The Risk Spillover Effect Of Crude Oil Price On Chinese Industry Stock Market

As an important strategic material in today’s world,crude oil has provided a non-negligible contribution to the rapid development of the global economy.With the emergence of the attributes of crude oil financial assets,the fluctuation of crude oil prices will have a direct impact on the macro-economy and stock markets of various countries.The development of global economic integration has intensified the risk contagion among financial markets.Whenever the international crude oil price fluctuates abnormally,it will have a certain negative impact on China’s stock market,which will easily cause the stock market income to decline and the country’s macro-economy to decline.Just as the recent political conflict between Russia and Ukraine led to a sharp rise in the price of crude oil,the stock markets of various countries have been significantly affected and have fallen sharply.Therefore,it is very necessary to study the risk spillover effect between crude oil price fluctuations and the stock market of related industries in China.In this paper,the stock indexes of the seven industries with high correlation with the international crude oil market will be selected by grey correlation model for theoretical and empirical analysis,and the dynamic correlation coefficient between the spot price of WTI crude oil and the seven industries of SSE will be calculated by using the AR(1)-GRACH-Copula-Co Va R model,and the dynamic correlation coefficient graph will be made;and then the Co Va R will be calculated according to the formula,and the Co Va R Δ,%Co Va RA,to measure the degree of risk spillover effect between the WTI crude oil spot price and the seven industries of the Shanghai Stock Exchange,and to make a related time series chart for analysis.Provide regulatory oversight by market regulators,risk aversion for relevant industry participants,and some caution for investors when making investments.The main research conclusions of this paper are:(1)There is a positive correlation between the spot price of WTI crude oil and the selected seven industries.(2)When a risk event occurs that causes the international crude oil spot price to fluctuate significantly,the WTI crude oil spot price and the seven industries of the Shanghai Securities Will also be subject to a more obvious risk spillover effect.(3)From the perspective of risk contribution,there is a positive and two-way risk spillover effect between WTI and the seven industries of the Shanghai Securities,and the risk spillover effect of WTI on the seven industries of the Shanghai Securities is greater than the risk spillover effect of the seven industries of the Shanghai Stock Exchange on WTI,when the WTI spot market encounters extreme risks,the seven industries of the Shanghai Securities will be infected by risk,and similarly,when the seven industries of the Shanghai Securities encounter extreme risks,the WTI spot market will also be infected by risk.