Multi-Heterogeneity Impacts of International Oil Price Shocks on Chinese Stock Market: An Empirical Study Based on TSVAR model

Using the threshold structural VAR model, this paper examines the multiheterogeneity impacts of international oil price shocks on Chinese stock market in the background of financialization. The research finds: (1) the effects of oil price shocks on stock returns are different across sectors and the responses of stock returns are larger in bear markets. The nonlinear effects of oil supply shocks and aggregate demand shocks are larger than that of precautionary demand shocks and financial speculation shocks. At the sector level, energy, industry and discretionary consumption have the most significant differences between regimedependent responses. (2) In addition, oil price shocks also affect the probability of stock market switching between bull and bear regimes. Particularly, aggregate demand shocks and precautionary demand shocks exhibit the largest effects on the bull-bear regime shifts. (3) The bull-bear regime switching behavior is an important nonlinear propagator of oil shocks. Although its direct effects are limited, oil market financialization significantly affects regime shifts of some sectors.