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论文编号：	5353
作者编号：	2120112410
上传时间：	2013/6/6 19:30:32
中文题目：	国际原油期货价格波动与中国股票市场的联动性研究
英文题目：	Study on the Co-movement of International Crude Oil Futures Price Volatility and Chinese Stock Market
指导老师：	王永进
中文关键字：	国际原油期货价格波动;中国股票市场;价格传导机制;SAC行业分类指数
英文关键字：	fluctuations in international crude oil futures prices;the Chinese stock market;price transmission mechanism;SAC Industry Classification Index
中文摘要：	随着我国城市化及工业化进程的不断加快，我国能源消耗不断增加，然而我国能源结构中石油储量的比重相对较小，为了满足经济发展中高涨的能源需求，国家需要大量进口石油且进口量逐年猛增，因而我国的石油对外依存度逐步提高。国际原油期货价格波动不可避免地会对我国国民经济造成影响，股票市场作为国民经济的“晴雨表”应当能够准确地反映出一国经济的走向。基于此，研究国际原油期货价格波动与我国股票市场的联动性具有一定的现实意义。本文在总结国内外相关的研究成果的基础上，将国际原油期货价格波动与中国股票市场作为研究对象，围绕两者的联动性进行了理论分析和实证研究。从理论分析的角度，首先探讨了国际原油期货价格波动对我国股票市场造成影响的传导机制，整理出“国际原油期货价格—国际大宗商品价格—PPI、CPI—货币政策—我国股市”这一条基于实体经济的传导路径。其次，以SAC行业分类股为研究对象，探讨了国际原油价格波动对这些行业可能产生的影响。从实证分析的角度，对国际原油期货价格与上证综指之间的领先滞后关系、国际原油期货价格波动对我国股市影响的传导机制、国际原油期货价格波动对我国各行业板块股指收益率的影响分别进行了实证检验与结论分析。最后，在理论分析与实证研究的基础上，对全文进行了总结，并针对性的提出了我国应对国际油价冲击的政策建议。
英文摘要：	With the process of China's urbanization and industrialization is accelerating, China's energy consumption is increasing. However, the crude oil reserves occupy a relatively small proportion in China's energy structure. In order to meet the rising energy demand in the economic development, China needs to import large quantities of crude oil and imports sharply increase year by year. As a result, China’s dependence on foreign crude oil is gradually increasing. Fluctuations in international crude oil futures prices inevitably impact Chinese national economy. And the stock market as a "barometer" of the national economy should be able to accurately reflect the trend of a country's economy. Based on this point, the study of the linkage between fluctuations in international crude oil futures prices and Chinese stock market has a certain practical significance. In this paper, based on summarizing related research at home and abroad, take international crude oil futures price volatility and the stock market in China as the research objects, do the theoretical analysis and empirical research around the co-movement between the two objects. In the first place, from the point of view of the theoretical analysis, study the transmission mechanism that international crude oil futures price volatility impact the stock market in China. And then sort out a transmission mechanism based on the real economy. International crude oil futures prices impact international commodity prices and international commodity prices influence Chinese PPI and CPI index. Once Chinese PPI and CPI index fluctuate, the government will adjust the monetary policy and finally the new monetary policy will influence Chinese stock market. Secondly, take SAC Industry Classification Stocks as the research objects, study the possible impact of international crude oil price fluctuations on these industries. From the point of view of the empirical analysis, do the empirical inspection and conclusions analysis on lead-lag relationship between international crude oil futures prices and the Shanghai Composite Index, the transmission mechanism that international crude oil futures price volatility impact the stock market in China and the impact of international crude oil futures price volatility on the industry sector stock index yields. Finally, on the basis of theoretical analysis and empirical research, summary the full paper and put forward policy recommendations targeted at China's response to the international oil price shocks.
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