Asymmetric Impact of Structural Oil Price fluctuations on China Stock market

doi:10.12005/orms.2015.0142

Operations Research and Management Science ›› 2015, Vol. 24 ›› Issue (4): 219-224.DOI: 10.12005/orms.2015.0142

• Application Research • Previous Articles Next Articles

Asymmetric Impact of Structural Oil Price fluctuations on China Stock market

LI Chun-hong¹, TANG Jie², WANG Dong-wu¹

1.International Business Department, Guangzhou Institute of Technology, Guangzhou 510075, China;
2.Department of Economic and Management, Changshu Institute of Technology. Changshu 215500, China

Received:2011-06-22 Online:2015-08-12

结构性油价波动对中国股市的非对称性影响分析

李春红¹, 汤杰², 王冬吾¹

1.广州工程技术职业学院外语与商贸系,广东广州 510075;
2.常熟理工学院经济与管理系,江苏常熟 215500

作者简介:李春红(1979-),女,讲师,博士,主要从事于风险管理理论与方法研究,投资理论与投资评价方法研究
基金资助:
国家自然科学基金资助项目(70673015);广州工程技术职业学院2013年院级项目(KY201301)

Abstract

Abstract: The paper investigates the effect of different driven factors of oil price fluctuations(structural oil price fluctuation)on China stock market and further studies the resource of asymmetric effect. Oil price fluctuation is decomposed into three parts by SVAR model, which include the supply factor, economic demand factor and oil-specific demand factor. The three kinds of oil price fluctuations have complex impacts on China stock market. Asymmetric GARCH model and its information curve indicate that the supply factor and oil-specific demand factor are the main resource of the asymmetric impact of oil price fluctuations on China stock market. So the research of oil price fluctuations on China stock market based on the decomposing of oil price driven factors can guide significances for the related government department to make appropriate discretionary choice.

Key words: international oil price, stock returns, asymmetry impact, GARCH models, news impact curve

摘要： 本文分别检验了不同驱动因素所致的油价波动(结构性油价波动)对我国股市收益波动的非对称性影响,并探寻了油价波动对我国股市产生非对称性影响的来源。首先利用SVAR模型将油价波动分解为供给、需求和预防性购买三种驱动因素所致的油价波动,发现三种驱动因素所致的油价波动对我国股市收益的影响存在显著差异;GARCH非对称模型检验及其信息影响曲线结果显示供给和预防性购买因素所致的油价波动是对我国股市的产生非对称性影响的主要原因。在应对油价波动策略时,区分油价波动背后的驱动因素有助于政府机构采取行之有效的宏观调控。

关键词: 国际油价, 股指收益, 非对称影响, GARCH模型, 信息影响曲线

CLC Number:

F206

LI Chun-hong, TANG Jie, WANG Dong-wu. Asymmetric Impact of Structural Oil Price fluctuations on China Stock market[J]. Operations Research and Management Science, 2015, 24(4): 219-224.

李春红, 汤杰, 王冬吾. 结构性油价波动对中国股市的非对称性影响分析[J]. 运筹与管理, 2015, 24(4): 219-224.

References

[1] Hamilton J D. Oil and the macroeconomy. The New Palgrave Dictionary of Economics, Palgrave Mac Millan ltd, in S Durlauf and L Blume, 2005.
[2] Balke N S, Brown S P A, Yucel M K. Oil price shocks and the U.S. economy: where does the asymmetry originate[J]. Energy, 2002, 23(3): 27-52.
[3] Peltzman S. Prices rise faster than they fall[J]. Political Economy, 2000, 108(3): 466-502.
[4] Peter F J. Oil price volatility and the macroeconomy[J]. Macroeconomics. 1996, 18(1): 1-26.
[5] Mork K A. Oil and the macroeconomy when prices go up and down: an extension of hamilton’s results[J]. Political Economy, 1989, 97(3): 740-744.
[6] Lee K, Ni S, Ratti R A. Oil shocks and the macroeconomy: the role of price variability[J]. Energy. 1995, 16(4): 39-56.
[7] Darrat, Gilley, Meyer. US oil consumption, oil prices, and the macroeconomy[J]. Empirical Economics, 1995, 21(3): 317-334.
[8] Sadorsky P. Oil price shocks and stock market activity[J]. Energy Eeonomies, 1999, 21(5): 449-469.
[9] Lardic S, Mignon V. Oil prices and economic activity: an asymmetric cointegration approach[J]. Energy Economics, 2008, 30(3): 847-855.
[10] Kim I M, Loungani P. The role of energy in real business cycle models[J]. Monetary Economics, 1992, 29(2): 173-189.
[11] Kilian L, Park C. The impact of oil price shocks on the U.S. stock market[J]. International Economic Review, 2009, 50(4): 1267-1287.
[12] Gogineni S. Oil and the stock market: an industry level analysis[J]. The Financial Review, 2010, 45(4): 995-1010.
[13] Chin-Hong P, Lay-Phin T, Isa M, Hassan A. The nexus between oil price and stock performance of power industry in malaysia[M]. The 11th International Business Research Conference, Sydney, Australia, 2-4, December, 2009. 1-18.
[14] 侯乃堃,齐中英.基于油价冲击分解的石油价格波动与经济增长的动态变化关系研究[J].中国软科学,2009,(8):132-143.
[15] Sims C A. Are forecasting models usable for policy analysis[J]. Federal Reserve Bank of Minneapolis Quarterly Review of Economics and Statistics, 1986, 10(1): 2-16.
[16] Bollerslev T. Generalized autoregressive conditional heteroskedasticity[J]. Econometrics, 1986, 31(3): 307-327.
[17] Zakoian threshold heteroskedastic models[J]. Economic Dynamics and Control, 1994, 18(5): 931-944.
[18] Glosten L, Jagannathan R. On the relation between the expected value and the volatility of the nominal excess return on stocks[J]. Finance, 1993, 48(5): 1779-1801.
[19] Park J, Ratti R A. Oil price shocks and stock markets in the U.S. and 13 european countries[J]. Energy Economics, 2008, 30(5): 2587-2608.

Asymmetric Impact of Structural Oil Price fluctuations on China Stock market

结构性油价波动对中国股市的非对称性影响分析

PDF

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 2

Recommended Articles

Metrics

[1]	WANG Chun-feng, ZHANG Chi, FANG Zhen-ming. A Study on the Relationship between the Chinese Stock Market Returns and Idiosyncratic Volatility [J]. Operations Research and Management Science, 2015, 24(5): 222-227.
[2]	WANG Su-sheng, LIU Yan. Abnormal Media Information May Have No Benefit for Stock Returns [J]. Operations Research and Management Science, 2011, 20(6): 157-164.