The Reaearch On The Risk Spillover Effect Of International Crude Oil Futures Market To Chinese Energy Stock Market Under The Background Of Epidemic

For a long time,the crude oil futures market has been playing an important role in the global financial market,and the international crude oil futures price has gradually shown the characteristics of high volatility.China’s dependence on foreign crude oil has been rising since 2009,and China’s energy market is increasingly linked to the international crude oil market.In early 2020,the global outbreak of COVID-19 caused extreme volatility in international crude oil futures,which affected China’s capital market.Therefore,it is necessary to clarify the change of the risk spillover effect of international crude oil futures market on China’s energy stock market under the background of the epidemic and construct the corresponding minimum risk portfolio.In order to investigate the risk spillover from the international crude oil futures market to China’s energy stock market under the background of the epidemic,this paper used the daily data from July 19,2017 to November 26,2021 and the Co Va R method to study the risk spillover from the international crude oil futures market to China’s energy stock market before and during the outbreak of the epidemic.The following conclusions are drawn about the direction of risk spillover: whether before or during the outbreak of the epidemic,the international crude oil futures market has a positive risk spillover to China’s energy stock market,that is,when extreme risks occur in the international crude oil futures market,the risk level of China’s energy stock market will increase.The following conclusions were drawn about the intensity of risk spillover:first,the intensity of risk spillover from the international crude oil futures market to China’s energy stock market during the epidemic period was lower than that before the outbreak;Second,before the outbreak of the epidemic,the spillover intensity of the international crude oil futures market to China’s traditional energy stock market was greater than that of the new energy stock market.Third,during the epidemic period,the spillover intensity of the international crude oil futures market to China’s new energy stock market was greater than that to the traditional energy stock market.In addition,in the understanding of international crude oil futures market of China’s energy,after the stock market risk spillover effect when the international crude oil futures market,Chinese traditional energy stock market and China’s new energy investments,stock market is very important to choose the minimum risk portfolio,so the paper is based on the 2017 July 19 solstice data on November 26,2021 degrees,Monte Carlo and Va R methods were used to construct the minimum risk portfolio of international crude oil futures market,Chinese traditional energy stock market and new energy stock market before and during the outbreak of the epidemic.The results showed that in the minimum risk portfolio before the outbreak of the epidemic,the proportion of international crude oil futures market,traditional energy stock market and new energy stock market were 0.3,0.4 and 0.3,respectively,and the corresponding portfolio Va R was-0.022.During the epidemic period,the proportions of international crude oil futures market,traditional energy stock market and new energy stock market were respectively 0.1,0.7 and 0.2,and the corresponding portfolio Va R was-0.027.Finally,according to the conclusions of the research,the paper makes recommendations for policy makers,energy companies and investors.Policymakers should improve China’s bargaining power in the international oil price,strengthen the risk monitoring of the international crude oil futures market and China’s energy stock market,and pay more attention to the new energy stock market.Energy enterprises should pay close attention to the fluctuation of international crude oil futures market and use futures tools to manage risks,increase the efforts to reduce costs and increase efficiency,and establish a perfect risk prevention and control mechanism.Investors should pay close attention to market changes and allocate funds reasonably.