经济管理学刊（中英文版）

国际原油期货价格对中澳股市综合指数和行业指数的波动溢出效应研究

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作者：Zhehao Zhu, Puzhen He

摘要：

As a type of non-renewable industrial resource, petroleum is of great strategic significance to the development of each nation. Ever since the 19^th century, an array of oil crises have incurred certain downturn of the world economy. Pertinent studies have implied that financial crisis is always prone to be accompanied with oil crisis, yet the relevance of crude oil to the stock market, the barometer of the macro-economy, is ambiguous. In order to avoid the risks induced by the volatility of oil price, the oil futures market has appeared, and at the same time,  the financial property of crude oil has become far more evident. Owing to lack of mature mining and refining technology, China still imports large amounts of oil from abroad at present. Thus, the economy of China is susceptible to fluctuation in petroleum price. As for Australia, the only net importer among the member countries of the International Energy Agency (IEA), it fails to attain the target of holding 90 days of fuel reserves set by the agency. However, in 2013, Australian Lincoln Energy announced that a gigantic shale oil field with an estimated value of 21 trillion US dollars was found in the South of Australia,  and that if that field is mined, Australia has the possibility to turn into a net exporter of crude oil. It can be expected that the Australia’s economic conditions would be closely related to the international oil to a certain extent. Based on the approaches of the first difference and co-integration, this paper delves into the volatility spillover effect of crude oil futures on the Chinese and Australian stock markets. According to the empirical findings, in the short run, the price of crude oil futures has a greater impact on the Australian composite index than on the Chinese composite index. However, crude oil futures are negatively related to the Chinese composite index in the long run. The price of crude oil futures has no significant impact on the Chinese sector indices, but it has a certain impact on the Australian utilities, energy, materials, and industrial sector indices. In the Chinese stock market, the movement of short-run effect to long-run effect of crude oil futures on sector indices is in the reverse direction. Finally, the price of crude oil futures has a significant volatility spillover effect only on the Australian utilities sector index. 

关键词：Crude Oil Futures, Composite Index, Sector Index, Volatility Spillover Effect, BEKK-GRACH Model

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