Study On The Risk Spillover Effect Of Crude Oil Future Price On China's New Energy Stock

Our country starts to develop new energy industry with the environmental pressure,crude oil because of its special properties has effect on various industries,under the influence of global economic integration,the world economic linkages,risk management is particularly important.Due to total amount exceeds the demand of crude oil,crude oil prices have plunged and has been in a low,some use of clean energy as fuel companies and consumers may turn to oil,capital market is a barometer of industry,some on the subject of new energy stocks fell,photovoltaic(pv)classes or the most obvious.But as the OPEC deal stops,investment analysts agree that oil prices will eventually pick up.While Chinese investors is sensitive to oil prices,especially related to energy stocks,financial support to the development of the real economy,in today's rapid development of new energy,name is the risks of crude oil price fluctuation has very important practical significance.Read the spillover effects of risk at home and abroad in this paper the research content and research methods of literature,and traces the theory source,compared the advantages and disadvantages of different methods and the rationality of selecting the object of study and combined with the current academic circles on oil prices with new energy point of view,select the highest and the most active liquid can WTI futures contract and the new(399412)as the research object,and the parameters selection of data for November 14,2012 to 2017,through the establishment of GARCH-VaR model to solve the two markets time-varying VaR(value at risk).In fitting the volatility level,this paper USES evaluation model for choosing the parameters as their own,and through to the final measurement to evaluate the results of test,select the GARCH-VaR model,the optimal fitting precision with actual closer,stronger practicability.Then the risk granger causality test method is used to determine the risk overflow direction.The results show that the oil market is the cause of the new energy stock market at the logarithmic yield level,but the new energy stock market is not the cause of the oil market.At the VaR level,there is a one-way risk spillover effect of oil market on the new energy stock market.However,the development of the new energy stock market is still in the initial stage,which has no effect on the oil market.Finally,by analyzing the risk intensity of overflow delta CoVaR can conclude that in the short term,the market for new energy in our country stock market risk spillover effects are not symmetrical,but in the long run,is the risk of a positive spillover effect,namely under the 99% confidence level,when the oil market in the VaR,VaR will to our country new energy stocks have the risk of a positive spillover effect,about 16%.Moreover,since the volatility of oil prices is asymmetric,it is important to guard against the impact of the risk of a decline in the oil market caused by bad news.