Research On The Spillover Effects Of The International Crude Oil And The Stock Markets Of BRICS

With the accelerating process of financial globalization and world economic integration,international crude oil,as the largest commodity in the world,has become more and more obvious in its financial attribute.It has gradually changed from a world-wide basic product to a strategic political commodity of national economy and investment or speculative commodity similar to stock.BRICS countries(China,India,Russia,Brazil,South Africa)as representatives of emerging countries,the development of financial markets has gradually improved,and many investment opportunities are pregnant in the stock market,which has become more and more popular among international investors.This paper adopts the generalized spillover index method proposed by Diebold and Yilmaz(2012)to quantitatively analyze the volatility spillover effect between the crude oil market and the financial markets of BRICS countries.On this basis,we study whether the spillover effect of crude oil market on different industries is different by joining the stock market of different industries in BRICS.The data selected include Brent crude oil price index,Shanghai Composite Index,South Africa's rich real composite index,Russia's MOEX Russia index,Brazil's BOVESPA index,India's sensex30 index and BRICS's Basic commodity,Finance,Consumption and Industry index.The sample range is from September 20,2010 to December 30,2019,with a total of 1798 groups of data.This paper analyzes the volatility spillover effect between the crude oil market and the BRICs stock market,and the spillover effect of crude oil price fluctuation on different industries in BRICs from two levels,static and dynamic dimensions.The results show that: the spillover effect of crude oil price fluctuation on crude oil exporting countries(Russia and Brazil)is significantly higher than that of crude oil importing countries(China and India);the volatility spillover effect of China and India stock markets on other financial markets is weak,while the volatility spillover effect of South Africa stock market on other financial markets is obvious;the volatility of China stock market gives a positive impact on other financial markets The spillover effect is significantly higher than that from other financial markets;the basic commodities and industrial industries in BRICs are more vulnerable to the impact of crude oil price fluctuations.The innovation of this paper is that in addition to using the generalized spillover index method to study the spillover effect between the crude oil market and the BRICs stock market,it also adds different industry indexes to the main composite indexes of BRICs countries to study and analyze the impact of crude oil price shocks on different industries of BRICs countries.It provides a theoretical reference for the state to formulate relevant policies and investors to adjust the portfolio.