A Study On The Relationship Between Crude Oil Prices,PTA Market And Stock Prices Of Listed Companies In Chemical Fiber Industry

The petrochemical industry plays an important role in the development of the national economy.Starting from the chemical fiber industry,this article focuses on the “Crude oil-PTA-Polyester” industrial chain.Based on the dynamic correlations,I analyzed the transmission of internal price shocks in the industrial chain from the raw material end to the supply end,explored the mechanism of financial status on the ability of listed companies in the polyester industry to resist external shocks,and proposed feasible option strategies for polyester manufacturers,providing inspirations for correlation research on industrial chain.First I use the EMD method to decompose the stock returns of listed polyester companies and extract shortterm market volatility.Then I apply ICSS algorithm to detect the structural breaks.The results show that the structural breaks of the volatility of crude oil futures,PTA futures and the stock price index of polyester industry did not coincide well.9 structural break points approximately overlap each other,and no structural break points of the three approximately overlap at the same time.External events caused the structural breaks and the mechanism is relatively independent.The estimation results of the DCC-GARCH model show that the listed polyester companies with good financial status have stronger ability to withstand price shocks from upstream industries such as crude oil and PTA,since their stock returns have low dynamic correlations with the return of the crude oil and PTA futures.Afterwards,I established a VAR model and carried out Granger causality test to discover the supply shock in the “Crude oil-PTA-Polyester” industrial chain.The results show that the supply shock of crude oil has direct impacts on the PTA market and the PET industry simultaneously,while the supply shock from the PTA market to the PET industry is relatively weak.In other words,the "Crude oil-PTA" path is relatively clear,and there is a "Crude oil-PET" path,while "PTA-PET" path is quite vague.In terms of the time of impact,the logarithmic return of the crude oil is most correlated with that of the PTA futures lagging one period and the current stock price of the PET industry;the logarithmic return of the PTA futures is most correlated with that of the current stock price of the PET industry.Finally a DCC-GARCH model is established based on the results of the EMD model to describe dynamic correlations.Nowadays,with the listing of ZCE’s PTA and short fiber futures along with PTA options,the polyester industry enjoys abundant risk management methods and a more complete risk management tool system.Polyester manufacturers can flexibly use futures strategies,namely buying PTA futures in the procurement process,and selling fiber futures in the sales process,to prevent the risk of PTA price rise and short fiber price decline.This helps polyester manufacturers to offset the profit and loss in the futures and spot markets,which will be effective in locking in profit.