国际原油市场与股票市场的联动关系研究——基于分位数回归的经验证据

陈晓春; 黄 媛

国际原油市场与股票市场的联动关系研究——基于分位数回归的经验证据

引用本文：陈晓春，黄媛.国际原油市场与股票市场的联动关系研究——基于分位数回归的经验证据[J].财经理论与实践,2017,(5):53-58

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作者	单位
陈晓春，黄媛	（湖南大学工商管理学院，湖南长沙 410082）

中文摘要:构建分位数回归模型，依据澳大利亚、中国大陆、日本等八个亚太股票市场2000年1月4日至2017年4月7日数据，考量国际原油市场与股票市场的联动关系。结果显示：原油市场与亚太股票市场呈正向联动关系，在极端股市条件下两个市场的联动性更为明显。原油市场与股票市场的联动性在结构突变处发生阶段性变化，两个市场的波动具有明显的传导作用。鉴此，投资者需注重防范市场间的风险传染，政府部门宜加强金融监管，维护国家能源安全。

中文关键词:联动国际原油市场股票市场分位数回归 

The Co movement between International Crude Oil Market and Stock Market：Evidence from Quantile Regression

Abstract:This paper applied quantile regression approach to analyzing the co movement between international crude oil market and eight Asian pacific stock markets including Australia，China，Japan and so on during the period from January 4，2000 to April 7，2017.The results reveal that the co movement between crude oil market and stock markets is significantly positive，and this relationship enhanced especially in bearish and bullish markets with the lowest and highest expected returns.Additionally，the co movement also changes since the onset of structural breaks，while volatility between these two markets has significant conduction.Hence，investors need to pay more attention to prevent inter market risk contagion，the government should strengthen financial supervision，and maintain national energy security.

keywords:international crude oil market stock market quantile regression co movement

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