The Impact Of Oil Price Uncertainty On China's Stock Market

Crude oil,as a basic raw material and an important energy source for modern industry,plays a vital role in the development of the economy and financial markets.The study of the interaction between its price fluctuations and the stock market and the transmission mechanism has always been one of the important topics of risk prevention and financial supervision..As a developing country,my country's financial market system is at a stage of development and perfection,and market investors are not yet mature.Investors' decision-making will be more susceptible to uncertainties such as oil prices,making the stock market more uncertain.At the same time,China's role in the international oil market is becoming more and more important,and there are more and more studies on the relationship between the international crude oil market and the Chinese stock market.However,these studies mainly focus on the impact of oil prices.There are few researches on the impact of the stock market.This paper chooses the implied volatility of crude oil(OVX)to measure the uncertainty of international crude oil prices,and studies the impact of the uncertainty of oil prices on the Chinese stock market.The weekly data from January 2009 to January 2021 is selected as the research object.The main research ideas are as follows:This article first introduces the background and significance of the research on crude oil price uncertainty and stock market based on the implied volatility of crude oil,expounds the research content and methods,introduces the research ideas and framework and the innovations and shortcomings of this article;The domestic and foreign research literature on the relationship between the stock market introduces the relevant theories and transmission mechanisms of crude oil prices affecting the stock market;then introduces the construction of the research model;next is the empirical analysis part,using the WTI crude oil spot price change rate and crude oil implicit Including volatility to measure crude oil price shocks and crude oil price volatility shocks,respectively.The yields of the Shanghai Stock Exchange Composite Index and ten industry indexes are the research objects,combined with the time-varying parameter structural vector autoregressive(SV-TVP-)with random volatility.SVAR)model,which analyzes the time-varying characteristics of the contemporaneous relationship between variables and the time-varying influence of oil price uncertainty shocks at different lead times and different time points on China's stock market returns,and then tests the robustness of the empirical results;Finally,the conclusions of this article mainly include:(1)The shock of the rate of change of crude oil price has a positive impact on my country's stock returns,while the shock of the implied volatility of crude oil has a negative impact on my country's stock returns.The implied volatility of crude oil has a greater impact on stock returns than the rate of change in crude oil spot prices.The short-term effect of the implied volatility shock of crude oil is greater than the long-term effect.(2)When the market environment is not good,the stock market is extremely sensitive to oil price fluctuations,and when the market environment is good,it is not so sensitive to oil price fluctuations;in periods of unstable market conditions,the implied volatility of crude oil is more sensitive The impact of the rate of change on stock market returns is even more significant.(3)The uncertain changes in crude oil prices will have a significant negative impact on both energy-intensive and non-energy-intensive industries,indicating that the greater the uncertainty in the oil market,the lower the yield of Chinese stocks.(4)Increasing uncertainty in crude oil prices will cause a negative immediate,sustained and relatively large impulse response to stock market returns in the short,medium and long term.