石油价格冲击与中国股票市场-oil price shock and chinas stock market.docxVIP

ABSTRACTAsanimportantenergyandrawmaterial,oilisknownas“industrialblood”,andit’stheindispensablepartofindustrialeconomicsdevelopmentofthemodernsociety.Beingapartofthesecuritiesmarket,ChinesestockmarketplaysanirreplaceableroleinChina’seconomicdevelopmentandsocialstability.NowthemarketcapitalizationinChinaisacceleratingitspace,knownasabarometeroftheeconomy,thestockmarketismuchmorecloselyrelatedwiththedevelopmentofthenationaleconomy.Accordingtoselectinginternationaloilprice,domesticoilprice,HSBCindex,BDIindex,180-dayTreasurybillsrateandWindindustryindexesastheresearchvariablesintheperiodofJanuary,2002toOctober,2009andestablishingaStructuralVectorAutoregressivemodelwithsixvariables,thispaperconductedtheeffectsofinternationalanddomesticoilprices’shockstothedifferentindustries’stockindicesinChinesestockmarketbyanalyzingtheimpulseresponsesandvariancedecompositions.Weadoptedweeklydatatobemuchmoreaccordingwiththechangeofthecapitalmarketintheshort-term.Inthemeanwhile,weselectedHSBCindextoinsteadoftheCPIvariableasameasureofChina’sinflation,becauseofitsnaturebeingwithmuchbetterpredictability.Theempiricalresultsshowedthatoilpricefluctuationsandtheindustries’indexfluctuationsinChinesestockmarkethavelong-termcointegrationrelationship.Thatisthevolatilityofoilpricewillimpactthestockmarket.Accordingtotheresultsofimpulseresponsegraphsshows,domesticoilpriceshockscanmakemoreindustriestogiveoutthesignificantresponsesthaninternationaloilpriceshocks.What’smore,theimpactswhichdomesticoilpriceshockshaveontheenergysector,materialsector,industrialsector,dailyconsumptionsectorandutilitiessectorofChinesestockmarketinshorttermaresensitiveandstrong,aswellastheresponsesarepositive.Keywords:oilprice;industryclassificationindex;SVARmodel;impulseresponse目录摘要IABSTRACTII目录III第1章绪论11.1研究背景与研究意义11.1.1研究背景11.1.2研究意义21.2研究方法与创新说明41.2.1研究方法41.2.2创新说明41.3研究思路与文章框架51.3.1研究思路51.3.2文章框架5第2章文献综述82.1国外文献综述82.1.1石油价格与经济关联性文献回顾82.1.2石油价格与股票市场关联性文献回顾102.1.3石油价格与股票市场不同行业投资收益的相关性122.2国内文献综述14第3章研究方法的介绍及运用173.1时间序列平稳性检验1