Research On The Relationship Between Brics Stock Market And International Crude Oil Price

With the advancement of science and technology,petroleum plays an extremely important role in the course of national economic growth and social development.As the “barometer” of macroeconomics,the stock market plays a role in economic forecasting and value discovery.The US stock market is relatively mature and well-supervised,and can represent mature capital markets.The development of the stock markets of the BRIC countries(China,India,Russia,Brazil,and South Africa)after more than two decades is undoubtedly a model for emerging capital markets.Therefore,the use of econometric methods to analyze the causal relationship between the BRICS stock market and international oil prices has a higher research value and significance.This paper is divided into the following five chapters:The first chapter is introduction.This paper briefly outlines the significance of this study,crude oil and stock relations,and relevant research literature on the application of the Granger model,and proposes the content of this study and the structure of the full text.The second chapter combs the basic knowledge of time series,such as ARMA model,VAR theory,the stability of time series and Granger model,etc.It provides a basic summary and paving for later research.The third chapter is the construction of extremely asymmetric Granger model.This chapter is divided into three parts,the first part is the introduction of extremely asymmetric Granger model;the second part is based on the first part of the study,and proposes an asymmetric Granger model.The third part is using the simulation method to verify the rationality of the model proposed in the second part.The fourth chapter analyzes the causal relationship between international crude oil prices and the BRICS countries' stock markets.In this chapter,we select the weekly closing stock price index of the BRIC countries and the United States and the WTI index of the international crude oil price from 2000 to 2017.We have done a descriptive analysis and a stability test,and based on this,using the traditional Granger test method,the asymmetric Granger test method and the extremely asymmetric Granger test method respectively test the two-way causality between the international crude oil price and the BRICS countries' stock market,and finally make a robust analysis.The fifth chapter is the conclusion and outlook.This paper briefly summarizes the main research results of this paper,and puts forward the deficiencies of this paper,and looks forward to future research directions.In a word,the causal relationship between the BRICS stock market and the national crude oil price is significant,and the overall performance is that the stock market is the Granger cause of oil prices,and the left extreme value of oil is the Granger cause of the extreme value of the stock market.The extremely decline in prices will,to a certain extent,cause the extremely decline in the stock market.