The Impact of International Crude Oil Futures Price Fluctuation on China's Stock Price in the Pre-pandemic Era – Taking Nine Industries as Examples

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Sze Ting Chen, Kai Yin Allison Haga, Yixin Zhang, Jiazhi Cong

Abstract

Purpose – The purpose of this paper is to propose a new vision.The use of appropriate models to measure the impact of changes in international crude oil on China’s stock prices can not only help the market respond quickly and avoid volatility risks, but also improve the sustainable development of China’s entire energy production. Furthermore, China's Industrial Share Price Index FuturesYield can provide guidance for investors' investment direction.


Methodology – This article conducts ADF stability tests, cointegration tests, and Granger causality tests on variables, and uses VAR and GARCH models to analyze the volatility spillover effects of international crude oil price fluctuations on China's stock market and industry returns.


Findings – The results indicate that the rate of return of crude oil futures will directly affect the rate of return of the entire stock market, and changes in crude oil futures prices will also affect the rate of return of other basic industries.


Originality/value – First,to the best of our knowledge, this research uses the industry stock index to test its own relationship with crude oil prices. Second, understandingthe impact of international oil price fluctuations on the stocks of various Chinese industries is helpful to remind investors to pay attention to the performance of those industries and the trend of international oil price fluctuations so that they may be able to invest appropriately, as well as to allow the listed companies to strengthen arbitrage hedging and the locking in of profits.Third, this research enhances our knowledgeof the asymmetric impact of international oil price fluctuations on the Chinese stock market.

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