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石油作为世界上最重要的不可再生能源之一,其价格波动对世界经济以及股票市场造成不容忽视的影响。本文试图以深圳股票市场的深证综指和行业分类指数为研究对象,建立VAR模型,并利用方差分解来分析国际油价波动对各股票指数的动态影响。结果发现油价波动最初对股票指数的影响较小,可以忽略不计,但其影响在6个月及1年后显著增强,第二年时的影响与第一年基本持平。
As one of the most important non-renewable energies in the world, the fluctuation of the price of oil can not neglect the world economy and the stock market. This paper attempts to Shenzhen Stock Market, the Shenzhen Composite Index and the industry sub-index as the research object, the establishment of VAR model, and the use of variance decomposition to analyze the dynamic impact of international oil price volatility on the stock index. The result showed that the fluctuation of oil price initially had a negligible impact on the stock index. It was negligible, but its impact increased significantly after 6 months and one year, with the impact in the second year basically the same as that in the first year.