国际原油、中国煤炭与绿色能源股票市场间的溢出效应研究

A Study of Spillovers between International Crude Oil, Chinese Coal and Green Energy Stock Markets

摘要: 研究能源市场间的溢出效应对于研判能源市场的复杂性和风险传递机制具有重要意义。为研究国际原油、中国煤炭及绿色能源股票市场间的溢出效应，本文选取Brent原油期货价格、中证煤炭指数、中证绿色能源指数三组数据进行分析。以新冠疫情的发生时间为节点，使用SVCJ模型分析疫情前后市场间的跳跃溢出。另外，对SVCJ模型所估计出的波动率构建VAR-BEKK-GARCH模型，探究全样本时期的波动溢出。结果显示：疫情暴发使得市场的跳跃行为更为频繁，原油市场在跳跃溢出关系中始终占据主导地位，其对煤炭、绿色能源股票市场的跳跃溢出具有“一日滞后性”；在遇到风险事件的冲击时，原油市场与国内煤炭股市间具有风险传递效应，国内煤炭股市则对绿色能源股市起到调节和稳定作用。这些结论有助于投资者优化投资组合，对国家推进绿色金融发展也具有一定帮助。

Abstract: The study of spillover effects (SEs) among energy markets is important for revealing the complexity of energy markets and risk transfer mechanisms. To explore the SEs between international crude oil, and China’s coal and green energy stock markets, this paper selects the daily closing price data of Brent crude oil futures price, CSI Coal Index and CSI Green Energy Index as the research objects. By taking outbreak time of the COVID-19 pandemic as a crucial time node, we study the change of jump SEs between markets before/after the pandemic by using the SVCJ model. Then, we construct a VAR-BEKK-GARCH model for the volatility estimated by the SVCJ model to explore the volatility SEs over the whole sample period. The conclusions are as follows: The outbreak of the pandemic makes the market jumping behavior happen more frequently. The crude oil market always dominates in the inter-market jumping spillover relationship, and its jump SE to the coal and green energy stock markets has a “one-day lag” effect. When encountering the impact of risk events, there is a risk transfer effect between the crude oil market and the domestic coal stock market, and the domestic coal stock market plays a regulating and stabi-lizing role in the green energy stock market. These conclusions can help investors optimize their investment portfolios, and are also helpful for the country to promote the development of green finance.