基于DC-MSV模型的国内外油运股股价波动规律比较
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F551;F831.5

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“新常态时期运力过剩背景下中国海运业供给侧创新驱动模式研究”(17BGL015)


Comparison of Price Fluctuation Among Domestic and Oversea Oil Shipping Stocks Based on DC-MSV Model
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    摘要:

    为研究国内外油运股股价的波动规律,采用动态相关系数多元随机波动(DCMSV)模型研究动态相关性和风险溢出效应.实证分析发现,国内外油运股股价与运价、股票指数均存在较高的正相关关系;运价和股票指数对A股油运股股价的影响力相当,而美股主要受运价的影响;股票指数对A股油运股的价格影响力出现下降的迹象;股票指数在大幅波动期间,对股价的影响力显著提升.投资A股油运股需要同时关注运价和上证指数,而投资美股应该主要关注运价.

    Abstract:

    Dynamic correlation multivariate stochastic volatility(DC-MSV) model was adopted to study the dynamic correlation and risk spillover effects among domestic and oversea oil shipping stock prices, freight rate and stock price index. The empirical analysis shows that there are high positive correlations between oil shipping stock price and freight rate, as well as stock price index, both in domestic and oversea markets. The freight rate and the stock price index have the equal influence on the domestic oil shipping stock price, while the US counterparties are mainly affected by the freight rate. However, the index’s impact on the price of domestic oil shipping stocks has declined since 2013. The index’s impact increases significantly while the stock index fluctuates dramatically. Both the freight rate and the Shanghai Composite Index should be tracked when investing in domestic shipping stocks, while only freight rate needs to focus when investing in US counterparties.

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刘文白,余逸平.基于DC-MSV模型的国内外油运股股价波动规律比较[J].同济大学学报(自然科学版),2019,47(10):1528~

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  • 收稿日期:2019-01-17
  • 最后修改日期:2019-07-22
  • 录用日期:2019-06-26
  • 在线发布日期: 2019-10-17
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