THE INFLUENCE OF OIL PRICE SHOCK ON THE CANADIAN STOCK MARKET

This paper conducts an empirical study on the influence of international oil price volatility on the Canadian stock market. Additionally, it addresses the influences of oil price shock vary among stocks in different sectors and stocks with different size of the market value. By using the SVAR model, we conduct model stationary test, lag period selection, impulse response analysis to give the empirical results. We conclude from the results that oil price shock has a positive impact on the overall stock market in Canada. Moreover, we find that the influence of oil price shock has the similar pattern on both stocks with large market value and small market value, but stocks with small market value are more responsive to the oil price shock. We also find the oil price shock had a major influence in the stock price on the energy sector in Canada, but the influence only lasted for one month according to our study. There was a non-negligible effect on the stock price in material sectors, and the influence lasted for four months. For other sectors, we do not find great influences.