国际石油价格对中美股指收益率的影响—分位数回归的应用

Effects of International Oil Price to Chinese and American Stock Index Returns: Application of Quantile Regression

10.6338/JDA.200902_4(1).0010

程婷婷(Ting-Ting Cheng)；王登凌(Deng-Ling Wang)；陈建宝(Jian-Bao Chen)

美国次级债危机 ； 分位数回归 ； 国际石油期货 ； 股指收益率 ； American house loan crises ； Quantile regression ； Oil futures return ； Stock index return

Journal of Data Analysis

4卷1期（2009 / 02 / 01）

163 - 177

簡體中文

美国次级债的爆发，不仅引起了全球性的金融危机，而且已部分对实体经济产生了严重的影响。本文主要研究次级债危机发生后至今，国际石油价格对中美股市的影响。研究思路是：首先利用Gallant、Rossi和Tachen等（1992）的方法并结合逐步回归方法对石油期货收益率以及中美股指收益率进行消除日历效应及时间趋势效应的调整；然后进行分位数回归分析。实证结果发现：石油期货收益率对美国股市各分位数处均不显著，而对中国沪市和深市在部分分位数处则显著。对此，本文分析和解释了其背后可能的原因。

American house loan crises emerged not only the whole world financial crisis but also have had grave influence on substantial economy partly. This paper mainly studies the effects of international oil price to Chinese and American stock markets since American house loan crises has taken place. The thread of this study is as follows: we first eliminate the impact of the calendar effect and the time trends on oil futures return and Chinese and American stock market returns using Gallant, Rossi and Tachen's method (1992) combining with stepwise regression method, and then do quantile regression analysis according to the adjusted data. The empirical results are summarized as follows: the effect of oil futures return to American stock market return is not significant at all quantiles, but the effects of oil futures to Shanghai and Shenzhen stock market returns are significant at some quantiles. According to this result, some analysis and explanations are presented in this paper.

1. Chen, N. F.,Roll, R.,Ross, S. A.(1986).Economic Forces and the Stock Market.Journal of Business,59,383-403.
2. Ferson, W. E.,Harvey, C. R.(1994).Sources of Risk and Expected Returns in Global Equity Markets.Journal of Banking and Finance,18,775-803.
3. Gallant, A. R.,Rossi, P. E.,Tauchen, G.(1992).Stock Price and Volume.Review of Financial Studies,5,199-242.
4. Hamao, Y.(1989).An Empirical Examination of the Arbitrage Pricing Theory: Using Japanese Data.Japan and the World Economy,1,45-61.
5. Huang, R. D.,Masulis, R. W.,Stoll, H. R.(1996).Energy Shocks and Financial Markets.Journal of Futures Markets,16,1-27.
6. Kaneko, T.,Lee, B. S.(1995).Relative Importance of Economic Factors in the US and Japanese Stock Markets.Journal of the Japanese and International Economics,9,290-307.
7. Koenker, R.,Bassett, G. W.(1979).Regression Quantiles.Econometrica,46,33-50.
8. Papapetrou, E.(2001).Oil Price Shocks, Stock Markets, Economic Activity and Employment in Greece.Energy Economics,23,511-532.
9. Sadorsky, P.(1999).Risk Factors in Stock Returns of Canadian Oil and Gas Companies.Energy Economics,23,17-28.
10. 金洪飞、金荦(2008)。石油价格与股票市场的溢出效应—基于中美数据的比较分析。金融研究，2，83-97。
11. 陈建宝、丁军军(2008)。分位数回归技术综述。统计与信息论坛，23(3)，89-96。