Study On The Risk Spillover Effect Of Shanghai Crude Oil Futures On Oil-Related Industry Stock Index

In Petroleum,known as "black industrial blood",plays an irreplaceable role in the operation of the national economy.Fluctuations in oil prices will be transmitted to the real economy through the relevant industrial chain.The stock market serves as an"economic barometer" and also responds to oil.Respond to changes in prices,especially the stock price performance of listed companies closely related to oil.In recent years,as the international situation has become more complex,oil prices have once again fallen into a state of ups and downs,and China is currently the world's largest oil importer.In 2019,the dependence of crude oil has reached 72.67%.Therefore,to avoid the risk of crude oil price fluctuations,at the same time It is very important to improve China's right to speak in the international oil price system.On March 26,2018,Shanghai crude oil futures came into being.This is China's first crude oil futures contract denominated in RMB,and it is also the first "Shanghai price" in the international oil price system that reflects the supply and demand relationship in China and the Asia-Pacific region.Due to the short time to market and relatively few quantitative studies,there are relatively few empirical studies on the impact of Shanghai crude oil futures on the stock index of oil-related industries,but the mechanism of action between the two,whether for investors,listed companies or the country policy formulation is very important.By constructing the GARCH-Copula-CoVaR model,this paper overcomes the shortcomings of the traditional model that describes the relationship between different market variables to be linearly related and the shortcomings of measuring the level of risk.It empirically studies the risk spillover of Shanghai crude oil futures for oil-related industry stock indexes.The selected oil-related industries mainly include three major categories:oil production,oil substitution,and oil consumption,which are specifically subdivided into seven industries:oil mining,coal mining,gas,electricity,air transportation,automobiles,and chemical products.The study found that from the perspective of the intensity of risk spillover,Shanghai crude oil futures have a stronger risk spillover effect on industries such as oil mining in the oil production industry,coal mining in the oil substitution industry,and gas industries that are closely related to the oil concept than WTI crude oil futures;The risk spillover intensity for the power industry in the oil substitution industry,air transportation and automobiles in the oil consumption industry is weaker than WTI crude oil futures;the risk spillover intensity for chemicals in the oil consumption industry is slightly higher than that of WTI crude oil futures,but with at the same time,the risk spillover of chemicals for Shanghai crude oil futures is much greater than WTI crude oil futures.Analysis of the reasons can be carried out from the following perspectives.On the one hand,Shanghai crude oil futures have a certain price guidance role for companies in related industries,but on the other hand,the Chinese stock market is not mature enough.After the launch of crude oil futures,investors may be more focused on the pursuit of related concepts,and the corresponding price changes at the stock level are mostly due to emotional gaming games.For the stock prices of industries where the cost side is more sensitive to oil prices,the market pays more attention to the expected changes in oil prices.Compared with Shanghai crude oil futures,WTI crude oil futures have a greater intensity of risk spillover for these industry stock indexes.It also shows from the side that the market more regards WTI crude oil futures prices as the benchmark oil price.In order to further explore the size of the role of the two crude oil futures markets in price guidance,the risk spillover effect between the two crude oil futures markets was further measured.The results showed that the risk spillover intensity of WTI crude oil futures for Shanghai crude oil futures reached 25.51%,but Shanghai crude Futures have no risk spillover to WTI crude oil futures,only as a net recipient of risk.Therefore,Shanghai crude oil futures prices are largely affected by WTI crude oil futures,and there is still a long way to go before becoming a benchmark oil price in a certain region.Finally,based on the results of empirical research,the article gives some suggestions to investors,related companies and relevant policy makers.