Center for Energy and Environmental Policy Research, School of Management and Economics, Beijing Institute of Technology
School of Mathematics and Physics, University of Science and Technology Beijing
School of Economics and Management

对原油和股票市场相互作用的分析,有利于评估能源成本变化对经济增长的影响。运用细粒度的方面级情感分析方法,量化国际原油市场在线投资者情绪,构建了原油压力指数(CrudeOilPressureIndex,OPI),从投资者行为因素角度剖析了原油价格变化对股票收益的传导效应。进一步采用滚动窗口分位数回归模型,刻画了原油压力指数对8个主要原油进口国的股票收益滞后、异质和时变影响。研究结果表明:股票收益对原油压力指数响应迅速而及时,滞后效应弱于同期效应;熊市市场状况对全部8个国家股票收益的平均负向影响达到了-3.42%,但在牛市状况下较弱。此外,极端外部事件(2015年石油危机、新冠疫情和俄乌战争)的冲击加剧了2个市场间的协同运动。本研究证明了OPI能提前预测股市变动,可作为研究油股市场联动关系的重要指标,并在危机时期过后,仍对股票市场有较强解释性。研究结论为稳定石油进口国的股票市场和宏观经济稳定发展提供了政策启示。

The analysis of crude oil and stock market interactions is useful for assessing the impact of energy cost changes on economicgrowth. Using fine-grained aspect-level sentiment analysis to quantify online investor sentiment in the international crude oil market, thearticle constructs the Crude Oil Pressure Index (OPI, Crude Oil Pressure Index), which dissects the transmission effect of crude oil pricechanges on stock returns from the perspective of investor behavioral factors. Further, a rolling window quantile regression model is used tocharacterize the lagged, heterogeneous, and time-varying effects of the OPI on stock returns of eight major crude oil importing countries.The findings show that stock returns respond quickly and promptly to the crude oil stress index, the lagged effect is weaker than thecontemporaneous effect, and the average negative impact on the stock returns of all eight countries reaches -3. 42% under bear marketconditions, but is weaker under bull market conditions. In addition, the synergistic movement between the two markets is exacerbated byshocks from extreme external events (the 2015 oil crisis, the New Crown Pneumonia epidemic, and the Russo-Ukrainian war) . Thearticle demonstrates that the OPI predicts stock market movements in advance, can be used as an important indicator to study the linkagesbetween the oil and stock markets, and remains strongly explanatory for the stock market after the crisis period. The findings provide policyimplications for stabilizing stock markets and macroeconomic stability in oil-importing countries.

国家自然科学基金资助项目(71871020;72271028)