Research On The Risk Spillover Effect Of International Crude Oil Price Fluctuation

As the energy financial developed,the price fluctuations are not only caused by traditional supply and demand factors,but financial market behavior will also increase the uncertainty of international crude oil prices.These characteristics make crude oil prices fluctuate more and more,crude oil uncertainty increasingly affects global uncertainty and its connection with capital markets is receiving increasing attention.As an important raw material of modern industry,crude oil's price volatility will reach the various levels of the industry with the extension of the industrial chain or the risk spillover effect on China's stock market with the information transmission between the markets.At present,the research on the risk spillover of the international crude oil market for the stock market focuses on the historical information and the stock market's overall mean and variance spillover.This paper focuses on the risk spillover theme to study the existence time-varying and difference of risk spillover from multiple perspectives.This paper first introduces the current situation of international crude oil market,analyzes the complexity of the factors affecting international crude oil price,defines the concept of risk spillover,and sorts out the theory of risk spillover effects of international crude oil market on China's stock market and puts forward the research hypothesis.Secondly,West Texas(WTI)Brent and Implied Volatility Index(OVX)represent the international crude oil market,crude oil production and processing industry as crude oil production industry,coal mining electric gas as crude oil replacement industry,colored Metal ferrous metal construction transportation real estate delivery equipment as a research object of crude oil consumption industry,focusing on the main problem of risk spillover based on CoVaR framework from multi-angle and multi-industry research on international crude oil carrying historical information and implied volatility data for China's stock market as a whole and the impact of related sectors,further analysis of the significance,spillover,and time-varying characteristics of risk spillovers in the sample interval study.Finally,based on the empirical conclusions drawn from this paper,the corresponding policy recommendations are proposed.The empirical results show that in terms of spillover direction,the risk events in the international crude oil market have significant risk spillovers in China's stock market and industry.The result is to expand and supplement the relationship between the international crude oil market and the stock market on the current average and volatility levels.In terms of the risk spillover intensity at different information levels,the risk spillover of China's stock market based on the implied volatility information of options is more sensitive than the risk spillover based on historical information.In addition,the response to the Brent crude oil futures market is more sensitive than West Texas(WTI).In terms of the risk spillover intensity of the international crude oil market in different industries,the transportation equipment and machinery and equipment have the greatest impact,followed by the power and natural gas industries.The least affected are the crude oil processing crude oil processing and coal mining industry.The two markets have the same characteristics in terms of risk spillover intensity in different industries,indicating that the conclusions are robust.Since the listing of China's crude oil futures,the international crude oil market has increased the risk spillover of China's stock market,but whether the increase in spillover intensity has a direct correlation with the listing of China's crude oil futures needs further testing.