| Energy is the material basis of human survival and economic development,is the material guarantee of global economic growth and social progress,and crude oil is an important energy,known as the "blood" of industrial development,plays a vital role in economic development and stability.In recent years,with the advancement of industrialization and urbanization in China,the demand for energy has been increasing,and China is also increasing its dependence on the international crude oil market.Therefore,the potential impact of the change of oil price on China can not be ignored.The stock market is a barometer of the economic trend of a country.It is a symbol of the overall operation of the macro-economy,and it also reflects the dynamic change of a country’s energy market,and the change of international oil price can affect the stock price through a variety of ways.Based on the theoretical analysis and the increasing relationship between the oil price and the macroeconomic and financial markets in recent years,there have been a large number of studies on the relationship between the impact of oil price and the overall stock market.Therefore,it is necessary to explore the influence of the fluctuation of international oil price on the stock index yield of China’s energy industry and its related industries.It is of theoretical and practical significance to promote the development of energy and the development of alternative energy in China.Based on previous studies,this paper analyzes the relationship between the fluctuation of international crude oil prices and China’s stock market.In the theoretical analysis,the influence factors of international oil price fluctuation are analyzed from the supply and demand,macro-economy,geopolitical factors and the development of alternative energy.Then based on the inflation theory,regulation cost theory and substitution effect theory,and the theory of portfolio theory and noise trading theory based on the financial market path,the theory of the influence of international crude oil price fluctuation to stock market is analyzed.It also analyzes the transmission mechanism of the impact of international oil price fluctuations on the stock index returns of energy and related industries.In the empirical analysis,based on the previous theoretical basis,this paper selects the logarithmic change rate of WTI futures price as the index of international oil price fluctuation,the Shanghai and Shenzhen 300 index return as the index of the market index return and the yield of the Chinese energy industry stock market index.In the selection of energy related industries,this paper mainly considers the power,coal,oil and gas,and the new energy industry.Through the construction of the semiparametric measurement model,the influence of the change of international oil price on the stock index income of China’s energy industry and its related industries is explored,and the GARCH(1,1)model is constructed.Type to verify and compare.The results show that:(1)The sensitivity and effect of the yield of energy industry and its related industries to the change of crude oil price are different.The change in the price of crude oil has a significant positive effect on the energy industry,the coal industry,the oil and gas industry and the new energy industry,and this positive effect is a positive effect in the fluctuation,that is,a dynamic and positive correlation.However,the positive effect of the electricity industry’s yield on crude oil price change is not obvious,but on the whole,it shows a negative effect.(2)The fluctuation of the price of crude oil has asymmetries to the income of China’s energy industry and its related industries.The result of asymmetry shows that there is almost no asymmetry effect in the small range of international oil price fluctuation on the stock returns of the industry studied in this paper.(3)There is likely to be a fat tail in the earnings of the energy industry and related industries,which is consistent with the results of descriptive statistical analysis.This proves that it is inaccurate to assume that the return of financial assets conforms to the normal distribution in many traditional financial theory models,current theoretical studies and even practical applications,which shows that the return of financial assets has an obvious "peak and heavy tail" effect.On the other hand,the non-parametric and semi-parametric method is superior to other methods in the study of this paper.In summary,based on the above qualitative analysis and empirical research,this paper puts forward some suggestions:1.Investors should take the price of crude oil and its changes as a factor affecting the earnings of the stock market,especially when the investment portfolio is involved in the energy related industries.2.For policymakers,we should establish a perfect energy futures market,gradually release the pricing mechanism of energy prices,establish and improve the domestic energy reserve system,and vigorously support energy development and energy conservation strategy.3.For stock market researchers,we should carry out research on various aspects of energy and stock market,and make some contributions to China’s energy development.Finally,the innovations of this paper are as follows:(1)At the energy industry level,the impact of international oil price fluctuations is studied in detail,rather than the overall stock market as the research object.(2)The semi-parametric econometric model is chosen in this paper.It does not need to set the specific form of the model to be estimated beforehand.It requires very little prior information.The calculation results are entirely driven by sample data,and it is suitable for the complex and changeable financial market.(3)This article selects the latest data information,discarded the monthly data which may block some useful market information,and the data which may contain too much "market noise" daily data,and selected weekly data. |
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