Study On The Relationship Between International Oil Price And Industrial Group Stock Indices In Domestic Shenzhen Stock Market

As an important strategic resource, petroleum is not only an important energy supply, but also a necessary industrial raw material, which is widely used in industry, transportation and national defense, etc... so it is known as "black gold" and "industrial blood", and is closely related with economic development of nations all over the world. In recent years, with the rapid development of the economy in China, the degree of dependence on oil has grown year after year, and the rise of the international oil price caused by the sharp increase in demand seriously affected our economic development.As the development of capital markets and the acceleration of a process of internationalization in China, the stock market as an emerging market has been playing a more and more important role during our process of national economic development, and has been closely related with the Chinese economy. Wherein, this paper attempts to explore the relationship between the international oil price and china stock market, and mainly takes a look at 22 industrial group stock indices in domestic Shenzhen stock market and international oil future prices to do a research.In this paper, we firstly applied Granger-causality test to investigate the correlation of their returns. Then, GARCH and GJR-GARCH models which can fit the characteristics of financial assets are applied to explore the relationship of their volatilities, and which Shenzhen industrial group stock indices will be influenced by the oil price shocks are pursued. The samples are collected from July 2nd, 2001 to July 20th, 2007, totally 1389 daily datum. The empirical results concluded as follows:On the one hand, the changes of oil price returns affect the returns of domestic Extractive industrial stock index in one-way. That is the oil price returns is the granger causality of the extractive industrial stock index returns. On the other hand, the conclusion implies the oil price shocks will influence the timber industry, the paper industry, the pharmaceutical industry and the broadcasting industry these four stock indices in different extent. Moreover, the impact on the paper industry, the pharmaceutical industry and the broadcasting industry are more significant than that on the timber industry, and all are of negative correlation.