Cong Rong-Gang, Shen Shaochuan
School of Economics and Management, North China Electric Power University, Beijing, China.
ScientificWorldJournal. 2013 Apr 9;2013:171868. doi: 10.1155/2013/171868. Print 2013.
This paper investigates the interactive relationships among China energy price shocks, stock market, and the macroeconomy using multivariate vector autoregression. The results indicate that there is a long cointegration among them. A 1% rise in the energy price index can depress the stock market index by 0.54% and the industrial value-adding growth by 0.037%. Energy price shocks also cause inflation and have a 5-month lag effect on stock market, which may result in the stock market "underreacting." The energy price can explain stock market fluctuations better than the interest rate over a longer time period. Consequently, investors should pay greater attention to the long-term effect of energy on the stock market.
本文运用多元向量自回归方法研究了中国能源价格冲击、股票市场和宏观经济之间的互动关系。结果表明，它们之间存在长期协整关系。能源价格指数上涨1%会使股票市场指数下跌0.54%，工业增加值增长下降0.037%。能源价格冲击还会引发通货膨胀，对股票市场有5个月的滞后影响，这可能导致股票市场“反应不足”。在较长时期内，能源价格比利率能更好地解释股票市场波动。因此，投资者应更加关注能源对股票市场的长期影响。
