| Nowadays oil is one of the most important energy in the world,which is known as "the blood of modern economy",so the fluctuations of international oil prices often have a significant impact on a country’s economy.From an international perspective,some factors such as geopolitics,the yield of OPEC,climate,transportation,fund will cause the fluctuation of the international oil price.From a domestic perspective,the rising of the domestic demand for oil consumption of crude oil in China,the depletion of the old oil field lead to the decline of the production.oil imports rising year after year,these facts made us have to pay attention to the impact of volatility of the international crude oil price leading to China’s economy.The stock market is a barometer of a country’s economy,the volatility of the stock market will directly affect the development of a country’s macro-economy.So this paper studies the impact of the fluctuation of the international crude oil price on China’s stock price in different industries.This will help regulators to judge the trend of China’s stock market,and to improve the efficiency of regulation and supervision.It also helps to ensure the stable and sustainable development of China’s stock market.Individual investors can also learn from the relevant empirical conclusions,so that they can make decisions based on these specific issues and make better investments in stock trading and asset allocation.In this paper,quantitative analysis and qualitative analysis are used to study the fact.First of all,using the related theory to explain how the volatility of the oil price is transmitted to the stock market,and then use the qualitative analysis to summarize the way and the influence of the transmission of the oil price volatility to the stock market in different industries.In the part of quantitative analysis,two models are selected to make empirical analysis.First,selecting the 2007-2016 monthly data as the sample,establishing a multivariate VAR model with four variables,which contains WTI,interest rate,Shanghai composite index and producer price index for empirical test.However,index of stock price in different industries reacts differently to the changes in international crude oil prices,and the results of the model are likely to be offset.So I should study the impact of the international crude oil price fluctuation on the index of stock price in different industries.First,establishing a GARCH(1,1)model to explore the influence.But compared with the GARCH model,VAR model can better describe the interaction of multiple markets and fluctuation caused by long-term,so I establish a multi factor VAR model including WTI,interest rate,SWS industry classification index and producer price index for empirical test again.This paper also uses the method of comparative analysis.I select some industries which is sensitive to the fluctuations in oil prices,and then divide them into four parts: oil production industry,oil substitution industry,oil using industry and complementary oil industry,and use horizontal analysis to get a more reasonable conclusion.The empirical study finds that:(1)The impact of crude oil price volatility on the overall stock market is limited.When the international crude oil prices rising,it will not directly cause great negative impact on the stock market of our country in the current period.But when the international oil prices continued to rise,it will cause a negative impact on the stock market of our country,but the impact is not high.(2)The change rate of crude oil price,the interest rate,the change rate of the producer price index rate,the returns of Shanghai Composite Index / SWS industry classification index all has its independence.(3)The GARCH model and the VAR model have some similar conclusions.The impact of international crude oil shocks on the stock price index of the two industries,chemical industry and petrochemical industry,is obviously different from other industries.The impact of oil prices on these two industries are negative.This is not consistent with the common sense and expectations.It indicates that the stock return of the two industry respond to the change of international crude oil prices with a long delay.The reason may be that these two industries produce oil-related goods,and the transmission will make the chain to transmit the price longer.(4)The impacts of changes in crude oil prices on different industries are different,and we need to analyze it in light of the specific industry.At the end of this paper,I will analyze the result of the model and make a conclusion.Besides,two policy suggestions are put forward:(1)improve the domestic refined oil pricing mechanism.(2)promote the development and use of new energy. |
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