Research On Spillover Effect Of The Crude Oil Futures Market, Crude Oil Spot Market,Exchange Market, The Stock Market

With the accelerating of economic development, the market increasingly close, the financial market is also presents the trend of internationalization and integration, promote each other and influence each other between different markets. In today’s world is an era of economic globalization, the financial market volatility may cause different types of market another different countries fluctuation. In this context, the spillover effect research has practical significance between different countries and different types of markets.In this paper, with crude oil futures market, crude oil spot market, exchange market, the stock market as the research on spillover effect between the four of the target market.This article is mainly from the two aspects of the mean and volatility spillover to analyzes the correlation between the crude oil futures market, crude oil spot market, exchange market, stock market This article selects the WTI spot price and WTI futures price, exchange rates among selected is dollar/yuan daily price, stock selection in Shanghai daily closing price as the research object, the date of the data selected from January 2010 to June 2014, a total of 1046 valid data of the day. In the process of research, draw lessons from for methods of market research, combining with the actual situation in China to adjust, reflect the characteristics of our marketin the process of research.First, study the price spillover effect of the crude oil futures market, crude oil spot market, exchange market, the stock market. The construction of the crude oil futures and spot market of crude oil, foreign exchange market and crude oil futures market, stock market and crude oil futures market, foreign exchange market and crude oil spot market, the stock market and crude oil spot market, exchange market and the stock market a total of six groups of market, established the VAR model,impulse response and variance decomposition analysis. The empirical results show:crude oil futures market for crude oil spot market, currency market, the stock market there is one-way Granger causality, crude oil spot market are one-way Granger causality to exchange rate market, the stock market, the stock market there is Granger causality unidirectional on exchange rate market. The dynamic market conducting effect between the more obvious impact conduction effect, impact generally in 3 or 4 of the conductive effect will disappear, short duration of the conductive effect; exchange market, crude oil futures market, the stock market impact mainly comes from its markets, crude oil spot market impact mainly comes from the crude oil futures markets. Above all, crude oil spot price change mainly because of the influence of crude oil futures market, stock price changes in the wave by the crude oil futures and. spot market of crude oil.while the common influence exchange rate movements by the crude oil futures market, crude oil spot market, the stock market these three markets.Secondly, we study the volatility spillover effects of crude oil futures market, crude oij spot market, exchange market, stock market. The same is constructed with six groups of market research, set up their ownnon symmetric BEKK model and Wald test. The research results show that:the crude oil futures market has volatility spillover effect on crude oil spot market, crude oil futures market has volatility spillover effect on the exchange rate market, crude oil spot market has volatility spillover effect on the exchange rate market, stock market volatility spillover effect on the exchange rate market, crude oil futures market and spot oil market exists the two-way volatility spillover effects of stock market. This shows that the crude oil market and the stock market risk can be transferred into theexchange market, causing the latter to fluctuations in the price of crude oil market risk,similarly will be transferred to the stock market, crude oil futures market risk will be transferred to the crude oil spot market.