原油安全对亚洲金融安全的影响研究——基于原油价格与股票市场溢出效应

作者	郭佳璇
姓名汉语拼音	Guo Jia Xuan
学号	2021000002002
培养单位	兰州财经大学
电话	15827523011
电子邮件	763058090@qq.com
入学年份	2021-9
学位类别	学术硕士
培养级别	硕士研究生
学科门类	经济学
一级学科名称	理论经济学
学科方向	世界经济
学科代码	020105
第一导师姓名	张璐
第一导师姓名汉语拼音	Zhang Lu
第一导师单位	兰州财经大学
第一导师职称	教授
题名	原油安全对亚洲金融安全的影响研究——基于原油价格与股票市场溢出效应
英文题名	Study on the Impact of Crude Oil Security on Asian Financial Security: Based on the Spillover Effect of Crude Oil Price and Stock Market
关键词	原油安全金融安全溢出效应股票市场
外文关键词	Crude oil security ; Financial security ; Spillover effect ; Stock market
摘要	原油被称为工业“血液”，美国前国务卿基辛格曾说过“谁控制了原油，谁就控制了全世界”，我国是全球第一大原油进口国与第二大原油消费国，原油供应安全对我国发展意义非凡。而原油安全可以理解为原油的供应安全与价格稳定，其中供应安全又包括供应链安全、原油出口国供给量稳定等方面。2018 年上海原油期货上市，让原油与中国金融市场的联系日益紧密，股票市场是金融市场的重要组成部分，对外界变化最为敏感，也是衡量宏观经济发展的重要指标，因此，研究原油安全与股票市场的动态相关关系有重要的理论意义与现实意义。理论上，原油价格通过实体经济渠道与金融渠道传递至我国金融市场，同时能够对我国通货膨胀率、总产出、总需求、汇率、利率等重要宏观经济指标造成冲击，影响到我国金融市场与实体经济发展。本文运用广义溢出指数分析了中国大陆、中国香港、日本、韩国、印度、马来西亚、中国台湾股票市场与布伦特原油价格的相关关系，探究了不同市场间的信息传递效率。研究发现，原油市场与股票市场间的关系会随着国际经济、贸易条件的变化而变化，具有显著的时变特征。首先，国际原油价格对我国大陆股票市场存在强烈的溢出效应，中国大陆地区、印度、马来西亚股票市场对原油市场均表现出较弱的定向给予溢出效应与较强的定向接受溢出效应，印度股票市场对原油市场波动的反应较为强烈，尾部溢出效应显著，中国大陆、印度、马来西亚均为重要的石油进口、出口国家，都具有较弱的国际原油定价能力。其次，工业和基础商品行业受到原油市场的溢出效应较大，值得关注的是，中国大陆与印度市场接受了大量来自能源市场的溢出，这说明我国金融市场受到原油市场的影响大于亚洲其他经济体，抗风险能力较弱。通过对原油市场与金融市场溢出效应的研究，本文提出以下建议：第一，加强原油储备，提升原油进口来源稳定性，促进“一带一路”能源共同体建设，形成多元化的原油供给体系。第二，完善原油期货市场，推进人民币国际化进程，使用人民币进行国际贸易结算，增强国际原油定价能力。第三，企业应当加强风险管理能力，注重购买套期保值产品来分散风险，并制定合理的生产计划。第四，投资者要建立风险意识，避免“羊群效应”带来的损失，可以根据价格周期结合宏观层面来预测未来一段时间内的原油价格，从而制定相应的投资计划。
英文摘要	Crude oil is known as the industrial "blood", former US Secretary of State Henry Kissinger once said "who controls the crude oil, who controls the world", China is the world's largest crude oil importer and the second largest consumer of crude oil, the security of crude oil supply is of extraordinary significance to China's economic development. Crude oil security can be understood as the supply security and price stability of crude oil, including supply chain security, supply stability of crude oil exporting countries and so on. The listing of Shanghai crude oil futures in 2018 has made the connection between crude oil prices and China's financial market increasingly close. The stock market is an important part of the financial market, the most sensitive to external risk changes, and it is also an important indicator to measure macroeconomic development. It is of great theoretical and practical significance to study the dynamic correlation between crude oil price and stock market. In theory, the crude oil price is transmitted to China's financial market through real economic channels and financial channels, and can affect many indicators such as China's inflation rate, total output, total demand, exchange rate, interest rate, and carry out secondary spillovers between financial markets. This paper uses the generalized spillover index to analyze the correlation between the stock markets of China, Hong Kong China, Japan, South Korea, India, Malaysia and Taiwan China and the price of Brent crude oil, and explores the information transmission efficiency of different markets. The study finds that the relationship between the crude oil market and the stock market will change with the change of international economy and trade terms. It has significant time-varying characteristics. First of all, there is a strong spillover effect between international crude oil prices and China's stock market. The stock markets of China, India and Malaysia all show a weak directional spillover effect and a strong directional spillover effect on the crude oil market. The Indian stock market has a strong response to the fluctuations of the crude oil market, and the tail spillover effect is significant. China, India and Malaysia are all important oil importers and exporters, and all have the characteristics of low crude oil pricing power. Secondly, the industrial and basic commodity industries are subject to a large spillover effect from the crude oil market. It is noteworthy that the financial markets of China and India have received a large amount of spillover from the energy market, which indicates that China's financial market is more affected by the crude oil market than other economies in Asia. Through the research between the crude oil market and the financial market, this paper puts forward the following suggestions: First, strengthen crude oil reserves, improve the stability of crude oil import sources, promote the construction of the "Belt and Road" energy community, and promote a diversified crude oil supply system. Second, improve crude oil futures market, promote the internationalization of the RMB, use the RMB for international trade settlement, and enhance the international crude oil pricing capacity. Third, the enterprise should strengthen the risk management ability, pay attention to the purchase of hedging products to spread the risk, and set a reasonable production plan. Fourth, investors should establish risk awareness and avoid losses caused by the "herd effect". They can predict the crude oil price in the future period of time according to the price cycle combined with the macro level, so as to formulate corresponding investment plans.
学位类型	硕士
答辩日期	2024-05
学位授予地点	甘肃省兰州市
语种	中文
论文总页数	91
参考文献总数	73
馆藏号	0005536
保密级别	公开
中图分类号	F11-0/62
文献类型	学位论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/36583
专题	国际经济与贸易学院
推荐引用方式 GB/T 7714	郭佳璇. 原油安全对亚洲金融安全的影响研究——基于原油价格与股票市场溢出效应[D]. 甘肃省兰州市. 兰州财经大学,2024.

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