Research On The Linkage Between International Crude Oil Market And Chinese Stock Market

With the increasingly open financial market,the degree of integration of the international financial market has greatly increased.For investors in the stock market,they need to grasp the changing trend of the stock market through various phenomena in the market,especially to fully understand the factors affecting the stock return rate,so as to provide good guidance for the rational investment of investors.For energy companies,they are closely linked to the crude oil market.In view of this,this paper mainly discusses the linkage between China’s stock market and international crude oil market from the overall market level and industry level.Different from the previous literature,at the industry level,this paper focuses on the impact of international oil price shocks from different sources on China’s energy industry.The structural vector autoregressive model is used to distinguish the corresponding sources of oil price shocks that cause changes in international oil prices,thus dividing them into three categories: oil supply shocks,global economic aggregate demand shocks,and oil market specific demand shocks;Then,the historical decomposition method is used to obtain the cumulative effect of each impact;finally,the Copula model is used to explore the correlation between the oil price and the income of the energy industry.From the perspective of the overall market,for the Chinese stock market and the international crude oil market,establish a relevant Copula model to study the relationship between the two markets,and conclude that there is a positive correlation between the two markets,and when one of the markets soars or falls sharply,it will have a certain impact on the other market.From an industry perspective,for the Chinese energy industry and the international crude oil market,the results show that compared with the other two cumulative oil prices,the specific demand shocks of the crude oil market have a stronger risk spillover effect on stock market risk.Specifically,for the two types of impacts of oil supply and specific demand in the crude oil market,the income of the energy industry is positively correlated with the two,and negatively correlated with the global demand shock.In most cases,the correlation between the energy industry’s earnings and oil supply shocks and the global total demand shocks is symmetric.The cumulative demand for oil prices in the crude oil market tends to fall sharply at the same time.