A Study On The Relationship Energy Price Fluctuation And Stock Price Fluctuation

With the rapid development and advancement of industrialization,modernization and urbanization,energy plays a pivotal role in the sustainable development of a country as a raw material for production.China since 2010 has become the world's second largest energy producer and the largest energy consumer,energy import dependence rising,until2013,China's oil energy external dependence reached 57%,we can see that energy resources for the industrialization of the late Of what is important in China.In recent decades,fluctuation of energy prices affecting the development of macroeconomic and microeconomic,energy price fluctuations affect the whole society economic life of the string.With the constant fluctuations in energy prices,China's stock market can be described as undergoing tremendous changes since the reform of share,the capital market seems to be more effective,the price mechanism become faster,the stock market price fluctuations are more frequent.There are many factors that affect the volatility of the stock market,the basic is the stock market supply and demand mechanism.The macroeconomic development trend as an important reference for social investors to invest,will be more directly affect the stock market supply and demand,and thus affect the stock market price fluctuations.Thus,energy price volatility through a variety of transmission mechanisms affect the economic development trend and then the capital market in the stock market price changes have an impact.Under the background of the new economic current situation,we put forward the strategy of "three to go" and "one drop and one make up".The electricity and utility industry is an important industry for energy production.Energy is the main fuel for industry and life consumption.Under the background of the new normal,in the ongoing process of structural adjustment and reform,the industry's stock price index fluctuations affect the investors.This paper mainly studies the following: Firstly,I study the relevant literature to clarify the scope of the study,study the problems and significance.Secondly,after a clear study,I study the literature deeply to clear this research methods and variable selection of this study.And then,I begin to do something about the data collection and calculation for empirical research.In the empirical study,the new energy price index,the DIVISIA index,was included in the energy price index to address the energy substitution problem in the existing research.Based on the monthly data from 2004 to 2015,four VAR models were established using coal price,crude oil price,natural gas price and energy compositionprice index respectively.Impulse response function analysis and variance analysis method were used to analyze the four VAR models to analyze.Finally,the author try to give a results of the empirical summary and analysis.This paper draws the following conclusions: through Granger causality test,energy prices and stock index of power and utilities industries is bidirectional Granger causality;Through the impulse response function analysis,coal price,the price of crude oil,natural gas prices and energy synthesis DIVISIA index are only short-term impact on stock price index of power and utilities industry,however,interest rates bring long-term effects on power and utility industry stock index.This is different from the conclusion obtained by some scholars(such as,Wu Libo)that the crude oil price not only brings short-term effect to the stock market,but also brings the long-term effect.Through the analysis of variance,power and utility industry stock index prediction error is mainly influenced by its own factors,crude oil price fluctuation and the effect of energy synthesis DIVISIA index.