Analysis Of The Impact Of The International Crude Oil Market On The New Energy Vehicle Stock Market

With the development of economy,the income level of residents has steadily improved,and the demand for private cars has increased year by year.But the pressures of environment and resources from the increasing number of cars are increasing.Environmental pollution and resource depletion have become increasingly acute.Vigorously develop efficient and low-emission new energy vehicle industry is an integral part for easing the pressure of resources and the environment,building a resource-saving and environment-friendly society.New energy vehicles and traditional fuel vehicles are substitutes for each other.In theory,the fluctuation of international crude oil prices has a significant impact on the development of China's new energy vehicle industry.But some scholars don't think so.Their reasons are China's not fully opened stock market and not developed new energy vehicle industry.What is the actual situation?We attempts to get the answer through empirical research.This paper uses the CSI New Energy Vehicles Index day closing price and the West Texas Intermediate crude oil futures month consecutive contract day closing price as the index variable.The sample interval is from January 4,2012 to June 20,2016.Based on the perspective of spillover and dynamic correlation,using VAR-Asymmetric-BEKK model and VAR-Asymmetric-DCC model,this paper studied the impact of international crude oil market to China's new energy vehicle industry stock market to reflect the impact of international crude oil price fluctuations on the development of China's new energy vehicle industry.We find that:(1)There exists positive mean spillover effect from international crude oil market to China's new energy vehicle industry stock market.According to Granger test of causality,the yield of international crude oil futures is the Granger reasons for the yield of China's new energy vehicle industry stock.The estimation results of VAR-Asymmetric-BEKK model's mean equation shows that the yield of international crude oil futures have a significant positive impact on the yield of China's new energy vehicle industry stock.(2)There exists volatility spillover effect from international crude oil market to China's new energy vehicle industry stock market,and the volatility spillover is asymmetric.Based on the VAR-Asymmetric-BEKK model's estimation results,the Wald test proves that there exists volatility spillover effect from international crude oil market to China's new energy vehicle industry stock market.Significant g21 shows that the volatility spillover from international crude oil market to China's new energy vehicle industry stock market is asymmetry.(3)There exists dynamic positive correlation between international crude oil market and China's new energy vehicle industry stock market,but the degree of correlation is not high.The dynamic correlation coefficients between international crude oil market and China's new energy vehicle industry stock market are all positive.It's shows that there is a dynamic positive correlation between the two markets.Because the mean and the median of the dynamic correlation coefficients between the two markets are small,so the degree of correlation is not high.