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Analysis of the impact of crude oil price fluctuations on China’s stock market in different periods—Based on time series network model

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  • An, Yang
  • Sun, Mei
  • Gao, Cuixia
  • Han, Dun
  • Li, Xiuming

Abstract

This paper studies the influence of Brent oil price fluctuations on the stock prices of China’s two distinct blocks, namely, the petrochemical block and the electric equipment and new energy block, applying the Shannon entropy of information theory. The co-movement trend of crude oil price and stock prices is divided into different fluctuation patterns with the coarse-graining method. Then, the bivariate time series network model is established for the two blocks stock in five different periods. By joint analysis of the network-oriented metrics, the key modes and underlying evolutionary mechanisms were identified. The results show that the both networks have different fluctuation characteristics in different periods. Their co-movement patterns are clustered in some key modes and conversion intermediaries. The study not only reveals the lag effect of crude oil price fluctuations on the stock in Chinese industry blocks but also verifies the necessity of research on special periods, and suggests that the government should use different energy policies to stabilize market volatility in different periods. A new way is provided to study the unidirectional influence between multiple variables or complex time series.

Suggested Citation

  • An, Yang & Sun, Mei & Gao, Cuixia & Han, Dun & Li, Xiuming, 2018. "Analysis of the impact of crude oil price fluctuations on China’s stock market in different periods—Based on time series network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 1016-1031.
    • Handle: RePEc:eee:phsmap:v:492:y:2018:i:c:p:1016-1031
    DOI: 10.1016/j.physa.2017.11.032
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    Citations

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    Cited by:

    1. Yu, Xuan & Shi, Suixiang & Xu, Lingyu & Yu, Jie & Liu, Yaya, 2020. "Analyzing dynamic association of multivariate time series based on method of directed limited penetrable visibility graph," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    2. Zhang, Tianding & Zeng, Song, 2023. "Dynamic comovement and extreme risk spillovers between international crude oil and China's non-ferrous metal futures market," Resources Policy, Elsevier, vol. 80(C).
    3. Kirkulak-Uludag, Berna & Safarzadeh, Omid, 2021. "Exploring shock and volatility transmission between oil and Chinese industrial raw materials," Resources Policy, Elsevier, vol. 70(C).
    4. Zhang, Weiping & Zhuang, Xintian, 2019. "The stability of Chinese stock network and its mechanism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 515(C), pages 748-761.
    5. Huang, Jionghao & Li, Ziruo & Xia, Xiaohua, 2021. "Network diffusion of international oil volatility risk in China's stock market: Quantile interconnectedness modelling and shock decomposition analysis," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1-39.
    6. Salem Alshihab & Nayef AlShammari, 2020. "Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(6), pages 1-9, December.
    7. Li, Panpan & Dong, Zhiliang, 2020. "Time-varying network analysis of fluctuations between crude oil and Chinese and U.S. gold prices in different periods," Resources Policy, Elsevier, vol. 68(C).
    8. Zhou, Yang & Xie, Chi & Wang, Gang-Jin & Zhu, You & Uddin, Gazi Salah, 2023. "Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning," Research in International Business and Finance, Elsevier, vol. 64(C).
    9. Xi, Zenglei & Yu, Jinxiu & Sun, Qingru & Zhao, Wenqi & Wang, He & Zhang, Shuo, 2023. "Measuring the multi-scale price transmission effects from crude oil to energy stocks: A cascaded view," International Review of Financial Analysis, Elsevier, vol. 90(C).
    10. Wang, Kai-Hua & Su, Chi-Wei & Xiao, Yidong & Liu, Lu, 2022. "Is the oil price a barometer of China's automobile market? From a wavelet-based quantile-on-quantile regression perspective," Energy, Elsevier, vol. 240(C).
    11. Zhou, Jie & Sun, Mei & Han, Dun & Gao, Cuixia, 2021. "Analysis of oil price fluctuation under the influence of crude oil stocks and US dollar index — Based on time series network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
    12. Jingjian, Si & Xiangyun, Gao & Jinsheng, Zhou & Anjian, Wang & Xiaotian, Sun & Yiran, Zhao & Hongyu, Wei, 2023. "The impact of oil price shocks on energy stocks from the perspective of investor attention," Energy, Elsevier, vol. 278(PB).

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