Study Of Chinese Industry Stock Index Returns On The Mpact Of Changes In International OIL Futures Prices

Volatility in international oil prices has attracted wide attention of scholars at home and abroad in recent years. Domestic scholars mainly focus on the impact of international oil price volatility on Chinese macro-economy and its transmission mechanism, only a few studies about the impact of the international crude oil fu-tures price changes on the Chinese stock market. This paper focus on the study of Chinese industry stock index returns on the impact of changes in international oil futures prices with the data from2009to2013and ARMA-EGARCH-M model,which is lack in this field for this period at present.The study shows that for industries which consume energy and take petrol products as raw material, or industries whose demand elasticity of product and ser-vice is affected majorly by energy price, rising world oil prices is a bad news, and has a negative influence on industrial stock price indices; although knowledge concen-trated industry like information service and electron industry are not ener-gy-intensive, and the material of their products and service is not crude oil, the im-pact these industries received from oil price fluctuation is much more than empirical analysis, which illustrates that the sensibility of demand can also be one of the fac- tors affects industrial stock price indices reflecting volatile world oil prices.Considering that international oil prices fluctuation has influences on yield rate of stock index of all industries in our country, we suggest that accelerate the estab-lishing and completing of our system of petroleum reserve especially commercial oil reserve system, establish and complete the domestic oil futures market and oil fu-tures trading mechanism by which listed companies can hedge and lock in profits and intensify the research toward international oil futures market, guide domestic oil producting enterprises, resellers and important customers to participate in inter-national oil futures trade, thus strengthening our pricing ability in the world crude oil market and the ability to resistthe shock of world oil prices fluctuation.