Research On The Spillover Effect Of International Oil Price And The Stock Price Of China's New Energy And Information

Crude oil is important to economic development as a power fuel and chemical raw material.Crude oil price fluctuations have become an important factor affecting global economic fluctuations.However,under the dual problems of resource constraints and environmental pollution,countries have successively started to develop new energy sources and vigorously lay out new energy industries.Therefore,as a major consumer of crude oil and other traditional energy sources and the backbone of the development of the new energy industry,it is important to study the spillover effect between the international oil price and the share price of China's new energy industry.However,it cannot be ignored that at this stage,China's energy system has problems such as bottlenecks that are difficult to break in the development of new energy sources and overcapacity in traditional energy sources.And a reliable path to solve these problems is to borrow from the information technology industry.In fact,the results of existing studies in foreign literature also show that there is a spillover effect between the share prices of new energy companies and technology companies,and that fluctuations in international oil prices also have an impact on the share prices of technology companies.Therefore,it is important to study the relationship between international oil prices and share prices of new energy and information technology industries in China.This paper uses the moving average method to filter the information noise in international oil prices,and then uses a VAR model to analyse the mean spillover effect between the three.On this basis,the volatility spillover and dynamic correlation between international oil prices and stock prices in China's new energy and information technology industries are examined through asymmetric BEKK-GARCH and DCC-GARCH models.Finally,using the DY spillover index method proposed by Diebold and Yilmaz(2012),we analyse the magnitude and dynamic evolution of the spillover effect between international oil prices and share prices in China's new energy and information technology industries,and further delve into the sub-sectors of lithium battery and semiconductor industries in China's new energy and information technology industries.The main findings of this paper are:Firstly,there is a one-way volatility spillover from international oil prices to share prices in China's new energy and information technology industries,and a two-way volatility spillover between share prices in China's new energy and information technology industries.Secondly,share prices in the new energy and information technology sectors are correlated in the long run,with their dynamic correlation coefficients remaining at around 0.85 level.Thirdly,the analysis of the spillover index model shows that there is a significant spillover effect between international oil prices and the share prices of China's new energy and information technology industries,and it shows obvious time-varying and asymmetric characteristics.The spillover between the two variables also exhibits asymmetric characteristics.The international crude oil market and the Chinese new energy industry are the receivers of risk volatility,while the information technology industry is the transmitter of risk volatility,but these net spillover effects are relatively small.