Study On The Risk Spillover Effect Of Research On The Crude Oil Futures Prices On Stock Prices Of Chinese Oil-related Industries

At present,China is experiencing unprecedented changes in a century.The epidemic has caused economic recession and financial market turmoil.Under this background,it is of great significance to study the impact of crude oil futures price fluctuations on the stock prices of related industries in the crude oil industry chain.This paper mainly studies the relationship between the price fluctuation of WTI and stock prices of upstream and downstream dependence of China's crude oil industry chain and the risk spillover effect of WTI on stock prices of various industries.Therefore,this paper selects the daily stock price data of 21 industries from January 1,2001 to March 2,2021,and divides the 21 industries into four parts:upstream,midstream,downstream and consumer terminal for comparative analysis.First of all,research on the latest related methods of risk management measurement,and found that the mainstream risk measurement tool Va R has certain limitations,which leads to the elaboration of the latest and more comprehensive risk management tool CoVaR.Through comparison,it can be found that CoVaR can better describe the infection between risks,can more accurately measure the actual risk level,and has a certain forward-looking nature,and can make a certain countercyclical feedback.Secondly,it sorts out the transmission mechanism of commodity futures prices to stock market prices and the transmission mechanism of crude oil futures volatility to industry stock prices.On this basis,the method based on copulas connect theory and CoVaR,respectively study the crude oil futures price and the A-share market of dependent structure and the risk of oil industry chain upstream and downstream industry spillover effect.The difference between dynamic correlation coefficient and dynamic CoVaR is analyzed from the time dimension and the dimensions of the industrial chain.The study found that due to the different positions of various industries in the crude oil industry chain and differences in the scale of the industry,in the transmission process,from the upstream to the consumer terminal,the spillover effect of risk is weakened.Therefore the dependent relationship between different industries and WTI has certain differences,including petrochemical and chemical industries related with WTI dependency relationship is higher.By analyzing the change of dynamic CoVaR value,it is found that there is a certain similarity between the fluctuation time period of CoVaR value of each industry and the fluctuation time period of WTI price,which indicates that when the price risk of WTI occurs,there will also be significant risk spillover effect on each industry.A horizontal comparison of the CoVaR changes between different industries shows that although the overall view is similar,the spillover intensity of the upstream and terminal industries shows that the upstream industry is higher than the downstream industry.In addition,this article explains this difference based on the "commodity" and "financial" attributes of crude oil.Finally,according to the results of the above research and the actual situation of China,relevant suggestions are put forward for the government,enterprises and investors from the perspective of risk management.