Research On The Risk Spillover Effect Of Crude Oil Price On Stock Indices In China's High Energy Consumption Industry

Oil is China's strategic resource and important commodity for all economies in the world.It is almost interconnected with every important sector of the economy.Meantime,as the context of the new economic normality,the coal industry,energy-fueled electricity and steel industry are important industries for de-capacity.Studying the dynamic dependence and risk-spillover relationship between international crude oil futures and stock indices in China's high energy consumption industry is beneficial to make investors correct investment decisions and to enhance government departments to better formulate relevant policies for the energy industry.This paper provides the empirical evidences of the dynamic dependence structure and risk spillover effects between international crude oil futures and stock indices in China's high energy consumption industry using Copula-CoVaR model.Based on the definition of dependence concepts,this paper describes the current situation of crude oil futures and the energy stocks of high energy consumption industry in China,and presents the transmission mechanism between crude oil prices and stock prices.Empirical analysis shows the risk spillover effects of international crude oil futures on stock indices in China's energy high energy consumption industry.This article selects the future price light sweet crude oil,WTI(West Texas Intermediate)in the New York Mercantile Exchange as the international crude oil future prices,and selects the CSI(China Securities Index)Power Index CSI Steel Index the CSI petrochemical Index and the CSI Coal Index as the China's high energy consumption industry,moreover,selects the.In terms of the two market dependence structures,a variety of Copula models are used to comprehensively analyze the dynamic dependence structure between international crude oil futures price and the stock indices in China's high energy consumption industry;In terms of the risk spillover effects of the two markets,the CoVaR and the %?CoVaR of the CoVaR and the unconditional risk value VaR methods are used to study the risk spillover and risk spillover direction between international crude oil price and stock indices in China's high energy consumption industry.Finally,the corresponding policy recommendations are put forward based on the empirical results.The empirical results show three major evidences as follows:(1)For the risk measurement tool,the unconditional risk value VaR(Value at Risk)greatly underestimates the financial market risk and generates certain limitations.Compared with the risk value measured by VaR,%CoVaR reflects the more actual risk value clearly and comprehensively.If risk spillover effects are not considered,the risk will be seriously underestimated.It also shows that the traditional risk metric VaR greatly underestimates the risk of financial markets and generates certain limitations.(2)There is a positive risk spillover effect between crude oil futures and four high energy-consuming industries.According to the risk spillover effect estimated by the Copula-CoVaR model,in all cases,%CoVaR is a positive number.The results of this study indicate that the impact of steel,power,coal,and petrochemical industries on crude oil futures is positive,as well.Crude oil futures are also positive for risk spillovers in four industries.There is a positive risk spillover effect between them.When the rise in crude oil will lead to an increase in the four industry indices,the decline in crude oil will also drive its decline.(3)Crude oil futures are close to the risk spillover intensity of steel,electricity and coal.The CoVaR after standardization is judged by the overflow intensity.Under the 1% confidence interval,the risk spillover of crude oil futures in the steel,electric power and coal industries is relatively close.This result is inseparable from China's continued increase in the import of international crude oil futures.A large amount of crude oil imports will inevitably lead to the corresponding risks being transmitted directly and more quickly to relevant domestic industries.The spillover effect of crude oil on the chemical industry is the weakest.The reason lies in the particularity of the national conditions.It is still in a monopoly position in China's chemical industry.It has strong pricing power and can easily transfer related risks to consumers.Therefore,compared with other industries,oil price changes to the chemical industry.The impact is even smaller.The possible innovations of this paper are mainly reflected in the following two aspects:(1)Taking high-energy-consuming industries as research objects,using CoVaR method to calculate the risk spillover effect of crude oil futures on high-energyconsuming industries.The current literature is more about studying the correlation between international crude oil commodity prices and China's energy stock market(new energy and traditional energy)and the volatility spillover effect,and less on the risk perspective and the perspective of high energy-consuming industries.Overflow direction,strength and difference.This paper selects crude oil futures with higher risks and high energy-consuming industries as research objects.At the same time,considering that the financial market has a very strong timeliness,this paper selects the historical data of the last five years,which can more accurately reflect the latest characteristics of the financial market.(2)The Copula-CoVaR model was constructed to study the correlation between international crude oil futures prices and high energy-consuming industries.Combining Copula and CoVaR,the Copula-CoVaR model is fully utilized to describe the advantages of nonlinear correlation and risk spillover effect,which makes the research results more realistic and more realistic reflects the risk of crude oil futures prices in China's high energy-consuming industries.The actual situation of the overflow.Based on this information,government departments can better formulate relevant policies for highenergy-consuming industries,reduce systemic risks caused by large fluctuations in oil prices,and provide guidance to investors when international crude oil futures prices fluctuate greatly.Stocks in the energy-consuming industry,so that they can judge the rise and fall of future stock prices based on fluctuations in international crude oil prices.