원유시장 충격과 중국 증권시장 수익률 간의 관계 분석

This study is an extension of the relation between crude oil shocks and stock market returns initiated by Kilian and Park Cheol-Beom (2009). I focus on the Chinese characteristics by replacing the variables of the previous studies with Baltic Exchange Dirty Tanker Index, World Crude Steel Production, Dubai crude oil spot prices and Shanghai Stock Exchange’s composite index as the proxies for mutually independent structural shocks. This analysis has the following major results: a) Demand shocks are relatively more important in both crude oil and the Chinese stock markets than supply ones due to the structural change of world crude oil markets b) The oil reserve management has been successfully taken by adjusting to the change of supply and demand shocks from crude oil markets c) The increase of precautionary crude oil demand gives a negative impact on the Chinese stock returns, which can be regarded as one of the reasons for the lower performance of the Chinese stock markets than expected in spite of the Chinese rapid economic development. The limitation of this research are like these: a) The robustness check has not been performed because some alternative variables are not available in the form of monthly data b) Omitted variable problem can exist c) Other type of SVAR models can be considered by putting different restrictions. They can be easily solved if there are no obstacles in collecting adequate frequency of data in the future.