| With the development of China’s industrialization and urbanization, China’s dependence on import oil is more and more high. It is expected that by 2015, the proportion of China’s dependence on import oil will exceed 60% for the first time. Domestic and foreign scholars have done a lot of research about the relationship between crude oil price and macro-economy, and they has been basically reached consensus,that is, rising prices of crude oil has a tightening effect on the national economy of crude oil import country. However, the scholars seldom research the relationship between crude oil prices and China’s Stock Market, and their conclusion are diverse.Based on the previous research, this article research the relationship between international crude oil prices and China’s stock market from the industry level. First, we analyse the conduction effect of international crude oil price fluctuation on China’s stock market from the supply shocks, transfer of income, inflation, real balance, the adjustment of industrial structure and psychological expectations. Second, combined with the industry classification of our country, we analyse the effect of crude oil prices shocks on China’s industrial returns in theory. And on this basis, we puts forward three hypotheses:first, different industry return of China’s stock market is sensitive to the price of crude oil differently. Second, the international crude oil price changes have lagged impact on the industry return of China’s stock market. Third, the international crude oil price changes have asymmetric effects on the industry return of China’s stock market.In the empirical analysis section, this paper is divided into three parts respectively to verify the theoretical hypothesis. In the first part, we used daily data from 1 January 2007 to 31 December 2014. For crude oil, we used WTI crude oil spot price, and for stock market index, Shen Yin Wan Guo industry index. By using the method of wavelet multi-resolution decomposition, we decompose the price of crude oil yield sequence and stock industry index return sequences into different scales, and study their relationship in different scales. The results show that different industries have different sensitivity to changes in the price of crude oil. In the long run, crude oil prices have a significant negative effect on the majority of the industry returns. For the near future, crude oil prices have a significant positive effect on energy produce industry, such as extractive industries. There is a significant negative effect on consumption industries, such as machinery and equipment industry, iron and steel industry, and other industries in response to changes in crude oil prices are not significant. In the second part, this paper selects the industry data which are sensitive to crude oil price fluctuation in the first part as research sample. We use GARCH(1,1) model to explore the lag effect of crude oil price changes on the industry of China’s stock market. The results show that crude oil price changes have significant lag effect on the stock market industry. And with the lag phase increases, this effect becomes more and more small. In the third part, this paper also selects the industry data which are sensitive to crude oil price fluctuation in the first part as research sample. We use asymmetric GARCH(1,1) model to study the effect of crude oil prices rise and fall on stock market industries. The results show that crude oil prices rise and fall have the different degree of impact on the stock market industries in a large part. The asymmetric effect of crude oil price changes on the stock market industry’s return does exist.Finally, the author summarizes the conclusion of this paper. Combined with the actual situation of China, several meaningful investment strategies and policy are put forward to the investors and policy makers. |
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