Research On The Risk Spillover Effect Of Crude Oil Price On Industry Stock Market

Crude oil is one of the most important strategic energy sources in the world.It plays a vital role in the sustainable and healthy development of national economy and financial market.As an important commodity,crude oil has the attributes of both general commodity and financial commodity,and its price fluctuation will also cause risk contagion to the financial market of various countries to a certain extent,especially the risk contagion to the stock market.In recent years,the sharp rise and fall of crude oil prices have brought many uncertainties to the stable development of the real economy,and it also increased the potential risks faced by different industries.Therefore,it is of great significance to analyze the risk spillover effect of oil price fluctuations on stock markets of various industriesFirstly,this paper studies the dependence structure of crude oil price and industry stock market,the use of ARMA-APARCH model to estimate the marginal distribution of the yield,and using copula function depicting the nonlinear dependence and the tail dependence between the markets,effectively overcome the limitations of traditional dependency measurement methods in describing complex dependent structures.In addition,in order to study the change of dependent structure in different investment periods,variational mode decomposition method is introduced in this paper.The results show that the long-term dependence is obviously higher than the short-term dependence and there is almost no tail dependence in the short-term investment period.Secondly,this paper studies the value at risk of the crude oil price and the industry stock market.By introducing the extreme value theory,the GARCH-EVT-VaR model is constructed to estimate the extreme value at risk of the single market.The results show that there are different degrees of difference between the upside risk and the downside risk in different markets,which effectively improves the accuracy of the upside risk and downside risk of each market.When measuring the value at risk of the portfolio market,this paper proposes the GARCH-VMD-Copula-VaR model based on the VMD method,and analyzes it from long-term and short-term investment perspectives,and the mode is better to depict the changes of portfolio VaR in different investment periodsFinally,this paper studies the risk spillover effect of crude oil price on the industry stock market,and constructed the VMD-Copula-CoVaR model by combining with the VMD method to analyze the risk spillover in different investment periods.The results show that the change of crude oil price may be the catalyst of higher volatility and higher risk in various stock markets,and the spillover effect of long-term investment is stronger than that of short-term investment In order to reveal the characteristics of asymmetric and structural breakpoints of risk spillovers from crude oil to stock markets in different industries,this paper further discusses the asymmetric and structural breakpoints of risk spillovers by using K-S test and B-P test.The results show that the downside risk spillover is significantly stronger than the upside risk spillover,and CoVaR is affected by the stock market of different industries in terms of the number and date of breakpointsThrough the study of the relationship between crude oil price and stock market in various industries,this paper can enhance the prediction ability of stock market changes in various industries,and provide a certain basis for stock market supervision and investor risk warning.