CAJ | 학술논문

本文分别检验了不同驱动因素所致的油价波动（结构性油价波动）对我国股市收益波动的非对称性影响，并探寻了油价波动对我国股市产生非对称性影响的来源。首先利用SVAR模型将油价波动分解为供给、需求和预防性购买三种驱动因素所致的油价波动，发现三种驱动因素所致的油价波动对我国股市收益的影响存在显著差异；GARCH非对称模型检验及其信息影响曲线结果显示供给和预防性购买因素所致的油价波动是对我国股市的产生非对称性影响的主要原因。在应对油价波动策略时，区分油价波动背后的驱动因素有助于政府机构采取行之有效的宏观调控。
본문분별검험료불동구동인소소치적유개파동（결구성유개파동）대아국고시수익파동적비대칭성영향，병탐심료유개파동대아국고시산생비대칭성영향적래원。수선이용SVAR모형장유개파동분해위공급、수구화예방성구매삼충구동인소소치적유개파동，발현삼충구동인소소치적유개파동대아국고시수익적영향존재현저차이；GARCH비대칭모형검험급기신식영향곡선결과현시공급화예방성구매인소소치적유개파동시대아국고시적산생비대칭성영향적주요원인。재응대유개파동책략시，구분유개파동배후적구동인소유조우정부궤구채취행지유효적굉관조공。
The paper investigates the effect of different driven factors of oil price fluctuations( structural oil price fluctuation) on China stock market and further studies the resource of asymmetric effect.Oil price fluctuation is decomposed into three parts by SVAR model, which include the supply factor, economic demand factor and oil-specific demand factor.The three kinds of oil price fluctuations have complex impacts on China stock market. Asymmetric GARCH model and its information curve indicate that the supply factor and oil-specific demand fac-tor are the main resource of the asymmetric impact of oil price fluctuations on China stock market.So the research of oil price fluctuations on China stock market based on the decomposing of oil price driven factors can guide significances for the related government department to make appropriate discretionary choice.