The Research On Fluctuation Characteristics And The Relationship Between Oil Price And Shanghai Stock Index

As an important raw material in modern industry,oil plays an important role in the economic development of a country,especially for China,which has a great dependence on oil.When oil prices fluctuate,the stock market,as a barometer of the economy,is bound to be affected.Firstly,this thesis on international oil prices and the Shanghai index volatility influence factors analysis,draw the conclusion: the reason of fluctuation in international oil price is a contain the supply factors,the dollar exchange rate factors,speculative factors,factors in inventory,contingencies and other factors of the aggregate.At the same time,China's stock market in the last 25 years by the impact of micro factors and macro factors,a bear long bull characteristics.Secondly,this paper analyzes the fluctuation characteristics of the international oil price and the Shanghai index.In oil prices and the Shanghai Stock Exchange composite index change observation value constructs time series,using rescaled range method to calculate the Hurst index of time series and non periodic cycle length,oil prices and stock index time series are found to have obvious fractal characteristics.The time series is transformed into a complex network by means of a visual graph algorithm,and the topological parameters of the network are calculated.It is found that the oil price and the Shanghai index can be characterized by scale free,small world and hierarchical structure.Research Based on TOPSIS algorithm shows that the frequency of oil price and the time series of the Shanghai composite index is the highest in the period of 2007-2008,it can be considered that 2007-2008 is a watershed in the change of oil price and the Shanghai index.Again,this paper uses the MF-DCCA method to explore the cross correlation between the oil price and the Shanghai index.The results show that there is a significant correlation between the price of oil and the Shanghai index,and the correlation is characterized by multiple fractal features.The volatility of the oil price and the Shanghai index will not only be influenced by their long memory,but also by the other side.Finally,this paper studies the dynamic lead lag relationship between stock index and oil price based on the thermal optimal path method in financial physics.Results further show that between 1991 and 2007,the relationship between China's stock market and international oil prices is not obvious,and both lead lag relationship is not obvious;from 2008 to 2013,the stock market significantly leading to changes in oil prices,and a period ahead of about 3 months or so;in 2013,the stock market for the leading oil prices gradually weakened.