Research On The Co-movement And Spillover Effect Between China’s Crude Oil Futures Market,Stock Market And International Crude Oil Futures Market

On March 26 of 2018,China’s crude oil futures were formally traded in Shanghai International Energy Center,which is the first international futures platform to introduce foreign investors.Shanghai crude oil futures can not only provide financial derivatives of hedging for relevant domestic enterprises,but also reflect the real supply-demand relationship of crude oil in China to the International crude oil market and compete for the pricing right of crude oil.Under this background,this paper uses DCC-GARCH model and VAR model to study the volatility relationship between China’s crude oil futures market and International crude oil futures market from two aspects of co-movement and spillover effect,and further studies the volatility relationship between crude oil futures market and China’s stock market.We selected the closing prices of Shanghai Crude Oil Futures(SC.INE),New York WTI Crude Oil Futures(CL.NYM),London Brent Crude Oil Futures(B.IPE)and CSI 300 Index(CSI 300)as sample data for 234 trading days from March 27,2018 to February 15,2019 after the listing of Shanghai Crude Oil Futures.Because the price series of financial assets is usually non-stationary,we processed the sample data by first-order difference and provided the basis for the establishment of models through relevant statistical tests.Then we used GARCH model to describe the volatility characteristics of each market,and on this basis,we established DCC-GARCH model to calculate the dynamic correlation coefficients between different markets to analyze the co-movement between them.Finally,we established VAR model to study the spillover effects among different markets from multiple perspectives.Through the empirical analysis,we find that:(1)The co-movement between China’s crude oil futures market and International crude oil futures market is strong,but the co-movement between WTI crude oil futures market in New York and Brent crude oil futures market in London is much stronger,and the volatility of China’s crude oil futures market is guided by the International crude oil futures market.(2)The co-movement between the crude oil futures markets and China’s stock market is not obvious,and the interaction between them is relatively weak.This may be due to the low weight of energy and chemical industries,which is closely related to crude oil prices in China’s stock market.This paper is mainly divided into six chapters to elaborate the research content.The first chapter is an introduction,focusing on the research background and problems,research significance,research ideas and framework;the second chapter is a literature review,mainly on the price fluctuation and influencing factors of crude oil market,the volatility relationship between crude oil markets in different countries,the volatility relationship between crude oil market and stock market,and the volatility relationship between crude oil market and other commodity markets;the third chapter is an overview of the domestic and foreign crude oil market,introducing the market position and pricing mechanism of crude oil and the basic information of the domestic and foreign crude oil futures market;the fourth chapter mainly chooses the appropriate co-movement and spillover effect measuring model according to the research content;the fifth chapter is the empirical analysis part,we try to establish the DCC-GARCH model and VAR model to study the co-movement and spillover effects between China’s crude oil futures market,stock market and International crude oil futures market.The last chapter includes the conclusions,suggestions and future prospects.The main innovations of this paper are: Firstly,the crude oil futures market in China has just been established for not a long time,so there are few quantitative empirical studies.This study can be used as a supplement to the related fields.Secondly,compared with the traditional static correlation coefficients between different financial markets,this paper uses DCC-GARCH model to calculate the dynamic conditional correlation coefficients.The dynamic conditional correlation coefficients can not only reflect the strength and weakness of co-movement,but also reflect the stability and dynamic process of co-movement.The dynamic conditional correlation coefficients can capture the volatility of different markets better.Finally,based on the establishment of VAR model,this paper studies the spillover effect between China’s Crude Oil Futures Market,Stock Market and International Crude Oil Futures Market through the Granger causality test,Impulse response analysis and Variance decomposition.The empirical results are more comprehensive and convincing.