Research On The Impact Of International Oil Price Fluctuation On Stock Index Returns Of China's Oil Related Industries

Oil is an essential resource for our production and life.With the rapid development of economy,China's dependence on international crude oil has been increasing,which means that the impact of international oil price fluctuation on China's oil-related industries has been expanding.However,the research on international oil price in the existing literature focuses on the impact of the fluctuation of international oil price on the macro-economy or the stock market as a whole,and less on a certain industry in the stock market,therefore,it is of great theoretical and practical significance to study the impact of international oil price fluctuation on stock index returns of China's oil-related industries.Based on the existing research,this paper divides the oil-related industries into the oil production industry,the oil substitution industry and the oil consumption industry,in order to study the impact of international oil price fluctuation on the oil-related industries.As for empirical research,this paper selects the logarithmic rate of change of WTI crude oil price as an indicator of the rate of change of international oil price,selecting the data of the first-order differential treatment of the daily closing price of the oil-related industry index in Shenyin Wanguo Industrial Classification as the stock index return rate of the oil-related industry,and from two angles of spillover effect and dynamic linkage,to explore the impact of international oil price fluctuation on stock index returns of China's oil-related industries.In terms of spillover effect,this paper constructs a vector auto-regression(VAR)model to explore the average spillover effect between international oil price volatility and stock index returns of China's oil-related industries.The results show that the impact of international oil price fluctuation on oil substitution industry is the most complicated and the longest;the impact of international oil price fluctuation on oil consumption industry is the shortest;The fluctuation of international oil price has a greater impact on the extractive services industry in the oil production industry.In order to study the volatility spillover effect between the volatility of international oil price and the stock index returns of oil-related industries,this paper constructs BEKK-GARCH model with the residual series of VAR model.The results show that there is volatility spillover effect between volatility series of international oil price and stock index returns of oil-related industries,the volatility of international oil price and stock index return of oil-related industries both have significant ARCH effect and GARCH effect,and the effect of GARCH effect is larger than ARCH effect.In the aspect of dynamic linkage,DCC-GARCH model is constructed by residual series of VAR model to explore the dynamic linkage between international oil price fluctuation and stock index returns in oil-related industries.The results show that the fluctuation range of the dynamic conditional correlation coefficient between the volatility of international oil price and the return of oil-related industry index increases,and appears the maximum and minimum value in recent years In addition to the oil extraction industry stock index returns,the transportation industry stock index returns and the building materials industry stock index returns,the dynamic conditional correlation coefficient between international oil price volatility and other industry stock index returns is stable in the range(0,0.2).Finally,according to the empirical results,this paper summarizes the full text,and from Policy makers,listed companies and investors of the three aspects of the relevant recommendations.