Research On The Impact Of Crude Oil Price And Exchange Rate On Airline Stock Prices

China’s new crude oil futures were launched in 2018,China’s financial market is opening up faster,and the internationalizationof the yuan has steadily advanced.Crude oil prices and the exchange rate of the renminbi are the two factors that affect the operating performance of China’s airlines.The stock price is the company’s operating performance.In view of this background,this article studies and analyzes the impact of crude oil price fluctuations and changes in the RMB exchange rate on the stock prices of Chinese airlines.The article analyzes their effects from three aspects:mean spillover effects,volatility spillover effects,and dynamic correlation coefficients.Chinese crude oil futures market price fluctuations and international crude oil futures market price fluctuations have different impacts on airline stock prices.At the same time,a comparison and analysis of crude oil price fluctuations and changes in the exchange rate of RMB on China ’s airlines ’A-share and H-share prices are significantly different.First,this paper establishes a ternary VAR（1）model to empirically study the effect of price fluctuations in the crude oil futures market and changes in the RMB exchange rate on the average spillover effect of China’s airline stock prices.The study found that the RMB exchange rate changes have no significant mean spillover effect on airline stock prices,while crude oil futures market price fluctuations have significantly negative mean spillover effects on airline stock prices,and the average spillover effect of international crude oil futures market price fluctuations is stronger than The mean spillover effect of price fluctuations in China’s crude oil futures market,and its mean spillover effect on H-sharestock prices is stronger than the mean spillover effect on A-share stock prices.Secondly,this paper establishes a ternary VAR（1）-BEKK-GARCH（1,1）model to empirically study the volatility spillover effectsof crude oil futures market price fluctuations and changes in the RMB exchange rate on the stock prices of Chinese airlines.The research found that crude oil futures market price fluctuations and changes in the RMB exchange rate have significant spillover effects on both airline A-share prices and H-share stock prices;of which,China ’s crude oil futures market price fluctuations have strongerspillover effects.Finally,this paper establishes a ternary VAR（1）-DCC-GARCH（1,1）model to empirically study the dynamic correlation coefficients between airline stock prices,crude oil futures market prices,and RMB exchange rate.The study found that except for the direct correlation coefficients of airline A-share stock prices and international crude oil market prices,which have no significant time-varying characteristics,the other correlation coefficients have significant time-varying characteristics.And it is observed in the dynamic correlation coefficient graph that in June 2018 and the end of January 2020,the dynamic correlation coefficient fluctuated significantly.This may be related to the official start of the Sino-US trade war and the impact of a new coronavirus.Based on the above conclusions,this article makes several suggestions for airlines to avoid RMB exchange rate risk and crude oil price risk.On the one hand,airlines can improve the efficiencyof aviation kerosene use,develop green business concepts,appropriately reduce the size of US dollar liabilities,and develop domestic financing channels;On the other hand,a technical group specializing in hedging of financial derivatives can be established to carry out hedging business in light of possible fluctuations in crude oil prices or RMB exchange rates in combination with the development and operation of its own airlines.In addition,the research conclusions of this paper have certain policy significance for the development of China’s financial market.China’s crude oil futures market has developed rapidly,but there is still a gap compared with the international mature crude oil market influence.It is necessary to further develop and improve the Chinese crude oil futures market to make its price Reflect the supply and demand relationship of China ’s own crude oil;the pricing of China ’s A-share market is subject to more government intervention,and it is difficult to reflect the true market relationship.It is necessary to accelerate the process of A-share marketization and internationalization so that it can truly function a“barometer”;Maintain a reasonable two-way fluctuation of the RMBexchange rate and steadily advance the internationalization ofthe RMB.