Study On The Relationship Of Oil Price Shocks And The Stock Return Of Oil Industry

Since the 20 th century,oil replaced coal and become the first energy.In our country,since the reform and openness,with the continuous development of economy,the demand for oil is growing fast.In recent 10 years,China's oil demand increase from 270 million tons in 2005 to 540 million tons.Not in quantity,but also in oil dependence,the changes are dramatic.China's dependence on foreign oil is above 60% and it will be 67% during 13 th Five Year.Since 2014 oil price has fallen for months,and the price was around the $30-$60 price levels.It even fell below $40 in 2016.All of these indications made oil industries panic.China,the second oil consumer and the first oil importer,is influenced a lot by oil price shock.By reviewing the related literature and summarizing the literature on oil price shock,I found that the oil price shock has an effect on macro-economy,industry development,exchange rate and stock.In the existing literature,most scholars agreed that the oil price shock have negative impact on economy development and exchange rate,but there are many disputes on how oil price shocks affect stock market.Because the oil-intensive is different in different industries and the development level of stock market is different in different countries,we cannot draw the same conclusion.The domestic literatures on oil price shock and stock market appeared only in the past two years.Because there are many differences in the listed company scale,equity structure,profitability,profit distribution and stock price,stock index between China and international stock market,the research results of world can't apply in our country.Based on existing literatures on oil prices and domestic stock market,the paper used research approach,industry classifications and model in foreign literatures.I finally used the Granger causality test,co-integration test,VAR,IRF and VEC to do the research on oil price and stock market.I also used Brent crude oil price and industry stock return as the model data.I also divided industry into upstream of the petroleum industry and downstream by using Wind four-grade industry classification,and it is the main difference from existing papers.In addition,the article boldly used Copula to analyze the correlation between oil price and oil stock market.It provides a new method for the future study on this field.The article focuses on the relationship between oil prices and stock return on petroleum industry.Firstly,it introduced the trend of current international oil price fluctuation and the development situation of China's stock market on oil industry;Then,the article summed up the related literature in five respects-oil prices and the macro economy,oil prices and currency exchange rates,oil prices and stock market,oil prices and petroleum industry and the literature about the application of Copula in financial sector;The third part introduces the data resource,data screening and data processing.Also it explained the model in article;The fourth part,plugging those data into models,we can do the empirical analysis and draw some conclusion;The fifth part on foundation of the Vector Auto-regression model,Granger test and Impulse Response Function,we put the data into the models and make the empirical analysis;In the sixth part,we introduced the Copulas to make the correlation analysis between oil price and oil industry stock returns.By the AIC rule,we find the best Copula model;Finally,there are some policy recommendations proposed for petroleum industry transforms in 13 th Five Year.