An Anaiysis Of The International Oil Price Nuctuation Conductibility On Stock Markef In China

As the blood of the world industrial, oil occupies an important position in the national economy, which is unmatched by any other resource. Along with the rapid growth of economic and increasing people’s living standards, China demand for energy, especially the demand for oil is increasing, since the reform and opening up,but the growth rate of China’s oil production is limited,lead oil supply gap increasingly prominent. The oil has an important impact on national economic development, social and people’s living, this impact willcontinue to expand.According to the stock price of the dividend discount model, the stock price is the discounted value of the future net profits of enterprises.,which can be seen as a vane and barometer of the economy as a whole,therefore,the effect of interenational oil price stocks on economy will be reflected in the stock market. So, it is necessary to adopt appropriate econometric models and methods to analysis the impact of oil price volatility on stock returns.There are different relationships existed between oil industry and other industries. Depending on the three factors model proposed by Fama&French in1993, this paper, from the view of oil industry,analyses the effect of14industries stock earings and the view of oil industry, analyses the effect of14industries stock earnings and stock income condition fluctuationsresulted in the international oil revenue and oil income condition fluctuation between2008and2011in China, through partially qualitative research but quantitative-oriented research method. To describe the feature better that stock income fluctuation changes with time, GARCH(1,1) model is added based on the three factors model. In addition, China’s development and reform commission promulgates "The Oil Price Management Method (trial implementation)" which means Chinese crude oil prices is integrated with international oil prices gradually. Therefore, added to the structure variables in this article, to test whether there is a structural change in the impact of international oil prices on the stock market of various industries in China.In addition,we use the"half life" of volatility to measure the conditional volatility sustained impact on future variance. On the basis of quantitative analysis, investor should take advantage of the relationship between the fluctuations in oil prices and sectoral stock returns,and then make rational investment decisions.According to the result of empirical analysis, the international oil price has a significant influence on all sectoral stock returns in China (especially on oil related industries and substitute industries). After the reform of refined oil price mechanism, sectoral stock returns are affected either by international oil return and oil return volatility or both.Moreover, we found that return of the oil related industries and substitute industries are more likely to be affected by changes in the oil return itself, than those volatility of oil returns,while for the oil consumption industry is on the contrary. The conditional fluctuation of stock returns changes are time-varying, and oil shock has a long time effect on the conditional fluctuation of stock returns’future variance for most industries. In addition, studies found that three Fama-French factor model can be seen as a general statistic that affects the risk of stock returns.