Empirical Study Of The Volatility And Linkage Among The Coal, Electricity And Cement Plate Of Shanghai And Shenzhen Stock

China is a coal-fired power country. The coal and electricity industry are closelyrelated and mutually dependent with the relationship of upstream industry and thedownstream industry. The differences of price system between coal and electricity notonly affect the long-term equilibrium of power supply, but also have differentperformances in the domestic capital market. Started from the related plates’ index ofShanghai and Shenzhen Stock Market, volatility and linkage of the return ratios of thecoal, electricity and cement plate are under study.Using the CSRC industry guidelines as the reference, the return ratios of the coal,electricity and cement plate of the Shanghai and Shenzhen Stock are compiled toindicate their performances in the A stock market, and the fluctuation of the volatilityof the coal, electricity and cement plate stock index return since December15,2009are studied, especially the linkage relationships between the above-mentioned plateindex. On the basis of volatility spillover and linkage effect theory, using themultivariate SVAR-BEKK model to test the fluctuation linkage degrees between thedifferent plates in the same market, and then constructing a Copula tail correlationcoefficient to measure the linkage effect under the extreme circumstances. The twomodels draw the same conclusion, which testifies the existence of obviouslysignificant nonlinear linkage effects and the spillover effects between coal, electricityand cement plate index returns of Shanghai and Shenzhen Stock Market. From along-term perspective, the effect of the return rate of the coal sector on the electricityplate is much larger than its effect on the cement sector, which is mainly due todifferences in the price transmission mechanism. Meanwhile by using the Copulamethod we confirm that under the occurrence of extreme circumstances, the volatilityand spillover effects between the coal-electricity plates are the most significant, thesecond are coal-cement plates, and the third are electricity-cement plates. The reasons is due to the differences of the price transmission mechanism. Coal prices arecompletely market-oriented while the electricity prices have policy implications. Thispaper points out the importance of balancing the coal and electricity price mechanismand return the electricity price to the market.