| "Oil is the basis of modern economy and social development, and is the blood of modern industry". With the deepening of global industrialization process, as raw material and basic energy, oil has penetrated into the national economy and society completely, being the indispensable part of today’s society. In recent years, with the high pace of global economic development, the demand for oil also has raised sharply. In1989, the demand for oil is51.8million barrels per day, and in2010the data rise to almost90million barrels.China, as the main representatives of emerging economies, with the continuous improvement of industrialization level, the demand for oil also grows day by day; the data of demand for oil in2002by4.95million barrels per day rise rapidly in2011to nearly10million barrels per day. From2000to2009, our country’s average annual growth rate of energy consumption is as high as9.8%, while that of world is just2.6%. China accounted for10%of the world’s oil consumption in2009, being the second largest oil consumer, after the United States. In the energy supply, Chinese oil external dependence has been higher and higher since China became the net importer on oil in1993. Statistics show that, Chinese oil external dependence had been to54%, and the proportion could further expand in the future. At the same time, China reformed the oil price system to duality, and the domestic oil price kept up with the international oil price formally. Therefore, the rise of international oil price would directly raise the domestic production cost and living cost, and seriously affected the sustainable development of our country’s economy.Along with the rapid development of Chinese capital market, the stock market plays a more and more important role in national economy and social development. By the end of2010, the total market value of Shanghai and Shenzhen stock markets had been to26.54trillion yuan, ranking the second in the world; securitization rate had been70.8%, the amounting of financing in Chinese stock market in2010ranked the first in the world, securitization rate in our country will be further improved. Therefore, It is of great practical significance to research the relationship of international petroleum price and Chinese stock market, to both regulator to make relevant policies and investors to grasp the stock market.Due to the increasing importance of oil in national economy development and three oil crisis broke out in the20th century, the research to the oil price’s shock has been the focus of academic circle’s attention. However, these studies mainly focus on oil prices and macro-economic relevance, and for the relevance of oil price and stock market is less, and the use of model and the related theory analysis in these studies are not satisfied. At the same time, there are also a lot of controversies in academic circle about whether oil price shock could influent the stock market and this influence’s direction and degree and so on. Therefore, this paper introduced in Chinese interest rate, inflation rate, the Shanghai composite index, value added of industry and other endogenous variables, and research the relevance of international oil price and Chinese stock market though the empirical research.This paper first emphasizes the importance of oil in the national economy and social development, then discusses the factors caused three oil crisis in the20th century and the huge impact to the United States, Europe, Japan and other countries’ national economic and social development. In view of the importance of oil, each country is on the race for right to price international oil after the oil crisis, the most outstanding performance is the struggle between OPEC producers and world main oil consumers, such as Europe, America, Japan. However, with the constant expansion of world oil market share during the countries not belonging to OPEC producers and the establishment of the futures market, any party wouldn’t own the absolute control to international oil prices any longer, and multi-pole balances in international oil price pattern forms gradually. The game among oil market powers and the characteristics of oil futures financial derivatives made the international oil prices fluctuate unprecedentedly and severely in the1970sThen, the author briefly introduces the five major stock markets and three major futures market in current international oil market, and the important pole WTI and Brent crude oil futures contract plays in the process of international oil pricing. Paper points out that the current formula of international oil market pricing, P=A+D, among them, P for oil trading price, A for benchmark for price, D for rises, the discount. Because of the differences of oil taste and transport cost among each area, different trade area’s choice of benchmark oil is also different. Among them, North America choose WTI as the crude oil pricing benchmark, while Brent crude oil futures for European, Dubai crude oil benchmark for Middle East.Then, the paper divides the oil price trend during more than a century into three stages, namely early phase of high oil price, the era of steady and low oil price and era of sharp fluctuation; and then elaborates the development history of the international oil prices and the change of international oil pricing controlling right. Later, the author analyzes the factors caused the server fluctuation of international oil in the1970s from multi-dimension, and discovers the establishment of oil futures market, the game of interest groups and the redistribution of economic rent are all able to explain the sharp fluctuations of oil price well. At the same time, the author also reviews the development course of Chinese stock market, and expounds the volatility theory combined with the Chinese stock market.Through the analysis of civil and foreign research, found that, about relevance between international oil price and macro-economy, stock market kingdom, the majority of studies abroad basically had reached an agreement that they believe that the rise of international oil prices will cause significant negative impact on economic development. However, there are some scholars holding the view that oil prices fluctuation will not cause significant influence to the development of national economy. On one hand, they think that monetary policy changes should be more responsible for the economic recession, but not the oil price rise. On the other hand, the cost of oil in the national economy ratio decreased significantly, and the negative impact of oil price rise on macro-economy also significantly decreases. In China, most researchers mainly focused on relevance between oil price and macro-economy. And in the aspect of relevance between oil price and the stock market, domestic scholars are mainly from the direction of business group; still to judge the change of stock yield with the international oil price shocks in each business group.On the aspect of empirical study, I select monthly data from July in1996to December in2010as the sample, including the WTI price, short-term interest rates, the Shanghai Composite Index and the industrial added value these four endogenous variables, the samples totally to696. Next, we use the ADF test and PP test method to test the stationary of each variable’s time series and found that the oil price series, the sequence of stock prices, industrial output sequence, the risk-free interest rate sequences are non-stationary time series. But after an order of logarithmic differential, each variable’s rate of return and rate of change both are smooth process. Therefore, we first set up the VAR model with stock market’s rate of return, rate of change of oil prices, interest rates and the rate of change and the rate of change of the industrial added value.Then, the author uses a VAR model to analyze the dynamic relevance between oil prices and stock prices. According to the minimum information criterion, we choose the best lag4. According to the observation the VAR characteristic root, we found that the VAR model is stable, but further analysis by the VAR and found too many parameters and it is difficult to explain. Therefore, we continue to use the impulse response and variance decomposition to analyze, and reach the same conclusion that there is some independence between variables, but at the same time the variable is still conflicting and impact.Then, the author tests co-integration relationship between variables through the EG two-step method and Johansen test. The result of EG two-step shows that the there exists no co-integration relationship between variables, but due to the EG two-step method self s flaw, it is easy to mistakes in the result. But through the Johansen test, we found that there exist two co-integration relationships in the four non-stationary time series.Finally, on the basis of previous findings, the author established an vector error correction model with risk-free interest rates, oil prices, the industrial added value, the stock index, these four variables, the order of the model differential lag is4. The empirical results indicate that, the interest rates are mainly impacted by their own short-term change, but not oil price changes, changes in industrial added value or stock index. Meanwhile, it is same to oil prices, namely oil prices is mainly affected by the impact of their own changes, not the changes in interest rates, the industrial added value and the impact of changes in stock index. However, to the changes in the industrial added value, their first lag is significantly impacted not only by the oil price changes and changes in stock index, but also by their own changes. As for the stock price change most concerned about in this article, it is just significantly impacted by oil price change in the first lag, but not subjects to the influence of other variables, including itself. But in the second lag, the impact of its own change becomes significant while other variables’impact is not significant. Therefore, in a long term, there exists long-term balance relationship among interest rates, oil prices and the industrial added value and stock price. But as for short-term changes, oil prices impact stock price most significantly.This paper mainly has the following innovation points:(1) Research object. At present the study of oil price’s impact has focused on macro-economy area, while this paper studies systematically the shock international oil price’s fluctuation bringing to Chinese stock market returning rate from multiple perspectives.(2) Research methods. This paper set up a multi-factor model which includes WTI, interest rates, the Shanghai Composite index and industrial added value. VAR, impulse response functions and variance decomposition, Johansen co-integration test and VECM be used to make empirical research about the impact direction and extent of each variable. Find the impact of Chinese stock market to the international oil price shocks. |
PDF Full Text Request