Research On The Dependence Structures And Risk Spillover Effects Between International Crude Oil Futures And Chinese Energy Stock

With the continuous advancement of China's energy and financial integration,the mutual integration of energy and finance has become increasingly evident in China's economic development.China is a large country of crude oil consumption,crude oil external dependence increased year by year,but China has not yet launched a variety of crude oil futures trading,the study of international crude oil futures and China's stock market,especially related to the interaction between stocks to maintain China's energy security and financial stability,It is of great significance to formulate a reasonable pricing mechanism for crude oil.This paper studies the structure and risk spillover effects of international crude oil futures and China's energy sector stocks.Based on the definition of related concepts,this paper describes the factual description of crude oil futures and China's energy stocks,and combs the transmission mechanism between crude oil price and stock price,then divides China's energy stocks into traditional energy industry stocks and new Energy industry stocks,a comparative analysis of international crude oil futures prices and China's traditional energy sector and emerging energy sector share price-related structure and risk spillover effect difference.Selected the New York Mercantile Exchange,the light of low-sulfur crude oil that is WTI(West Texas Intermediate crude oil)futures month contract for the international crude oil futures prices on behalf of the selection of Wind oil and gas for the consumption of fuel for the traditional energy price representatives,Select the wisdom of the new energy index as a representative of the new energy stock price.In the two market related structure,combined with the combination of normal mode decomposition technology and a variety of Copula model for different time domain under the crude oil futures and China's energy stock tail structure for a comprehensive analysis;in the two market risk spillover effect,the use of endogenous structural Breakpoint test and Co Va R on the crude oil market and China's energy stock market risk spillovers,risk spill direction,the impact of tail risk of major events to study.And finally put forward the corresponding policy recommendations on the empirical resultsThe results show that:(i)Under the original time domain,the SJC Copula model can better reflect the tail dependency between crude oil futures and China's energy stocks.International crude oil futures prices and China's energy stock prices there is asymmetric dynamic tail dependency,the next tail is significantly higher than the tail dependency,theinternational crude oil futures prices and China's energy stock prices at the same time the possibility of collapse is greater than the possibility of simultaneous soaring,But the two markets continue to plunge the time will not appear too long.(ii)In the short term,crude oil futures and traditional energy stocks are significantly higher than the end of the interdependence.Short-term crude oil futures and traditional energy stocks at the same time the possibility of collapse is greater than the possibility of rising at the same time.Crude oil futures and China's new energy stocks have a balanced tail dependency,crude oil futures and new energy stocks at the same time the possibility of simultaneous collapse and the possibility of the same rise.The long-term crude oil futures and China's energy stocks to build the optimal model for the time-varying Normal Copula model,do not have tail correlation,long-term crude oil futures extreme changes will not have a long time impact on traditional energy stocks,extreme risk will only work In the short term.(iii)the outbreak of the international financial crisis,the outbreak of the European debt crisis and the domestic oil for the first time that is caused by the tail structure of the two main changes in the structure of the main reasons.Crude oil futures and China's energy stocks have a two-way risk spillover effect,and crude oil futures on China's energy stock spill effect is significantly greater than China's energy stocks on crude oil futures risk spillover effect,compared to traditional energy stocks and new energy stocks and crude oil futures risk spill There is no significant change in the effect.The 2008 financial crisis and China's stock market crash in 2015 have had a significant impact on the risk spillover effects between crude oil futures and China's energy stocks,and structural changes in tail-related correlations do not necessarily result in changes in the two market risk spillover effects.The possible contributions of this paper are as follows:(i)Research object.The more risky crude oil futures market will be included in the research object,China's energy stocks will be divided into traditional energy stocks and new energy stocks,comparative analysis of traditional energy stocks and new energy stocks and international crude oil futures correlation and risk spillover effect the difference.In the time-frequency selection of the sample,the original sample is re-decomposed into short-term fluctuations and long-term trends,which can facilitate the study of the interaction between the short-term international crude oil futures and energy stocks in order to obtain more useful information.(ii)research methods.By using the EEMD technique,the dependency structure of crude oil futures and China's energy stocks at different time scales is analyzed,and the noise interference between the financial time series and the influence of the reaction time are eliminated.The combination of Copula and Co Va R makes full use of the advantages of Co Va R in the quantitative analysis of risk spillovers and the advantages of Copula model in describingthe nonlinear correlation and tail features,making the results of extreme risk spillover in this paper more realistic.