A股市场上的“中石油魔咒”现象及其解释
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财经研究 2012 年 第 38 卷第 08 期, 页码：110 - 122
摘要
参考文献
摘要
文章针对A股市场上流传甚广的"中石油魔咒"现象,首次从基本面角度进行了解释,认为造成这一现象的根本原因是国际原油价格对我国股票市场存在显著的负向溢出效应,即当国际原油价格上涨时,对中石油个股产生利好,但对整体宏观经济却构成利空,因而中石油股票价格上涨,整个股票市场却会下跌。进一步研究还发现,这种负向溢出效应具有非线性特征,表现为国际原油价格上涨对股票市场的打压力度要大于其下跌对股票市场的提升力度。这提醒A股投资者相对于国际原油价格下跌,要更加关注国际原油价格上涨带来的投资风险。
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[2]赵志君.股票价格对内在价值的偏离度分析[J].经济研究,2003,(10):66-74.
[3]Fayoumi N A.Oil prices and stock market returns in oil importing countries:The case ofTurkey,Tunisia and Jordan[J].European Journal of Economics,Finance and Adminis-trative Sciences,2009,16:84-98.
[4]Bernanke B S.Irreversibility,uncertainty and cyclical investment[J].Quarterly Journalof Economics,1983,98:85-106.
[5]Chen N,Roll R,Ross S A.Economic forces and the stock market[J].Journal of Busi-ness,1986,59:383-403.
[6]Engle R F.Dynamic conditional correlation:A simple class of multivariate GARCHmodels[J].Journal of Business and Economic Statistics,2002,20:339-350.
[7]Fried E R,Schultze C L,Perry G L,et al.Higher oil prices and the world economy[M].Washington,D C:The Brookings Institution,1975...
[8]Hamao Y.An empirical examination of the arbitrage pricing theory:Using Japanesedata[J].Japan and the World Economy,1988,1:45-61.
[9]Hamilton J D.Oil and the macroeconomy since world war II[J].Journal of PoliticalEconomy,1983,91:228-248.
[10]Huang R D,Masulis R W,Stoll H R.Energy shocks and financial markets[J].Journalof Futures Markets,1996,16:1-27.
[11]Jones C,Kaul G.Oil and the stock market[J].Journal of Finance,1996,51:463-491.
[12]Nieh C,Lee C.The dynamic relationship between stock prices and exchange rates forG-7countries[J].Quarterly Review of Economics and Finance,2001,41:477-490.
[13]Kaneko T,Lee B S.Relative importance of economic factors in the U.S.and Japanese stockmarkets[J].Journal of the Japanese and International Economics,1995,9:290-307.
[14]Soydemir G.International transmission mechanism of stock market movements:Evi-dence from emerging equity markets[J].Journal of Forecasting,2000,19:149-176.
引用本文
刘红忠, 何文忠, 李治平. A股市场上的“中石油魔咒”现象及其解释[J]. 财经研究, 2012, 38(8): 110–122.
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