Journal of Banking & Finance · Vol.74·JUNE 2017

石油价格冲击对美国股票订单流不平衡和股票收益的影响

作者：Neophytos Lambertides (Cyprus University of Technology), Christos S. Savva (Cyprus University of Technology; University of Manchester), Dimitris A. Tsouknidis,(Cyprus University of Technology)

摘要：本文首次研究了石油需求冲击和石油供给冲击对股票订单流不平衡进而导致股票收益变化的影响。通过结构VAR模型的估计，正向的石油需求冲击能够解释观察到的日均股票订单流不平衡变化（由买/卖交易比率衡量）的近36%，这种变化导致了负向而不是正向的股票收益反应。相反，石油供给冲击对股票订单流不平衡呈现出负向和边缘显著的影响。我们的总体分析表明，对股票订单流不平衡的正向冲击与股票收益负相关。与其他行业的股票相比，石油相关行业的这些影响更为强劲。

关键词：石油价格冲击，股票订单流不平衡，结构VAR

The effects of oil price shocks on U.S. stock order flow imbalances and stock returns

Neophytos Lambertides (Cyprus University of Technology), Christos S. Savva (Cyprus University of Technology; University of Manchester), Dimitris A. Tsouknidis,(Cyprus University of Technology)

ABSTRACT

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed variation in the daily average stock order flow imbalances measured by the buy/sell trades ratio; which consequently lead to a negative rather than positive stock returns reaction. In contrast, oil supply shocks exhibit a negative and marginally significant effect on stock order flow imbalances. Our aggregate analysis suggests that positive shocks on stock order flow imbalances are negatively related to stock returns. These effects are stronger for oil-related sectors when compared with the rest of the equities sectors.

Keywords: Oil price shocks, Stock order flow imbalances, Structural VAR

原文链接：

http://www.sciencedirect.com/science/article/pii/S026156061730058X

翻译：贾梦悦