The Impact Of Crude Oil Market On Chinese Stock Returns And Volatility

Since the industrial civilization,Oil have been the most important energy and chemical raw material,inextricably linked with various sectors of macroeconomic economic.Over the past decade the international crude oil price changes more frequently,and the dramatic changes in oil prices brought uncertainty to the entire oil market and macro economy of oil-importing countries and oil-exporting countries.For China's rising dependence on foreign oil,domestic oil prices gradually being close to the international crude oil prices and China's capital market booming in recent years,it is very meaningful to study the impact of international crude oil market on China's stock market and various sectors.This paper studies on the impact of international oil price changes on the China's stock market,especially in China stocks from different sectors of China.The related study is relatively scarce,esp.in depth and methods.In this paper,we are from the perspective of returns and volatility to study this problem.Based on economic assumptions,we split the international crude oil price shocks into supply,demand and other oil price shocks to build SVAR model with short-term constraints.Then we do the industry's impulse response analysis,and build a dynamic spillover index model to study how the impact of the international oil market on China's stock market changed over time.We hope that by studying the impact of international crude oil market on China's stock market,we can provide a basis for the investment strategy and put forward constructive ideas to China's oil price control policies.