| China is the world’s largest net importer and the second largest consumer of crude oil.As an important basic resource for social and economic development and an important national strategic reserve resource,oil boosts economic growth and has a vital impact on China’s economy.In recent years,the "Black Swan" events such as the "COVID-19 Epidemic" that hit the crude oil market have been frequent,the international situation has been changing rapidly,the geopolitical and power game has become more and more obvious,the uncertainty in the international crude oil market has been greatly strengthened,the WTI crude oil futures contract plunged sharply in 2020,and even the extreme event of negative oil price(-37.63 USD/barrel)has occurred in April.With the increase of the financial attribute of crude oil,the fluctuation of crude oil futures will have a huge impact on China’s economy,and the stock market,as a"barometer" of a country’s economy,will inevitably be affected.In addition,most of the international crude oil trade is delivered in USD.The fluctuation of oil price will affect the trade surplus and capital flow,affect the demand for RMB and thus impact the exchange rate.The PBOC has also introduced relevant measures to expand the opening degree of the capital market.With the acceleration of capital flows,the channels linking China’s stock market with the exchange rate will become more open.Therefore,at a time when the global market is accelerating to merge and the world situation is uncertain,it is of great significance to explore the volatility spillover among the international crude oil futures market,exchange rate and china stock market,and to explore the transmission direction of price volatility and the transmission of risks among the markets,so as to prevent cross-market transmission of risks.In this paper,WTI international crude oil futures price,USD/CNY exchange rate and CSI300 index are selected as research samples.Firstly,the non-linear correlation of crude oil-exchange rate,crude oil-stock market and exchange rate-stock market is depicted by using Copula model,the degree of coordinated movement among the markets is analyzed,and the relevance changes during the exterme period of "Sino-US trade dispute" and "COVID-19 epidemic" are investigated.Next,the BEKK model is established to analyze the direction and persistence of price volatility spillover of the three markets in the overall sample interval(long-term).The results show that:(1)WTI crude oil futures,USD/CNY exchange rate and CSI 300 index,three-variable yield series,have obvious volatility aggregation and persistence during the sample period.(2)Crude oil futures,exchange rate and stock market are correlated with each other.Specifically,the oilFut market and the China stock market as a whole show a strong positive correlation;the oilFut market and the USD/RMB exchange rate as a whole showed negative dependence;The USD/CNY exchange rate also shows a weak negative dependence with the Chinese stock market.(3)Special period correlation:during the "stock market crash" in 2015,the correlation between the international OilFut market and the China stock market reversed.During the "Sino-US Trade Dispute" period,the correlation between the OilFut market and the China stock market has been strengthened to a greater extent;During the period of the "COVID-19 epidemic" major health event,the correlation between the OilFut market and the China stock market,the OilFut market and the exchange rate of USD/CNY,and the two joint markets all increased.It shows that the risk between international crude oil and China’s financial market will increase when facing the impact of extreme events.The correlation between China’s stock market and the exchange rate market did not change significantly during the extreme period.(4)The BEKK-GARCH model shows that there is’volatility spillover’ in the whole sample range in the three markets.Specifically,there is a two-way ARCH effect between the international OilFut market and the USD/CNY exchange rate,but there is no GARCH effect between the two;There is a bidirectional ARCH effect between crude oil and stock market,and the oilFut market has unilateral GARCH effect on stock market.The China stock market has one-way ARCH and GARCH effects on the USD/CNY exchange rate,and the exchange rate has no volatility spillover on the stock market.Based on the above research conclusions,combined with China’s current market development situation,this paper puts forward relevant suggestions to China’s regulators and investors. |
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