Journal of Empirical Finance · VOLUME 42 · July 2017

石油和黄金价格的不确定性对股票市场有影响吗？

作者：Dennis Bams (Maastricht University, The Netherlands), Gildas Blanchard (Open University, The Netherlands), Iman Honarvar (Deloitte Luxembourg, Luxembourg), Thorsten Lehnert (Luxembourg School of Finance, Luxembourg)

摘要：作者从期货和期权合约中提取出方差风险溢价，作为股票、石油和黄金市场不确定性的代理变量。作者观察到股票、石油和黄金市场不确定性的独立增加与不同行业的负收益会同时出现。但是只有股票市场的不确定性是整个横截面股票预期收益的系统性定价因子。石油价格的不确定性是特定部门因子，由于市场的行业分割性，这种不确定性只在石油相关的行业内进行定价。黄金价格的不确定性是特定资产的定价因子，在行业之间或行业内都不被定价。

关键词：石油价格、黄金价格、股票收益

Does oil and gold price uncertainty matter for the stock market?

Dennis Bams (Maastricht University, The Netherlands), Gildas Blanchard (Open University, The Netherlands), Iman Honarvar (Deloitte Luxembourg, Luxembourg), Thorsten Lehnert (Luxembourg School of Finance, Luxembourg)

ABSTRACT

We proxy uncertainty in the stock oil and gold markets with the variance risk premia, extracted from futures and option contracts. We observe that an independent increase in the stock, oil or gold markets uncertainty coincides with negative returns in different industries. However, only the stock market uncertainty is a systematic priced factor in the entire cross section of stocks’ expected returns. The oil price uncertainty is a sector-specific factor, and due to the industry segmentation of the market, it is only priced within oil-relevant industries. Gold price uncertainty is an asset-specific factor that is neither priced across nor within industries.

Keywords: Oil price; Gold price; Stock return

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539817300622

翻译：殷曼琳