The Impact Of International Crude Oil Price Changes On China’s Stock Market

Crude oil is also called "black gold" because of its scarcity.It has both commodity and financial attributes.It is the lifeblood of modern economy and the country,and plays an important role in politics,military and other fields.By the first half of 2017,China’s crude oil imports had reached 8.55 million barrels per day,becoming the world’s largest crude oil importer,and its dependence on foreign crude oil has been increasing year by year.When international crude oil prices fluctuate,China’s economy will be impacted to a certain extent.Although China’s stock market is an emerging stock market,it has also played a crucial role in the overall economy as it matures.Therefore,under the influence of various factors,when the international crude oil price changes,China’s stock market will also be affected to a certain extent,which will bring opportunities and challenges to investors and policy makers in China’s stock market.However,under the influence of various internal and external events,the severity of international crude oil price fluctuations has increased,and unexpected events have increased,leading to increased uncertainty in the international crude oil market and stock market.In addition,due to the insufficient maturity of China’s crude oil market development,it is difficult to timely reflect the fluctuations in oil prices,making it difficult to derive a relatively stable relationship with China’s stock market.Based on the above background,studying the impact of international crude oil price fluctuations on China’s stock market has certain theoretical and practical significance.From the industry perspective,this paper uses DCC-GARCH model,quantile regression model and quantile to conduct an empirical study on the quantile on quantile approach model,and comprehensively explores the impact of international crude oil price fluctuations on the stock returns of 14 industries in China’s stock market through the time series perspective and the market state perspective.Based on the empirical results,it can be concluded that(1)from an overall perspective,the fluctuation of international crude oil prices will in most cases promote an increase in China’s stock returns.However,when the oil price drops significantly,it will have a negative impact on the stock market and have obvious tail correlation,hysteresis,and asymmetry.Among them,hysteresis is mainly reflected in industries other than manufacturing,real estate,and entertainment;(2)From an industry perspective,the degree of response and duration of the impact of international crude oil price fluctuations on the return rate of different industries vary.When affected by unexpected events,the changes in the impact of crude oil on different industries also vary.In terms of sensitivity,the financial industry,real estate industry,and transportation industry are more sensitive to changes in international oil prices.In terms of reaction duration,the IT industry,mining industry,accommodation,and catering industry have a longer reaction duration to changes in international oil prices.