原油市场对股票市场的影响研究——基于投资者情绪视角
The impact of crude oil market on stock market:evidence from the investor sentiment perspective
赵鲁涛 1王诗桐 2邢悦悦3
作者信息
- 1. 北京理工大学 管理与经济学院 能源与环境政策研究中心, 北京 100081;北京科技大学 数理学院,北京 100083
- 2. 北京理工大学 管理与经济学院 能源与环境政策研究中心, 北京 100081;北京交通大学 经济管理学院, 北京 100044
- 3. 北京科技大学 数理学院,北京 100083
- 折叠
摘要
对原油和股票市场相互作用的分析,有利于评估能源成本变化对经济增长的影响.运用细粒度的方面级情感分析方法,量化国际原油市场在线投资者情绪,构建了原油压力指数(Crude Oil Pressure Index,OPI),从投资者行为因素角度剖析了原油价格变化对股票收益的传导效应.进一步采用滚动窗口分位数回归模型,刻画了原油压力指数对 8 个主要原油进口国的股票收益滞后、异质和时变影响.研究结果表明:股票收益对原油压力指数响应迅速而及时,滞后效应弱于同期效应;熊市市场状况对全部8 个国家股票收益的平均负向影响达到了-3.42%,但在牛市状况下较弱.此外,极端外部事件(2015 年石油危机、新冠疫情和俄乌战争)的冲击加剧了 2 个市场间的协同运动.本研究证明了OPI能提前预测股市变动,可作为研究油股市场联动关系的重要指标,并在危机时期过后,仍对股票市场有较强解释性.研究结论为稳定石油进口国的股票市场和宏观经济稳定发展提供了政策启示.
Abstract
The analysis of crude oil and stock market interactions is useful for assessing the impact of energy cost changes on economic growth.Using fine-grained aspect-level sentiment analysis to quantify online investor sentiment in the international crude oil market,the article constructs the Crude Oil Pressure Index(OPI,Crude Oil Pressure Index),which dissects the transmission effect of crude oil price changes on stock returns from the perspective of investor behavioral factors.Further,a rolling window quantile regression model is used to characterize the lagged,heterogeneous,and time-varying effects of the OPI on stock returns of eight major crude oil importing countries.The findings show that stock returns respond quickly and promptly to the crude oil stress index,the lagged effect is weaker than the contemporaneous effect,and the average negative impact on the stock returns of all eight countries reaches-3.42%under bear market conditions,but is weaker under bull market conditions.In addition,the synergistic movement between the two markets is exacerbated by shocks from extreme external events(the 2015 oil crisis,the New Crown Pneumonia epidemic,and the Russo-Ukrainian war).The article demonstrates that the OPI predicts stock market movements in advance,can be used as an important indicator to study the linkages between the oil and stock markets,and remains strongly explanatory for the stock market after the crisis period.The findings provide policy implications for stabilizing stock markets and macroeconomic stability in oil-importing countries.
关键词
原油市场/股票收益/分位数回归/时变影响/原油压力指数Key words
crude oil market/stock returns/quantile regression/crude oil pressure index/time-varying influence引用本文复制引用
基金项目
国家自然科学基金资助项目(71871020)
国家自然科学基金资助项目(72271028)
出版年
2024
NETL
NSTL
万方数据