上海原油期货市场是否具有稳定中国股票市场的作用？

doi:10.16381/j.cnki.issn1003-207x.2021.0777

摘要/Abstract

摘要： 自2018年3月上海原油期货INE在上海国际能源交易中心上市以来，目前已成为规模仅次于WTI和Brent原油期货的第三大国际原油期货，随市场容量的持续增长，上海原油期货在准确地反映市场基本面变化的同时，具有更为灵敏价格发现和风险管理功能，如何判别中国原油期货是否有助于规避全球原油市场对中国股市的风险溢出已经是一个亟待解决的理论和现实问题。本文拟从动态条件风险溢出的角度探索上海原油期货对中国金融市场稳定的有效性。选取了2002至2020年约4000多个日度数据，分别对比了4种国际原油期货市场与2组股票综合指数的相关影响。基于DCC-MGARCH模型，本文依次研究了多元国际原油市场与股票市场的动态关联性、重大突发事件对二者相关性的影响以及采用CoVaR量化了风险溢出效应。本文研究发现国际原油价格对两组股票综合指数的异质性主要表现在两组股票是原油进口国和出口国；中国(美国)结构突变点时间点分别是5(3)个，这与突发性重大经济、政治等事件的时间点高度吻合；国际证据表明，INE对中美股票市场的CoVaR最小，且原油期货市场比现货市场CoVaR更低。本文揭示了一些新的证据，验证了中国原油期货市场启动有利于实现与国际风险脱钩,并建议风险监管部门改善系统性风险可以采取平滑对冲重大突发事件期间的风险溢出。

关键词: INE；DCC-MGARCH；B-P突变检验；条件风险价值

Abstract: Since Shanghai crude oil futures (INE) was listed in Shanghai International Energy Trading Center in March 2018, it has become the third largest international crude oil futures after WTI and Brent crude oil futures. With the continuous growth of market capacity, INE not only accurately reflect the fundamental changes of the market, but also have more sensitive price discovery and risk management functions. How to determine whether China’s crude oil futures can help avoid the risk spillover of the global crude oil market to China’s stock market has become an urgent theoretical and practical problem. The effectiveness of Shanghai crude oil futures on the stability of China’s financial market from the perspective of dynamic conditional risk spillover is explored. More than 4000 daily data from 2002 to 2020 are selected, and the correlation effects of four international crude oil futures markets and two groups of stock composite indexes are compared. DCC-MGARCH model, BP multiple structure mutation test and CoVaR conditional risk spillover effect are used to comprehensively verify the role of INE market.Based on DCC-MGARCH model, the dynamic correlation between multiple international crude oil markets and stock markets is verified. Based on the BP multiple structure mutation model, the influence of major emergencies on the correlation between the two is analyzed.Based on the CoVaR conditional risk spillover formula, the risk spillover effects of international crude oil markets in China and the United States stock markets are calculated, and the risk spillover effects of multiple international crude oil markets on China and the United States stock markets are compared, so as to determine whether the INE market has the role of stabilizing China ' s stock market. It is found that the heterogeneity of international crude oil prices on the composite index of the two groups of stocks is mainly manifested in the two groups of stocks are crude oil importers and exporters; The time points of structural mutation in China (USA) are 5 (3), which coincides with the time points of sudden major economic and political events. International evidence shows that INE has the smallest CoVaR in Sino-US stock market, and crude oil futures market is lower than spot market. Some new evidence is revealed that China’s crude oil futures market is conducive to decoupling from international risk, and it is suggested that risk regulators improve systemic risk by smooth hedging risk spillover during major emergencies.

Key words: INE; DCC-MGARCH; B-P mutation test; conditional value at risk

中图分类号:

寇红红, 柴建, 郑嘉俐, 孙少龙. 上海原油期货市场是否具有稳定中国股票市场的作用？[J]. 中国管理科学, 2022, 30(11): 20-30.

KOU Hong-hong, CHAI Jian. Does the Shanghai Crude Oil Futures Market Have a Role in Stabilizing China’s Stock Market?[J]. Chinese Journal of Management Science, 2022, 30(11): 20-30.

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