Jump Contagion Between International Crude Oil Price And Chinese Stock Market

As the blood of the world industry,since World War II,oil has replaced coal to be the first energy.With the development of global economy,the dependence of economic world on oil is bigger and bigger,the change in oil price often affects the nerves of the global economy.In recent years,China's oil consumption has increased year by year,and its dependence on foreign countries is increasing.In 2015,dependence on foreign countries first broke 60%,reaching 60.6%.At present,China has become the world's first oil consuming country and the second crude oil importing country.This means that the influence by the international oil price fluctuations will become more and more obvious.In addition,more and more industries participate in the crude oil market,and the financial role of crude oil has become increasingly prominent.Crude oil market volatility is not only determined by the relationship between supply and demand of crude oil.Crude oil as a financial product,it has important significance on financial market research.At the same time,the stock market is a barometer and guide of macroeconomic;the stock market price will be subject to the impact of international energy prices.Moreover,a mature and effective stock market can reflect people's expectations of the future economic fundamentals;the stock market price should also have a leading effect on international energy price.There is a significant correlation between the volatility of stock return and the volatility of crude oil price in an efficient stock market.According to the above several objective facts and the problems of the energy market and the stock market,this article uses the information contained in the high frequency data and nonparametric methods naming bipower,Minimum RV to extract the jump component in realized volatility.On the basis of the basic statistical test and the stability test of the high frequency data,this paper uses the threshold autoregressive(TAR)model to analyze the infectious jump risk between the international crude oil price and the Chinese stock market,and puts forward relevant suggestions.The empirical results show that the MinRV method has a certain advantage over the bipower.In addition,the jump risk transmission between the international crude oil price and Chinese stock market is bidirectional.But this effect doesn't always exist,and there are certain conditions,which exists only in certain threshold state.In addition,the main innovations of this article are as follows: first,in the research content,although many scholars have been researched jump of the stock market,and the influence of international oil price change on the Chinese stock market,but rarely consider the jump contagion mechanism between Chinese stock market and the international oil market.Introducing jump volatility contributes to the measurement and prediction of volatility.Second,in the research methods,researches of domestic and foreign scholars on relationship between the stock price and the international oil price mostly used the linear Granger test,variance decomposition and the impulse response function based on VAR model and VECM model,and assumed that the impact of international oil price on the stock market price is linear.These researches have obvious limitations,and the research on the nonlinear relationship between the international oil price and the stock price is very lack.This paper uses nonlinear time series model with piecewise linear threshold autoregressive model(TAR)innovatively,TAR model can study well on the nonlinear relationship between international oil price and stock price.