Research On The Impact Of International Oil Price On China’s New Energy Stock Price

In recent years,the proportion of new energy in China’s consumption structure is increasing.Due to the linkage of substitution relationship and other factors,the development of new energy industry is closely related to the price fluctuation of traditional fossil energy.Oil is the most representative energy in fossil energy and dominates in traditional energy consumption.The stock market is a special investment market and a barometer of macro economy.The change of oil price will have an impact on the stock market as well as the real economy.China is actively studying and developing new energy.Investors under the rational human hypothesis are motivated to invest in the new energy industry to maximize their interests,so they pay special attention to the operating conditions of new energy enterprises and the change of crude oil price,which is the competitive object of new energy.Therefore,the discussion of the risk transmission mechanism of international oil price fluctuations on China’s new energy stock market is conducive to the use of effective investment means and policies for China’s new energy investors and the development of new energy industry to put forward the corresponding risk aversion suggestions.Based on the profound impact of the violent fluctuations of international oil price on the global economy in recent years,this paper takes the rapid development of new energy industry in China as the entry point and adopts the multivariate GARCH model on the basis of the establishment of VAR model from the perspectives of spillover effect and dynamic correlation.It includes BEKK-GARCH model(spillover effect)and DCC-GARCH model(dynamic correlation)for empirical analysis to explore the impact of international oil prices on China’s new energy index.Finally,our empirical research results show that: in general,international oil prices have one-way mean spillover effect and volatility spillover effect on China’s new energy index,and the new energy index is sensitive to the change of international oil prices,and the change of the price of the latter will cause significant fluctuation of the price of the former.On the contrary,international oil prices are largely unaffected by changes in the yield of China’s new energy index.The dynamic correlation of logarithmic return rate between international oil price and China’s new energy stock index varies with time and shows a trend of fluctuation.Especially in the early stage of the COVID-19 outbreak,the dynamic correlation coefficient fluctuated frequently and showed extreme values within the sample range.The dynamic correlation between solar energy index and WTI is significantly greater than the other three new energy indexes.Moreover,we found that the dynamic correlation coefficients of the four sequences fluctuated sharply and reached the maximum value during the period from January to June 2020 at the beginning of the COVID-19 outbreak.