The Empirical Study on the Dynamic Relationship among Brent Oil Price, CSI 300 Stock-index Futures and Shenzhen Stock Market

서지정보

· 발행기관 : 아시아.유럽미래학회
· 수록지 정보 : 유라시아연구 / 10권 / 1호 / 131 ~ 145페이지
· 저자명 : 진용연, 임병진

초록

Because of the oil prices boom in the recent years, a lot of interest in the relationship between oil prices, stock index futures, financial markets and the economy has been generated. There has been a good deal of literature of theoretical and empirical studies drawing attention on oil prices and stocks markets relationship.
The objective of this paper is to discover if there exists a relationship among oil price, stock-index futures and stock markets. For this objective, we investigate empirically the time-varying dynamic relationship among Shenzhen composite index, CSI 300 stock-index futures and Brent oil price. The dataset consists of daily Shenzhen composite index, CSI 300 futures and Brent oil prices during from April 16, 2010 to August 31, 2011 covering 332 trading days. And we utilize unit root test, co-integration test and Granger causality model based on VAR and Johansen co-integration test.
In this paper, the stationarity of the data series were checked employing ADF and PP tests, showing that the level variables are non-stationary but the differentiated data are stationary. And then we tested for the existence of co-integration, revealing the existence of cointegrating vectors among test variables. Moreover, the empirical results of these three variables are as follows:First, the short-term forecasting of the returns of current or future Shenzhen stocks CSI 300 futures cannot be improved by the movement of CSI 300 futures and vice verse.
Second, the knowledge of recent Shenzhen stock index data has an effect on the short run forecasts of Brent oil prices, but the recent Brent oil price data does not increase or decrease the returns of Shenzhen stock.
Third, the recent CSI 300 futures data leads the changes of Brent oil price but the recent Brent oil price data does not improve the current or future forecasting of CSI 300 futures As a consequence, both Shenzhen stock index and CSI 300 futures affect Brent oil price and the influence from Shenzhen stock index to Brent oil price is stronger than that from CSI 300 futures to Brent oil price.

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