Research On Spillover Effect Of International Crude Oil Price And Chinese Stock Market Under The Impact Of Economic Policy Uncertainty

Today's world presents a situation of high economic globalization,deep ties between economies,and rapid progress in financial liberalization.Information is disseminated between different markets in a faster and more convenient way.Therefore,the interaction between different markets has deepened and the linkage has been strengthened.As well as increasing uncertainty,financial markets are particularly vulnerable to information spillovers and shocks.Crude oil is an indispensable and important basic energy material in the economic development of various countries.Changes in crude oil prices and changes in the crude oil market will have an important impact on the operation of the economy and domestic financial markets of various countries.Since China became the world's second largest oil importer in 2018,fluctuations in international crude oil prices have become more closely linked with my country.The violent fluctuations in oil prices lead to turbulence in foreign financial markets and internal fluctuations in the crude oil futures market,which will affect the operation of China's social and economic system,which in turn will affect the operation of China's stock market,and cause internal fluctuations in the stock market.At the same time,China's economic strength has steadily increased in recent years.,International influence is rapidly increasing,and the demand for crude oil imports is large.Therefore,the information overflow of my country's domestic financial market will in turn be transmitted to the crude oil market.In this context,studying the spillover effect relationship between the international crude oil price and the Chinese stock market under the impact of China's economic policy uncertainty will help to better understand the information transmission and risk contagion between different markets and effectively prevent financial shock risks.This paper selects monthly data of Brent crude oil spot prices from January 1995 to October 2020,China's economic policy uncertainty index constructed by Baker and other scholars,and the closing price of China's Shanghai Stock Exchange Composite Index,through the VAR vector autoregressive model,DY Methods such as spillover index model and rolling window technology,from the perspectives of mean spillover effect and volatility spillover effect,firstly analyze the spillover effect relationship between international crude oil prices and China's stock market through empirical analysis,and then explore the impact of uncertainty in China's economic policy Next,the spillover effect relationship between international crude oil prices and China's stock market.In addition,based on three different economic policy uncertainty indicators of the world,the United States and China,the relationship between the international crude oil price and the fluctuation spillover effect of the Chinese stock market under the impact of different economic policy uncertainties is studied.Finally,based on the method of sub-sample test,the stability test of the spillover effect relationship between the international crude oil price and the Chinese stock market under the impact of China's economic policy uncertainty is carried out.The main conclusions of this paper are as follows:First,in the study of the relationship between the international crude oil price and the spillover effect of the Chinese stock market: on the one hand,the international crude oil price has a mean spillover effect on the Chinese stock market,while the Chinese stock market does not have a mean spillover effect on the international crude oil price;on the other hand,,There is a two-way and asymmetrical volatility spillover effect between the international crude oil price and the Chinese stock market,and this spillover relationship shows obvious time-varying characteristics.Second,under the impact of China's economic policy uncertainty,on the one hand,the international crude oil price has a mean spillover effect on the Chinese stock market and this spillover effect has been strengthened,while the Chinese stock market has no mean spillover effect on the international crude oil price.On the other hand,under the impact of China's economic policy uncertainty,there is a two-way and asymmetric volatility spillover effect between the international crude oil price and the Chinese stock market,and the intensity of this spillover effect has increased,and the impact of international crude oil prices on the Chinese stock market The volatility spillover effect shows obvious time-varying characteristics,and this trend has a certain convergence with the change direction of China's economic policy uncertainty index.Third,under the impact of three different economic policy uncertainties in the world,the United States and China,the volatility spillover effects of international crude oil prices and Chinese stock markets are different,and this spillover effect is the largest under the impact of global economic policy uncertainty.The least under the impact of China's economic policy uncertainty.The research value of this article lies in: by studying the spillover effects of international crude oil prices and my country's stock market under the impact of China's economic policy uncertainty,we can have a deeper understanding of the linkages between financial markets and the information transmission relationship between different markets.To a certain extent,the results of the research can help the Chinese government provide a basis when formulating relevant policies,and provide a reference for investors when choosing investment portfolios,so as to more effectively resist oil price shocks and maintain the stability of my country's financial market.