GARCH-BEKK模型油价与股票市场联动性研究
时间:2019-12-07 10:58 来源:毕业论文 作者:毕业论文 点击:次
| 摘要通过大量的理论和实证研究，表明油价的变动会对宏观经济产生重要的影响。股票市场又是一国经济的晴雨表，这两个重要的经济变量之间是否存在某种程度的关联值得我们去深入研究。本文通过 日数据样本，运用GARCH-BEKK 模型对油价和中美两国股票市场的联动性进行研究。实证结果表明，油价与股价之间的联动性受到原油市场供求关系的影响。在需求主导石油价格变化时，二者大多数为正相关关系。反之，供给主导的油价变化则会引发股价相反方向的变动。不同时期的政治、经济、文化和军事等不同事件也会引起二者相关关系的变化。42406 毕业论文关键词 石油价格 股票价格 联动性 BEKK-GARCH Title Comovement between crude oil and stock marketsAbstractA lot of theoretical and empirical studies show that oil price changes can have an importantimpact on the macroeconomy. The stock market is a “barometer” of a country's economy. Inthis sense, it is important for us to investigate the relationships between oil and stock markets.This article applies the GARCH-BEKK model to oil and China’s and US’s stock price data overthe period from 1995 through 2015. The empirical results show that the correlation between oilprices and the stock price is affected by whether supply or demand dominates oil price changes.When demand drives oil price changes, oil and stock prices are always positively correlated.When supply is the major determinant of oil price changes, their correlations are negative mostof time. Some political, economic, cultural and military factors can also cause the change of thecorrelations over time. Keywords Oil price Stock price Correlation BEKK-GARCH 目次 1引言..1 1.1背景.1 1.2文献综述..2 1.3创新点3 1.4结构安排..3 2研究方法介绍.5 2.1时间序列平稳性检验..5 2.2模型介绍..5 3数据介绍8 3.1数据来源..8 3.2数据的处理.9 3.3描述性统计分析.9 4实证分析.15 4.1时间序列平稳性检验-ADF检验15 4.2全样本Bekk分析15 4.3子样本Bekk分析18 结论..25 致谢..26
参考文献.27 |