博
HUANG Shu-pei;AN Hai-zhong;GAO Xiang-yun;WEN Shao-bo(School of Economics and Management, China University of Geosciences, Beijing 100083, China;Key Laboratory of Carrying Capacity Assessment for Resource and Environment, Ministry of Land and Resources, Beijing 100083, China)
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2018年第11期62-73,共12页
Chinese Journal of Management Science
基金
国家自然科学基金青年项目(41801106)
国家自然科学基金面上项目(41871202,71771022)
北京市自然科学基金青年基金项目(9174041)
教育部人文社科青年基金项目(18YJCZH058)
