An Empirical Study Of Oil Price Information On Chinese Stock Market

Based on the development of modern society,oil has surpassed the scope of ordinary commodities.Oil becomes an important element that cannot be ignored in macroeconomic research.China is the world’s second largest economy and the world’s largest importer of crude oil.In recent years,its dependence on foreign oil has increased.However,China has no pricing power in the crude oil market.International oil price has a strong impact on Chinese economic development and financial security.The stock market is the weathervane of the national economy.The short-term and long-term impact of international oil price on the macro economy is transmitted to the stock market.Scholars pay more attention to the relationship between oil price and macroeconomic.Less attention is paid to the relationship between oil price information and stock market.The conclusions of the study are still controversial.It is of theoretical and practical significance to study the influence and prediction of oil price information on Chinese stock market.Firstly,based on the long-term and short-term asymmetric perspective,this paper uses the NARDL model to conduct an empirical study on the relationship between international oil price and Chinese stock market..The impact of international oil price on Chinese stock returns is asymmetric.The long-term and short-term impact is heterogeneous.Specifically,in the long run,the rate of change in international oil price has negative impact on stock return;in the short term,the rate of change in international oil price has positive impact on stock return.The impact of positive and negative changes in international oil price information on stock market is asymmetric.A fall in international oil price has a greater impact on stock returns than an increase.In addition,the mechanism test shows that the inflation rate is an important channel for oil price to affect stock return.Then,This paper predicts Chinese stock price with the oil price from nonlinear perspective.The LSTM model has great advantages in mining the long-term and short-term relationships of time series data.Compared with various machine learning models,the LSTM model has higher prediction accuracy.This paper optimizes the LSTM model and applies it to the research on the prediction of oil price on Chinese stock market.Oil price is better than technical indicators.This paper confirms that oil price has excellent performance in both prediction accuracy and stability.Based on the mean-variance securities portfolio theory,this paper uses the forecast results of the stock price to construct investment strategies,and verifies the actual economic value of oil price.