Empirical Analysis of the Impact of International Crude Oil Price Fluctuation on China's Stock Market

Yicheng Chen

Abstract


The price of oil, known as "black gold", has always attracted the attention of countries around the world. It is already a consensus that international oil prices affect economic operations, and naturally will affect the stock market which is regarded as a barometer of economic operations. The purpose of writing this article is to reveal the impact of international crude oil price fluctuations on China's stock market. In order to solve this problem, the author of this paper selected two sets of time series of Brent crude oil spot price and Shanghai Stock Index, and used Eviews software to perform various econometric tests such as cointegration test, Granger causality test, impulse response function, and decomposition of variance. It is found that there is a long-term stable cointegration relationship between the international oil price and the Shanghai Stock Index, and that the international oil price is the Granger cause of the Shanghai Stock Index. Furthermore, the former has a positive dynamic impact on the latter as a whole. It reached its maximum by the middle of the third month, and then slowly decreased to stabilize. Compared with the results of other similar studies, this article draws more accurate conclusions thanks to the latest, more realistic data without much artificial processing. The conclusions of this paper can help stock investors and economic decision makers to make more effective decisions.

Keywords


international oil prices, the Shanghai composite index, VAR model


DOI
10.12783/dtetr/mcaee2020/35092

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