A Research On Price Transmission Differences From The Crude Oil Futures Prices To Chinese And Foreign Oil Companies' Stock Prices

With China's accession to the World Trade Organization in 2001,the pace of market reform in all industries in China has been greatly accelerated.However,through the market analysis,it is found that the pace of market-oriented reform in the oil industry is obviously lagging behind other industries.From the futures market and the stock market operation rules,foreign oil companies stock prices and oil prices were highly synchronous,meanwhile,China's petroleum enterprises price trend is tepid.Due to the low degree of marketization and the ability to deal with market risk,the domestic oil companies often fail to cope with the fluctuation of international oil prices,resulting in heavy losses for enterprises.In order to find out the problems existing in the process of dealing with market risk in Chinese petroleum enterprises,this paper starts from the perspective of price transmission,and explores the effect and underlying reasons of the price transmission of oil prices,oil companies' operation and oil companies' stock prices.Price transmission theory,arbitrage pricing theory and firm equilibrium theory are the theoretical basis of this paper.The VAR model,fixed effect model,mixed OLS model and other econometric analysis methods are used to do empirical analysis.We studied the difference of the transmission effects of crude oil futures prices on the foreign oil company stock price;we tested the oil prices on oil business through the analysis of path,influence and oil business of petroleum enterprise shares;and further more,we did comparative analysis of Chinese and foreign oil companies to deal with the risk of oil price volatility.First,we summarize the mechanism of the price transmission of crude oil futures to the stock price of oil enterprises.This paper is based on the production process of the oil industry chain,combing the crude oil futures prices on the longitudinal conduction mode of oil industry chain products,and the correlation between crude oil futures price and the price of petroleum enterprises.We conclude that the crude oil futures price is transmitted to the stock price of oil enterprises through the operation performance path of oil enterprises.Second,in view of the difference in the price transmission between Chinese and foreign oil companies,this paper uses the VAR model to make an empirical analysis.The final result is that the price of crude oil will transmit to the stock price of foreign oil enterprises,but will not transmit to the stock price of Chinese oil enterprises.This shows that there is a difference in price transmission between the futures price of crude oil and the stock price of Chinese and foreign oil enterprises.Third,the whole price transmission process is divided into two stages according to the price conduction path,and the effect of price transmission in different stages is tested respectively.The test result of crude oil futures price to the operation stage of petroleum enterprises is that there is a significant correlation between the price of crude oil futures and the operation performance of foreign oil enterprises,but the crude oil futures price is not related to the operation performance of Chinese petroleum enterprises.The test results of oil companies' operation to oil companies' stock price shows that the stock price information of Chinese and foreign oil companies could reflect the production and operation capacity of oil companies.Combined with the two stage analysis,we can see that the reason why the crude oil futures price is not conductive to the share price of Chinese petroleum enterprises is that the change of crude oil futures price is not reflected in the operation performance of oil companies.Fourth,the concrete performance of the risk of oil price fluctuation in the operation of Chinese and foreign oil enterprises is analyzed.We find that China's oil enterprises are lagging behind foreign oil enterprises in the degree of hedging business participation and the diversification of hedging varieties.The ability of Chinese oil enterprises to use the trend of crude oil futures to guide the production of enterprises is backward in foreign oil enterprises.The ability of Chinese petroleum enterprises to formulate corresponding internal and external strategies for different crude oil price cycle environment is weaker than that of foreign oil enterprises.The main contributions of this paper are as follows:first,based on the theory of price transmission,we discuss the difference of the effect of crude oil futures prices on the share price transfer between Chinese and foreign oil companies,and thus explore the underlying reasons for the low degree of marketization of China's oil enterprises.Second,we find that the following problems exist in Chinese petroleum enterprises:low participation in hedging,unable to make use of oil price trend,and do not make use of oil price cycle to adjust foreign investment strategy.This effectively explains the reasons for the difference of price transmission between Chinese and foreign oil enterprises.