Research On Asymmetric Impact Of Crude Oil Price Volatility On Chinese Stock Market

As a fundamental raw material in industrial production,crude oil still accounts for the highest proportion of global primary energy consumption.The impact of price uncertainty on the economy cannot be underestimated.China is now the world's second largest consumer of crude oil and the world's largest importer.At the same time,China's dependence on foreign crude oil shows an increasing trend year by year.Therefore,how to deal with the uncertainty of crude oil price can be said to have great strategic significance for our country.The RMB-denominated crude oil futures contract was listed on the Shanghai Futures Exchange on March 26,2018 and has become the world's third largest crude oil futures after WTI crude oil futures and Brent crude oil futures.Exploring the relationship between the fluctuation of crude oil price and the returns of China's stock market and analyzing the impact of the listing of Shanghai crude oil futures contribute theoretical value and practical significance to this field.In order to explore the asymmetric impact of crude oil price shocks on Chinese stock market returns and the impact of the listing of Shanghai crude oil futures on this relationship,this paper adopts the panel quantile regression method to explore the relationship between the volatility of oil prices measured by different indicators and the returns of Chinese stock market under different stock market environments.The empirical results show that the negative impact of increased oil price volatility is mainly concentrated in the low quantile range(represents the period of bearish market),that the impact of the easing of oil price fluctuations is mainly concentrated in the high quantile range(represents the period of bullish market),and that the impact of easing oil price fluctuations is lower than that of intensification of oil price fluctuations in magnitude.These aforementioned evidences reflect the asymmetric impact of oil price volatilities on the stock market.In addition,after the listing of Shanghai crude oil futures,the negative impact of the intensified oil price volatility on the stock market was hedged during the bearish market,generating a buffer effect to some extent and in turn effectively protecting the market.However,volatility measured by the Shanghai crude oil index has a very limited impact on the stock market and is concentrated in normal market conditions.The above conclusions indicate that the listing of Shanghai crude oil futures has cushioned the impact of international oil price volatility on Chinese stock market to some degree,but the volatility of Shanghai crude oil futures has limited substitution effect on Chinese stock market.This finding may be because the current trading volume of Shanghai crude oil futures is still limited,and cannot be compared with the international crude oil market.