Research On The Spillover Effect Of Crude Oil Futures Price Shock On Chinese And American Stock Markets

As the world economic integration and financial globalization continue to deepen,fluctuations in international crude oil prices will have an important impact on the world economy and financial markets.As the largest developed country in the world,the United States has relatively mature stock market development and relatively complete supervision.As the largest developing country in China,the stock market has been the representative of emerging capital markets after more than 20 years of development.Studying the spillover effects of crude oil futures price shocks on the US stock market represented by developed countries and the Chinese stock market represented by developing countries,whether from national energy security,prevention of systemic risks,or capital market construction,asset allocation has important practical significance.Firstly,this paper analyzes the mechanism of the impact of international crude oil price fluctuation on the stock market from two aspects: the transmission of the real economy path and the transmission of the financial market linkage path.Theories based on the impact of the real economic path on the stock market include the inflation effect theory,the adjustment cost theory,the supply shock theory,the income transfer theory,and the actual balance effect theory,Theories based on the impact of the financial market linkage path on the stock market include modern portfolio theory,noise trading theory,and herding theory.Secondly,this paper selects Brent crude oil futures price,Shanghai Composite Index and S&P 500 index as research objects,and uses GARCH(1,1)-t model to fit the edge distribution of three yield series.Thirdly,the static Copula function,the mixed Copula function,the time-varying Copula function and the time-varying mixed Copula function are used to fit the dynamic dependence structure between the crude oil futures market and the Sino-US stock market,According to the AIC information criterion and the log-likelihood function value,finding that the best goodness of fit is the time-varying mixed binary Clayton Copula function + binary Frank Copula function.Finally,based on the optimal time-varying mixed Copula function,this paper calculates the CoVaR,%CoVaR,and CoVaR of crude oil futures prices for the Chinese stock market and the US stock market,and tests the risk spillover effect direction,risk spillover effect intensity and asymmetric risk spillover effect ofcrude oil futures price on Sino-US stock market,and carried out a comparative analysis.The empirical research in this paper shows that:(1)There is a positive risk spillover effect between the Brent crude oil futures market and the stock markets of China and the United States,that is,when the Brent crude oil futures market(the stock market of China and the United States suffers risk loss),The Chinese and American stock markets(Brent crude oil futures market)will also suffer risk losses.(2)The average risk spillover effect of the Brent crude oil price shock on the US stock market is greater than the average risk spillover effect on the Chinese stock market.The Chinese stock market is affected by the risk spillover effect of the international crude oil futures market compared to the relatively limited US stock market.(3)The asymmetric risk spillover effect of the Brent crude oil futures market and the stock markets of China and the United States is positive for a long period of time,indicating that the risk spillover effect of the Brent crude oil futures market on the stock market of China and the United States is stronger than the risk spillover effect of the stock market of China and the United States on the Brent crude oil futures market.The main innovations of this paper are as follows: Firstly,the current domestic research results are mainly focused on the impact of crude oil prices on China's stock market.The comparative study of the impact of crude oil prices on the Chinese and US stock markets is relatively rare.Therefore,in the research object,this paper chooses the largest developed countries(US stock market)and representatives of developing countries(Chinese stock market)to explore the spillover effect of crude oil price shock on mature US stock market and China's relatively immature stock market.The research is a useful complement to the existing theoretical results on crude oil prices and stock markets.Secondly,most of the current research on the risk spillover effect between crude oil price and stock market uses the static single Copula function,lacking the application of time-varying mixed Copula function.Therefore,in terms of research methods,based on the relevant theory of the existing Copula function,this paper uses the time-varying Copula function to more fully and accurately depict the dynamic dependence between the crude oil futures market and the Chinese and American stock markets.In addition,this paper proposes a CoVaR metric method between the crude oil futures price based on the optimal time-varying mixed Copula function and the Chinese and American stock markets.The CoVaR method can analyze the direction and intensity of risk spillover effects and to some extent make up for the shortcomings of VaR.