Study on The Impact of Shanghai Crude Oil Price Volatility and Stock Indices of China's Oil-related Industries
DOI:
https://doi.org/10.54097/fbem.v11i1.12022Keywords:
Shanghai crude oil futures, BEKK-GARCH, Spillover impacts.Abstract
This paper takes Shanghai crude oil futures price and the industry stock index related to it as the research object, and selects the daily data from March 26, 2018 to December 31, 2022, and adopts the BEKK-GARCH model. To explore the correlation between Shanghai crude oil futures price volatility and different segmented industry stock markets. It is found that there is a significant asymmetric volatility spillover effect effect between the vast majority of oil-related industry markets and the Shanghai crude oil market. Based on the relationship between Shanghai crude oil futures prices and oil-related industry stock indexes, investors can make investments based on the fluctuations of Shanghai crude oil futures prices, rationally study the changes in the stock prices of oil-related industries, and do not follow the market panic operations using futures to control risk. And with the oil industry chain related to a higher degree of industry, by increasing the asset allocation method, can effectively reduce risk.
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