Synchronicity Study Between China-US Energy Stocks And International Crude Oil Prices

Since the global financial crisis,the characteristics of the energy market have become more complex and changeable and the market-driven mechanism and the impact mechanism have also changed.The financial attributes of energy have become more prominent.The energy market has become indispensable in the financial system,its information transmission relationship with financial markets has become more diversified and complicated,and it has been impacted by systemic risks and financial contagion effects.Based on this background,energy price risk and stock market risk are the research content of academics and industry for a long time,so the research on risk transmission between energy market and stock market has gradually become a hot issue for scholars.Based on the analysis of price synchronicity changes,this paper constructs a measure that can describe the synchronicity of micro-energy stock prices and crude oil prices for Chinese-US stock markets.The paper explores the influencing factors and effects on the synchronicity between energy stock prices and crude oil prices from the international and domestic market levels.Finally,we exam the performance of the synchronicity indicators in stock market.The sample includes the micro-individuals of the energy industry in the three stock markets of China,Hong Kong and the US from 1994 to 2017.Then by calculating the synchronicity index between the monthly stock price index and WTI crude oil,we analyze the influencing factors and practical value of the synchronicity index.The empirical results show that: First,the overall degree of synchronicity between US energy stock prices and crude oil prices is higher than that in the Chinese market,and geopolitical risk indices,geopolitical events,international crude oil positions and long-term balance,and the national macroeconomic environment.Second,the price synchronicity index increases during the period of geopolitical event and the characteristics of the fluctuation aggregation are obvious.The group study found that the impact of different geopolitical events on price synchronicity is different,and financial crisis events and war events have a greater impact on this synchronicity.Third,crude oil price shocks will also affect market price synchronicity.The lagged crude oil price is the Granger cause of market price synchronicity for the Chinese mainland and Hong Kong market.At the same time,crude oil prices will have a negative impact on synchronicity,and the impact on the Hong Kong market is greater than the mainland market.Fourth,according to the highest and lowset synchronicity index,we construct some portfolios.By comparing the income of each portfolio during the period of crude oil ups and downs,it is found that the investment strategy based on the combination of synchronic indicators can obtain excess returns.In summary,this paper constructs the synchronicity index between energy stock prices and crude oil price,analyzes the basic characteristics and influencing factors of price synchronicity,and constructs a portfolio strategy based on the synchronicity index.Through the synchronicity to capture the linkage between the stock market and the crude oil market,this paper provides empirical evidence and decision support for financial market volatility forecasting,portfolio strategy design and decision-making for relevant departments.Based on the empirical research conclusions,market investors.Mean while,in the process of energy stock investment should pay more attention to the occurrence of geopolitical events,the net long position of international crude oil and national macroeconomic environment.The investors can consider the design of portfolio implementation strategies in terms of the degree of synchronicity.In addition,during the geopolitical incident,the regulatory authorities should strengthen the risk prevention of the energy sector in the case of violent fluctuations in international oil prices and avoid speculation.