The Correlation Analysis Of The International Crude Oil Prices And The Chinese Stock Market Based On COPULA Function

As one of the basic raw materials, oil changes in the price is directly related to the effectiveness of the situation of enterprises; As the essential consumer goods, changes in international crude oil prices also affect people’s propensity to consume. Many scholars vividly described oil as " economic blood ", which illustrates the oil for a more far-reaching impact on the national economy. So it is necessary to investigate systematically what relationship between international crude oil prices and the country’s economy. Meanwhile, the stock market is a barometer of the country’s economy,which can reflect a country’s economic situation in advance. So the relationship between the international crude oil prices and the country’s economy the problem of international crude oil prices and the country’s stock market.In the late20th century, three more serious oil crisis happen in the world. These three more serious oil crisis has had a major trauma to many countries,which leaded to larger shocks to the stock market. Since then, scholars began to attach importance to the relationship between international crude oil prices and the economy of a country, and this makes a lot of research. Of course, due to the different methods or theoretical problem scholars adopted in this regard, the results are inconsistent. International crude oil prices and stock market data are all related to the financial data,which have their own characteristics. Overall, the findings on the relationship between international crude oil prices and a country’s stock market gradually improved with the theoretical system of financial data sound.This paper will use the theory of the COPULA study the relationship between international crude oil prices and the stock market of our country. Copula function does not stick to the edge of the normal distribution assumption, so it has a unique advantage. By processing the data,first, it will fit their marginal distribution of the two sets of data.Then,this paper will fit the marginal distribution by the four Copula function, concluding the optimal Copula models. From the results of the optimal Copula model,there will be a corresponding tail correlation coefficient.There is a long-term cointegration between the international crude oil prices and the stock market of our country.The tail correlation coefficient is0between the international crude oil prices and the stock market of our country, that is, the probability of both up or down on the same time is0. There existed a negative correlation. Finally, the impact of changes in international crude oil prices on China’s stock market is greater than the impact of the change in China’s stock market on the international crude oil prices by variance decomposition.