Research On The Spillover Effect Of International Energy Price On Chinese Stock Market

The global energy structure is still dominated by traditional energy,which is mainly represented by crude oil,natural gas and coal.As an asset,energy not only represents the attribute of commodity,but also the attribute of finance.In recent years,China’s dependence on energy imports has increased year by year.Under the background of the continuous integration of energy finance,changes in international energy prices have a great impact on China’s stock market.Therefore,studying the spillover effect of international energy prices on China’s stock market is of great significance for the stability of China’s financial market and energy security.This paper analyzes the relationship between the international energy price and China’s stock market and energy stock market by combining theory and empirical research methods.First,it demonstrates the relevant theoretical basis,analyzes the trend of international energy price and the current situation of China’s energy market,and studies the transmission mechanism between the two from the two paths of the real economy and the financial market.The empirical part is divided into two aspects.First,we use the vector autoregression model to analyze the relationship between international energy prices and China’s stock market and energy stock market,and then measure the risk spillover intensity based on the quantile regression static CoVaR model.The empirical data is 2249 sample data from November 23,2009 to November 17,2022.The international crude oil price is Brent crude oil futures price in the United Kingdom,the international natural gas price is the spot price of Henry Hub natural gas in the United States,the international coal price is Rotterdam coal futures price in ICE Exchange,and the Shanghai Stock Exchange index is the stock market price,The energy stock market price is the SSE energy index.VAR model is analyzed from the perspective of impulse response function,Variance decomposition and Granger causality.The results show that the Granger relationship between international crude oil prices and China’s stock market price fluctuations is the most significant,which is the Granger reason for China’s stock price fluctuations.However,in general,the international energy price fluctuation is the Granger cause of China’s energy stock price fluctuation,and the Granger relationship between international crude oil price fluctuation and China’s energy stock price fluctuation is the most significant.The results of the static CoVaR model show that when a risk event occurs in the international energy market,it will have a strong spillover effect on the stock market and the energy market as a whole.However,different energy types have different spillover effects.The spillover effect of crude oil is the strongest,and the spillover effect of natural gas is the weakest.Finally,through the analysis of the empirical results and from the perspective of government,enterprises and individual investors,the paper puts forward relevant policy recommendations.