美國、英國與中國的石油與金融市場間的建模與溢出效應的檢驗

Modelling and Testing Spillovers in Oil and Financial Markets in USA, UK and China

田佳容(Tian, Jia Rong)

指導教授 ： 馬可立

國立清華大學/科技管理學院/計量財務金融系/碩士(2016年)

摘要

本文的主要目的是分析國際原油及相關金融市場之間的條件相關性，條件協方差和共波動溢出效應。本文研究了石油和金融市場之間的共波動溢出（即一种實物或金融資產的回報波動對另一种實物或金融資產帶來的波動或共波動的延遲效應）。石油行業主要集中在四個地區，即北海，美國，中東和東南亞。與這些地區有關的是兩個主要的金融中心，即英國和美國。基於以上原因，本文所使用的數據是英國和美國原油市場的回報，原油衍生品特別是原油期貨的回報，和英國和美國的股票指數回報。本文還將分析中國金融市場，但中國的數據起始時間比較晚。實證分析將基於對角BEKK模型，求出條件協方差，並用于共波動溢出效應的檢測和政策建議。基於這些結果，本文將提出原油和相關金融市場的動態對沖策略。

關鍵字

共動性外溢 ； 原油 ； 金融市場 ； 現貨 ； 期貨 ； 對角BEKK ； 最優動態對沖

並列摘要

The main purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility in another physical or financial asset) between the oil and financial markets. The oil industry has four major regions, namely North Sea, USA, Middle East, and South-East Asia. Associated with these regions are two major financial centers, namely UK and USA. For these reasons, the data to be used are the returns on alternative crude oil markets, returns on crude oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese financial markets, where the data are more recent. The empirical analysis will be based on the diagonal BEKK model, from which the conditional covariances will be used for testing co-volatility spillovers, and policy recommendations. Based on these results, dynamic hedging strategies will be suggested to analyze market fluctuations in crude oil prices and associated financial markets.

並列關鍵字

Co-volatility spillovers ； crude oil ； financial markets ； spot ； futures ； diagonal BEKK ； optimal dynamic hedging

參考文獻

Aloui, C. and R. Jammazi (2009), The effects of crude oil shocks on stock market shifts behavior: A regime switching approach, Energy Economics, 31(5), 789-799.

Amemiya, T. (1985), Advanced Econometrics, Harvard University Press, Cambridge, MA, USA.

Arouri, M.E.H., J. Jouini and D.K. Nguyen (2012), On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness, Energy Economics, 34(2), 611-617.

Baillie, R. and R. Myers (1991), Bivariate GARCH estimation of the optimal commodity futures hedge, Journal of Applied Econometrics, 6, 109–124.

Bjørnland, H.C. (2009), Oil price shocks and stock market booms in an oil exporting country, Scottish Journal of Political Economy, 56(2), 232-254.