An Empirical Study On The Volatility Spillover Effects Of International Crude Oil Price And The Sino-us Stock Price Under Structural Breaks

The price volatility of the crude oil market and the stock market has an important impact on the national economy and the interaction between the two markets' price volatility has been a hot topic of domestic and foreign scholars.Based on the statistical analysis of the adjusted Shanghai Composite Index,S & P 500 Index and WIT price from December 30,1996 to December 30,1996,this paper explores the spillover effect between the international crude oil market and Chinese and US stock market.First of all,this paper tested the volatility transmission effect between the international crude oil market and Chinese and US stock market.In this situation,there was no spillover effect form international crude oil market and Chinese stock market in any direction and a unidirectional volatility spillover effect between oil market and US stock market.Secondly,considering the shock of economic events or policies' in domestic and international market,this paper examined the variance structural break in three markets.This paper found out that there were variance structural break points in the three markets.Then this paper introduced the structural break points which found by modified ICSS into BEKK-GRACH as dummy variables to construct a model to test the spillover effect under structural break.The empirical result showed there was unidirectional spillover effect from crude oil market to Chinese stock market,and a bilateral volatility spillover effect between the international crude oil market and the US stock market.In addition,volatility persistence in the three markets declined after take structural break points into account.