The Impact Of Stock Price Behavior On Oil Price

Crude oil is the most important strategic material for nation.Not only country can implement the marcoeconomic policy effectively,but individual company can manage its profit and cost when the oil price is predictable.In literature,we always use historical data of the oil prices(spot or futures)only to construct the prediction model.Our study just work on this phase,introduce the macro variables,like stock indexes,into the VAR model and apply quantile regession method to test the relationship between stocks marke behavior and oil prices under investor heterogeneous.Even there does not exist the casualty relation between them,but the empirical results show that stock index in the previous period has negative impact on oil price in the current period and this impact is main reason for prediction error.Second,for any measure period,any oil price,annual high or historical high,all estimate coefficeints turn from positive in low quantil to negative in high quantile.It means that,the high(low)quantile can reflect the optimistic(pessimistic)extreme belief of the investors When the oil return in high(low)quantile,that is,the market sentiment is high(low),then active(non active)investment transactions are prone to overreaction(underreaction),so prices are reversed(momentum).