Relationship analysis between international crude oil futures and China's A&B share markets based on Systems Engineering

Abstract

In the context of economic integration, as a large international commodity and one of the most important energy, oil price volatilities influence many countries’ economies in many ways, which cannot be underestimated. With the deepening of China's open, the dependence on crude oil is increasing. Using a vector autoregressive model (VAR) because of systems engineering theory, this paper tries to study the impacts that international crude oil futures’ volatilities have on China's stock markets and the exact degree. The results show China's A-share and B-share markets only receive the impacts of international crude oil futures unilaterally, and cannot react on the international crude oil futures. Furthermore, the impacts of international crude oil futures’ volatilities on A-share and B-share markets are in the same directions, but at the different degrees.