摘要
本文收集了亚洲金融危机、911事件、次贷危机、希腊债务危机等重大需求冲击事件,分析了这些冲击对Brent、WTI原油现货和期货,迪拜和阿曼现货等国际主要原油市场的短期影响。首先采用GARCH模型考察了需求冲击对市场波动率的短期影响,进一步选取异方差修正的事件分析法考察了这些事件对市场收益率的短期影响。实证结果表明:1)大部分事件会引致事件窗内的方差变大;2)4个重大需求冲击事件中,除亚洲金融危机外,其余3个事件对等权重投资组合均存在显著的负向影响;3)每个重大冲击发生期间,全球主要原油市场的累计超额收益率走势几乎一致;4)在地区市场层面,次贷危机和希腊债务危机对欧美原油市场影响较为显著,欧美市场信息反应速度要高于中东市场。基于这些实证发现,针对不同的石油市场参与者给出了相应的政策建议。
This paper collected some significant demand shock events including financial crisis in Asia, 911 event, subprime crisis and debt crisis in Greece. We analyzed the short run impact due to these events on the main international oil markets including Brent and WTI crude oil spot and future markets, Dubai and Aman spot markets. We firstly used GARCH model to study the short run impact on market volatilities and then adopted event study considering heteroskedasticity correction to examine the short run impact on market returns. The empirical results show that： 1. Most events lead to larger volatility in event window. 2. Except for financial crisis in Asia, the rest three events have a significantly negative impact on equal-weighted portfolio. 3. The trend of cumulative abnormal returns among the main global oil markets are almost identical during every event window. 4. For regional market, subprime crisis and debt crisis in Greece have a significant impact on European and American markets and information reaction speed for these markets is higher than Middle-east markets. Based on these empirical findings, this paper gives corresponding policy recommendations to different oil market participants.
出处
《上海经济研究》
CSSCI
北大核心
2012年第12期32-43,共12页
Shanghai Journal of Economics
基金
国家自然科学基金项目(70871023)
对外经济贸易大学教师学术创新团队资助项目(CXTD2-04)
对外经济贸易大学校级课题(X09003)
关键词
石油市场
重大需求冲击
事件分析法
异方差修正
oil market
significant demand shock
event study
heteroskedasticity correction
