A Study On The Return Comovement Relationship Of The Oil Industry Stock And Oil Futures

As the promotion of the position of the oil in a country's economic system, the change of oil price has been affecting the nerves of the Chinese government and the relative enterprises. At the same time, the interaction relationship between stock markets, especially the stock prices of the listed companies in oil industry and the oil prices has been increasing. Under this bakcground, this paper analyzes the characteristic and mechanism of the interaction between the listed companies'stock price of oil industry and the price of oil futures. The research is helpful for understanding the law of financial market, and it is also valuable for enterprise operation, investment management and market supervision.Firstly, this paper defines the concept of return comovement on the basis of relative literatures. Secondly, the linkage mechanism between the listed companies' stock return of oil industry and the oil futures return is analyzed from five aspects. These five aspects are the influence mechanism of the macro economic variables, the influence mechanism of the oil spot price, the mechanism of the psychology anticipation, the connecting mechanism between capital market and international financial market and the information spillover effect. Thirdly, the static estimation of retrun comovement is made to analyze the linkage between the listed companies'stock return of oil industry and the oil futures return by using econometric models, and the characteristics of the market linkage are acquired. Fourthly, the dynamic estimation is made to analyze the comovement between the listed companies'stock return of oil industry and the oil futures return by using DCC-GARCH model. The characteristic of the linkage changing with time is attained. Finally, based on the theoretical and empirical research conclusion, the related policy suggestions of market supervision and risk management are proposed.Judging from the result of the static estimation of the return comovement, both Shanghai futures market and U.S. crude oil futures market affect the change of the stock price of oil industry, but the influence of U.S. crude oil futures market is larger. Before the subprime mortgage crisis, the futures price changes leading stock price changes a month. From the result of the dynamic estimation of the return linkage, the dynamic correlation coefficient between the oil futures price and oil stocks return almost fluctuates from 0.1 to 0.4. Besides, the correlation coefficient has the tendency of increasing gradually. This reflects that the comovement among different financial markets gradually deepened.