An Analysis Of Mean And Volatility Spillovers Between Oil And Stock Markets In China And The USA

This paper uses the daily logarithm return of WTI crude oil futures price,CSI 300 index and S&P 500 index,establishes a VAR-BEKK-GARCH model to empirically study the mean and volatility spillovers between international crude oil market and the stock markets of China and the United States.This paper uses the RMB exchange rate against the US dollar to convert CSI 300 index data into USD denominated in order to eliminate the interference of exchange rate factors.In this paper,the sample sequence is wavelet transformed in order to study the interaction between crude oil market and the stock markets at different time scales.In order to verify the reliability of the experimental results,the same method is also conducted within sub-sections of the sample interval.The findings are as follows:1.Lagging 1-8 trading days,the mean spillovers between China stock market and international crude oil market are mainly affected by short-term speculative factors.China stock market has negative mean spillovers on international crude oil market,and international crude oil market has positive mean spillovers on China stock market.Lagging 8-32 trading days,the mean spillovers between China stock market and international crude oil market are affected by the combination of short-term speculation factors and long-term supply-demand factors,with a positive and negative alternation trend.Lagging 32-128 trading days,the mean spillovers between China stock market and international crude oil market are mainly affected by the long-term supply-demand factors.China stock market has positive mean spillovers on international crude oil market,and international crude oil market has negative mean spillovers on China stock market.Excluding the impact of exchange rate factors,the mean spillovers between China stock market and international crude oil market are mainly affected by short-term speculation factors,indicating that China’s exchange rate policy has anti-speculative properties.Combined with descriptive statistical analysis,it can be considered that China’s exchange rate policy has reduced the risk of China stock market to some degree.2.Although the mean spillover relationship between the US stock market and international crude oil market is still time-varying,it does not have the same trend as the mean spillover relationship between China stock market and international crude oil market.This is mainly because the relationship between the US stock market and international crude oil market is more complicated.The relationship between the US stock market and international crude oil market is not only affected by short-term speculation factors and long-term supply-demand factors,but also by exchange rate factors etc.3.The mean spillover effect of international crude oil market on China stock market is greater than its mean spillover effect on the US stock market;the mean spillover effect of the US stock market on international crude oil market is greater than the mean spillover effect of China stock market on international crude oil market.This is because China’s crude oil supply mainly depends on imports,while China’s pricing power on crude oil is weak.4.Regardless of whether segmentation or not,there are mean and volatility spillovers between international crude oil market and the stock markets of China and the United States,and spillover effects are time-varying,that is,they change along with the lag periods.