Abstract
The paper takes the data from 1996:1 to 2009:12 as the research sample to deeply investigate the linkages between the oil price and China stock market. Empirical results show that there exists long term cointegration between oil price and China stock market. In the meanwhile, with economic situation changing and time passing, the correlation between oil price and China stock market changes at different periods. The impact of oil price on China stock market mainly concentrates in short-term. According to the oil price fluctuations, policy makers and financial investors can avoid the financial risks in China stock market which are caused by the fluctuations of oil price by adjusting portfolios timely.
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