A Study On The Spillover Effect Of International Oil Price On The Stock Market Of Oil-related Industries

China opened the crude oil futures market in March 2018,and crude oil futures products were officially listed on the Shanghai Futures Exchange.As an international commodity,oil is also the most important kind of commodity futures.The prices of international oil prices and crude oil futures are bound to have an impact on the stock market of crude oil related industries in China.Therefore,we should not only pay attention to the impact of oil price fluctuations on macro-economy,but also pay attention to its impact on our financial market.The study of the linkage effect between international oil price and the stock market of crude oil related industries in China is beneficial to the improvement of crude oil pricing mechanism and the development of crude oil futures market in China.And it’s helpful to reduce the negative impact on China’s economy and crude oil related industries stock market,and reduce the negative impact on our economy and crude oil related industries stock market.This paper takes the relationship between international oil price and the stock index of five kinds of oil-related industries as the core,and adopts the research method of combining theoretical analysis and empirical research to study the influence of oil price change on the stock market of crude oil related industries.This paper probes into the mean spillover effect of oil price fluctuation and the whole stock market as well as the stock market of different industries.In the theoretical analysis,the fluctuation of the international oil price and the stock index of oil-related industries is compared and analyzed,and the five oil-related industry indices(energy,materials,industry,Optional consumption and public utilities)selected by the Wind first-class industry classification standard are compared and analyzed.This paper analyzes the influence of international crude oil price fluctuation on the stock market of different industries in China.In the empirical analysis,the spillover effects of international oil price and Shanghai Stock Exchange Index,Energy Index,material Index,Industrial Index,optional consumption Index and Public Utilities Index are empirically tested by establishing VAR model.Through theoretical analysis and empirical analysis,this paper draws the following five conclusions: first,the average spillover effect of the rise of international oil prices on the Shanghai Stock Exchange Index is very weak.Secondly,the mean spillover effect of WTI crude oil spot price on energy index,industrial index and public utility index is strong,but the mean spillover effect on material index and optional consumption index is weak.Third,the rise of international oil prices has a positive impact on the energy index,and has a negative impact on the industrial index,the optional consumption index and the public utility index as a whole.The positive and negative effects on material consumption index depend on the power of oil consumption and substitution industry.At present,when studying the spillover effect of international oil price on the stock market,Chinese scholars tend to choose the whole stock market index as the research object.However,the stock market contains many industries that are not related to crude oil.Coupled with the counteraction between oil consumption and oil substitution industry,the linkage effect between the two is very weak.Therefore,this paper takes the stock market of oil-related industries as the research object,through theoretical analysis and empirical analysis to explore the impact of international oil prices on the stock market of various industries.