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在国际油价大幅下跌的背景下,我国石油行业也收到了一定冲击,石油方面股票存在一定程度的下跌。本文以石油行业的龙头企业中国石油天然气集团有限公司(中石油)、中国石油化工有限公司(中石化)为研究对象,选取了2007年11月至2015年4月近八年的相关数据,考虑到β系数的跨期时变特征,以单因素模型为基础,利用测算所得实际β进而估计了时变β,利用计量经济学中的F检验方法,对石油行业股票收益率对整个股票市场变化的敏感程度进行测算并进行分析。
Against the background of a sharp drop in international oil prices, the oil industry in our country has also received some shocks. There is a certain degree of decline in stocks of oil. In this paper, the petroleum industry leading enterprises, China National Petroleum Corporation (PetroChina), China Petroleum & Chemical Corporation (Sinopec) as the research object, selected from November 2007 to April 2015 nearly eight years of relevant data, taking into account the β Based on the single factor model, the intertemporal and time-varying features of the coefficients are estimated by using the measured β and the F-test in econometrics is used to analyze the sensitivity of the oil industry’s stock returns to the changes of the entire stock market The degree of calculation and analysis.