基于极端分位回归模型的原油股市动态相依关系研究
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引用本文:朱慧明,樊梦婷,贾相华.基于极端分位回归模型的原油股市动态相依关系研究[J].经济数学,2017,(2):63-69
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作者单位
朱慧明,樊梦婷,贾相华 (湖南大学 工商管理学院长沙410082) 
中文摘要:针对国际原油价格对股市波动影响效果,提出极端分位回归的模型检验方法.利用金融时间序列数据,通过加入结构突变,构建分位回归模型分析股票收益问题,根据中国等原油进出口国家股市收益进行实证分析,研究变量之间的相依关系.研究结果表明动态尾部相依普遍存在于国家股市中,国际原油对国家股市的冲击存在明显的异质性,原油可以较好的对冲风险投资.随着石油价格的波动,国家股票收益会因此受到影响,不同国家股市在不同分位点随着石油价格变化的波动出现异质性.
中文关键词:金融工程  动态相依  数理统计  分位回归  收益波动
 
The Dynamic relationship of crude oil price in stock market return:Evidence from quantile regression
Abstract:This paper investigates the dynamic tail-dependence between crude oil price and stock markets returns in oil-exporting and oil-importing countries based on daily data which consist of oil prices and stock indices in major oil importing and exporting countries during the period from January 2000 to June 2016.Our findings have important implication for policymakers and financial speculators.We obtain a more detailed result of the dependence degree and structure and the results present an extreme and heterogeneous dependence.As the oil price fluctuations,the country’s stock returns will be affected,different countries stock market at different quantiles as volatility in heterogeneity of oil price changes.
keywords:financial engineering  dynamic dependency  mathematical statistics  quantile regression return volatility
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