中国股票市场的石油效应之谜

摘要

本文对股票市场是否具有可预测性进行探讨,通过石油价格的变动,进而预测上海证券交易所综合指数(SSEC)的收益率.检验结果显示,自2003年后,上证综指收益率存在显著的石油效应,这种中国所特有的石油效应之谜,既不能用有效市场假说来解释,也无法被信息反应不足假说所解释.%This paper reinvestigates the predictability of equity market index return of Chinese Shanghai Stock Exchange Composite index (SSEC) using the changes in oil prices. We find a significant oil effect on the predictability of SSEC returns after the year 2003. The effect can neither be explained by the efficient market hypothesis nor be explained by the information under-reaction hypothesis, which presents a Chinese oil puzzle.