中文摘要：

本文以2001年1月至2009年12月的数据为样本，用双因子GED—GARCH（1，1）-M模型研究了国际石油价格对中国14个行业股票收益率的影响。研究结果表明，国际石油价格对中国石油和天然气行业的股票收益率有显著的正向影响，对汽车和零件行业、建筑和材料行业、金融行业、卫生保健行业、个人与家庭用品行业、旅游与休闲行业、公用事业行业的股票收益率有显著的负向影响，但其他行业的股票收益率对国际石油价格没有显著反应。

英文摘要：

Employing a two-factor GED-AGRCH （1,1）-M model, the main purpose of this paper is to analyze the effect of international oil price on return of stocks from 14 Chinese industries over the period from January 2001 to December 2009. The results show that oil price hike significantly increases oil ＆ gas industry stock re- turns, and stock returns of automobiles ＆ parts industry, construction ＆ material industry, financial industry, health care industry, personal ＆ household goods industry, tourism ＆ leisure industry and utilities industry all show strong negative sensitivities to oil price. However,oil price has no evident effect on return of stocks from other industries.