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本文采用计量经济学方法实证研究国际石油市场与股票市场的相互作用,在确定变结构点的基础上,建立VAR和GARCH-BEKK模型验证石油市场和股票市场是否存在收益率和波动性的相互溢出。美国股市相对较成熟、监管相对完善,而中国股市作为有着二十年历史的新兴市场,正逐步走向成熟和完善。通过比较研究,希望发现石油价格变化对中美股市是否有不同影响。
In this paper, we use the econometrics method to study the interaction between the international oil market and the stock market empirically. Based on the confirmation of the variable structure point, we establish the VAR and GARCH-BEKK models to verify whether the oil market and the stock market have mutual overflow of the rate of return and the volatility . The U.S. stock market is relatively mature and its regulation is relatively sound. As an emerging market with a history of 20 years, China’s stock market is gradually becoming mature and perfect. Through a comparative study, I hope to find out if oil price changes have different effects on the Sino-US stock market.