The Research Of Volatility Spillover Effect Between Oil Future Market And Equity Market Based On A High

Crude oil is a kind of non-renewable resources as well as the essential energy resource of the modern society,which is of high correlation with human's daily life.With the process of economic globalization,crude oil has evolved from a kind of primitive raw materials into a composite product with financial attributes due to its multiple functions.Since the invention of crude oil futures in 1978,crude oil future market has grown in strength and has become an important part of the global derivatives market.As it is known to us all,future is excellent because of its price discovery function,risk avoidance function and moreover,hedging function,and crude oil future is undoubtedly one of the most brilliant products among them.The issue of information transmission and volatility spillover between financial markets has drawn worldwide attention since 2008,when the global subprime crises broke out.With the leapfrog development of information technology in recent years,the relationship between financial markets is becoming increasingly closely,and the volatility spillover effect among various markets becomes more and more evident.Therefore,studying the mechanism of information transmission among financial markets and clarifying its mechanism of action are crucial to our comprehensive understanding of financial markets.Moreover,as a core part of the capital market,the stock market is a part that cannot be ignored when it comes to understanding the financial markets and its mechanism.In order to study the volatility spillover effect between the crude oil futures market and the stock market.,we select WTI futures,the world's largest trading volume oil futures as the crude oil futures market price level representative,and we also select the S & P 500 index price as the price level representative of the equity market.On behalf of the variables,the five-minute high-frequency data from 2007 to 2015 in the two markets were tested through a series of empirical means such as vector autoregressive model,Granger causality test,DCC-GARCH model and DY test.The information between the two markets The volatility spillover effect has been measured qualitatively and quantitatively in order to clarify the spillover effect between these two markets.Concerning the difference of crude oil futures' trading and stocks' trading time,in this article,the crude oil futures market is divided into intraday trading period(ie,the two markets' simultaneous trading hours)and overnight trading period(the rest of the trading time).and their contribution of the volatility spillover effect will be tested respectively.Empirical findings suggests that: firstly,both return and volatility spillover between crude oil and equity market are high,indicating the two market are highly linked to each other especially in the market downturn period;Secondly,the overnight spillover from crude oil market to equity market could explain more interactions than intraday spillover of the total spillover index;Thirdly,over the whole sample period,the average crude oil overnight return spillover is greater than intraday spillover,while the intraday spillover is larger in volatility.