• 文献检索
  • 文档翻译
  • 深度研究
  • 学术资讯
  • Suppr Zotero 插件Zotero 插件
  • 邀请有礼
  • 套餐&价格
  • 历史记录
应用&插件
Suppr Zotero 插件Zotero 插件浏览器插件Mac 客户端Windows 客户端微信小程序
定价
高级版会员购买积分包购买API积分包
服务
文献检索文档翻译深度研究API 文档MCP 服务
关于我们
关于 Suppr公司介绍联系我们用户协议隐私条款
关注我们

Suppr 超能文献

核心技术专利：CN118964589B侵权必究
粤ICP备2023148730 号-1Suppr @ 2026

文献检索

告别复杂PubMed语法，用中文像聊天一样搜索，搜遍4000万医学文献。AI智能推荐，让科研检索更轻松。

立即免费搜索

文件翻译

保留排版，准确专业，支持PDF/Word/PPT等文件格式，支持 12+语言互译。

免费翻译文档

深度研究

AI帮你快速写综述，25分钟生成高质量综述，智能提取关键信息，辅助科研写作。

立即免费体验

基于断点检验的原油期货市场与中美股指期货市场之间的关系

The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test.

作者信息

Lu Xunfa, Liu Kai, Lai Kin Keung, Cui Hairong

机构信息

School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing 210044, China.

Center for Economics, Finance and Management Studies, Hunan University, Changsha 410006, China.

出版信息

Entropy (Basel). 2021 Sep 6;23(9):1172. doi: 10.3390/e23091172.

DOI:10.3390/e23091172
PMID:34573797
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC8465217/
Abstract

Combined with the B-P (breakpoint) test and VAR-DCC-GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the WTI crude oil futures market and Chinese stock index futures market or US stock index futures market after the breakpoint in the price series. The Chinese stock index futures are less affected by short-term fluctuations in crude oil futures returns than US stock index futures.

摘要

结合B-P（断点）检验和VAR-DCC-GARCH模型，研究并比较了WTI原油期货与标准普尔500指数期货或沪深300指数期货之间的关系。结果表明，WTI原油期货市场与中国股指期货市场或美国股指期货市场之间的均值关系存在断点。WTI原油期货价格与标准普尔500股票指数期货或沪深300股票指数期货之间的均值关系正在减弱。同时，价格序列出现断点后，WTI原油期货市场与中国股指期货市场或美国股指期货市场之间的动态条件相关性在降低。与美国股指期货相比，中国股指期货受原油期货收益短期波动的影响较小。

https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/2b83d0c3e8bc/entropy-23-01172-g019.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/020785f66b68/entropy-23-01172-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/539ee600579d/entropy-23-01172-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/90c177e7706e/entropy-23-01172-g003.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/22ca5cad5bb2/entropy-23-01172-g004.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/a3cb9adb5b49/entropy-23-01172-g005.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/d775167e73ad/entropy-23-01172-g006.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/8d752770bfed/entropy-23-01172-g007.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/4cf9597f6f53/entropy-23-01172-g008.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/5e608cc7ef3e/entropy-23-01172-g009.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/d86707e81e67/entropy-23-01172-g010.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/aa3087a84fc8/entropy-23-01172-g011.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/cd97e0c812db/entropy-23-01172-g012.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/b504ba3c9dad/entropy-23-01172-g013.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/dccfa13921fd/entropy-23-01172-g014.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/fe8ebda288a8/entropy-23-01172-g015.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/5e20810d664f/entropy-23-01172-g016.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/d439e2d712fb/entropy-23-01172-g017.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/4bf0a4e2f829/entropy-23-01172-g018.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/2b83d0c3e8bc/entropy-23-01172-g019.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/020785f66b68/entropy-23-01172-g001.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/539ee600579d/entropy-23-01172-g002.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/90c177e7706e/entropy-23-01172-g003.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/22ca5cad5bb2/entropy-23-01172-g004.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/a3cb9adb5b49/entropy-23-01172-g005.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/d775167e73ad/entropy-23-01172-g006.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/8d752770bfed/entropy-23-01172-g007.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/4cf9597f6f53/entropy-23-01172-g008.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/5e608cc7ef3e/entropy-23-01172-g009.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/d86707e81e67/entropy-23-01172-g010.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/aa3087a84fc8/entropy-23-01172-g011.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/cd97e0c812db/entropy-23-01172-g012.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/b504ba3c9dad/entropy-23-01172-g013.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/dccfa13921fd/entropy-23-01172-g014.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/fe8ebda288a8/entropy-23-01172-g015.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/5e20810d664f/entropy-23-01172-g016.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/d439e2d712fb/entropy-23-01172-g017.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/4bf0a4e2f829/entropy-23-01172-g018.jpg
https://cdn.ncbi.nlm.nih.gov/pmc/blobs/b230/8465217/2b83d0c3e8bc/entropy-23-01172-g019.jpg

相似文献

1
The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test.基于断点检验的原油期货市场与中美股指期货市场之间的关系
Entropy (Basel). 2021 Sep 6;23(9):1172. doi: 10.3390/e23091172.
2
Dependence and spillover among oil market, China's stock market and exchange rate: new evidence from the Vine-Copula-CoVaR and VAR-BEKK-GARCH frameworks.石油市场、中国股票市场与汇率之间的依存关系及溢出效应：来自藤本- 连接函数- 条件风险价值模型（Vine-Copula-CoVaR）和向量自回归- 二元广义自回归条件异方差模型（VAR-BEKK-GARCH）框架的新证据
Heliyon. 2022 Nov 18;8(11):e11737. doi: 10.1016/j.heliyon.2022.e11737. eCollection 2022 Nov.
3
Identifying dynamic risk spillovers between crude oil and downstream industries: China's futures market perspective.识别原油与下游产业之间的动态风险溢出：中国期货市场视角。
Environ Sci Pollut Res Int. 2024 Mar;31(14):21089-21106. doi: 10.1007/s11356-024-32414-x. Epub 2024 Feb 21.
4
The impact of crude oil prices on Chinese stock markets and selected sectors: evidence from the VAR-DCC-GARCH model.原油价格对中国股票市场及部分板块的影响：基于 VAR-DCC-GARCH 模型的证据。
Environ Sci Pollut Res Int. 2022 Jul;29(35):52560-52573. doi: 10.1007/s11356-022-19573-5. Epub 2022 Mar 9.
5
WTI, Brent or implied volatility index: Perspective of volatility spillover from oil market to Chinese stock market.西德克萨斯中质原油（WTI）、布伦特原油或隐含波动率指数：石油市场对中国股票市场的波动率溢出效应研究
PLoS One. 2024 Apr 25;19(4):e0302131. doi: 10.1371/journal.pone.0302131. eCollection 2024.
6
Price guidance and discovery of the Chinese stock index Futures: Based on the rising, falling and fluctuating states.中国股指期货的价格引导与发现：基于上涨、下跌及波动状态
Heliyon. 2023 Mar 9;9(3):e14429. doi: 10.1016/j.heliyon.2023.e14429. eCollection 2023 Mar.
7
Time-varying coefficient vector autoregressions model based on dynamic correlation with an application to crude oil and stock markets.基于动态相关的时变系数向量自回归模型及其在原油和股票市场的应用。
Environ Res. 2017 Jan;152:351-359. doi: 10.1016/j.envres.2016.07.015. Epub 2016 Aug 5.
8
Determining the COVID-19 effects on spillover between oil market and stock exchange: a global perspective analysis.确定 COVID-19 对石油市场和股票交易所之间溢出效应的影响：全球视角分析。
Environ Sci Pollut Res Int. 2022 Sep;29(44):66109-66124. doi: 10.1007/s11356-022-19607-y. Epub 2022 May 1.
9
Study on Market Stability and Price Limit of Chinese Stock Index Futures Market: An Agent-Based Modeling Perspective.基于主体建模视角的中国股指期货市场稳定性与价格限制研究
PLoS One. 2015 Nov 16;10(11):e0141605. doi: 10.1371/journal.pone.0141605. eCollection 2015.
10
Extreme risk spillover between chinese and global crude oil futures.中国与全球原油期货之间的极端风险溢出。
Financ Res Lett. 2021 May;40:101743. doi: 10.1016/j.frl.2020.101743. Epub 2020 Aug 30.

引用本文的文献

1
Price guidance and discovery of the Chinese stock index Futures: Based on the rising, falling and fluctuating states.中国股指期货的价格引导与发现：基于上涨、下跌及波动状态
Heliyon. 2023 Mar 9;9(3):e14429. doi: 10.1016/j.heliyon.2023.e14429. eCollection 2023 Mar.

本文引用的文献

1
Detecting novel associations in large data sets.在大型数据集 中检测新的关联。
Science. 2011 Dec 16;334(6062):1518-24. doi: 10.1126/science.1205438.