| In recent years,international oil price has fluctuated frequently due to the imbalance of oil supply and demand plus international tensions after the financial crisis in 2018.The current studies indicate that the fluctuations of international oil prices have a certain influence on the stock market but scholars have not reached a consensus on the impact of oil prices on stock returns of energy industries.In this paper,the DCC-GARCH model is used to test the dynamics and specific influence degree between the international oil price and the stock returns of China’s listed oil companies and other stocks of energy-related industries.In this paper,WTI spot prices are used to measure the international oil prices,listed oil companies are divided into three categories referring to their mian bussiness: oil exploitation,oil processing and coking and oil products wholesale and the daily closing price data of CNI ELEC INDEX,CNI COAL INDEX and CNI NEW ENERGY INDEX are selected for other energy-related industries.Then the DCC-GARCH model is conducted respectively.The empirical results show that international oil price fluctuations have little impacts on stock returns of oil exploitation sector.The dynamic correlation is significant between oil prices fluctuations and stock returns of oil processing and coking sector and oil products wholesale sector and the impacts are significantly positive.There is no significant correlation between the international oil prices fluctuations and the stock returns of China’s listed companies of coal,electric power and new energy industries.Finally,this paper puts forward suggestions such as strengthening supervision to the government and making portfolio investment to investors based on the results of empirical analysis. |
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