投资者关注度对国际原油价格波动的影响研究

张跃军, 李书慧

系统工程理论与实践 ›› 2020, Vol. 40 ›› Issue (10) : 2519-2529.

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系统工程理论与实践 ›› 2020, Vol. 40 ›› Issue (10) : 2519-2529. DOI: 10.12011/1000-6788-2019-1500-11
论文

投资者关注度对国际原油价格波动的影响研究

    张跃军1,2, 李书慧3
作者信息 +

The impact of investor attention on international crude oil price volatility

    ZHANG Yuejun1,2, LI Shuhui3
Author information +
文章历史 +

摘要

国际原油市场剧烈波动对大多数国家的经济持续发展产生了显著影响，但投资者的有限注意力增加了原油市场波动的不确定性，使得分析市场基本面因素不足以解释其复杂波动.鉴于此，本文构建投资者关注度指数，并基于BEKK-GARCH模型和2006年1月至2018年12月间的历史数据，探究投资者关注度对WTI和Brent原油现货与期货市场的波动溢出效应.结果发现：第一，在5%的显著性水平下，投资者关注度对国际原油市场收益率有单向波动溢出效应；第二，投资者关注度对国际原油市场波动的冲击在前3个月都维持在一个较高的水平，而10个月后投资者关注度的冲击将几乎被原油市场吸收；最后，投资者关注度对原油现货市场的冲击强度大于对期货市场的冲击强度.

Abstract

The sharp fluctuations in international crude oil market have had significant impact on the sustained economic development of most countries, but the limited investor attention has increased the uncertainty of crude oil market fluctuations, making the fundamental factors insufficient to explain its complex fluctuations. Therefore, this paper constructs the investor attention index, and based on the BEKK-GARCH model and historical data from January 2006 to December 2018, it explores the volatility spillover effect of investor attention on WTI and Brent crude oil spot and futures markets. The results show that: First, at the 5% significance level, investor attention has one-way volatility spillover effect on international crude oil returns. Second, the shocks from investor attention to international crude oil market will maintain in a high level in the first three months and will be absorbed after ten months. Finally, the shocks of investor attention on crude oil spots appear greater than that on crude oil futures.

关键词

国际原油 / 投资者关注度 / BEKK-GARCH 模型 / 波动溢出

Key words

crude oil / investor attention / BEKK-GARCH model / volatility spillover

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张跃军 , 李书慧. 投资者关注度对国际原油价格波动的影响研究. 系统工程理论与实践, 2020, 40(10): 2519-2529 https://doi.org/10.12011/1000-6788-2019-1500-11
ZHANG Yuejun , LI Shuhui. The impact of investor attention on international crude oil price volatility. Systems Engineering - Theory & Practice, 2020, 40(10): 2519-2529 https://doi.org/10.12011/1000-6788-2019-1500-11
中图分类号： F830.9    F031.4    F206   

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基金

国家自然科学基金（71774051）；国家万人计划青年拔尖人才（W02070325）；教育部长江学者奖励计划青年学者（Q2016154）；湖南省湖湘青年英才支持计划
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