The Relationship Between Crude Oil Futures And Chinese New Energy Stocks

Petroleum,as the dynamic support for the development of human society and the supply of raw materials for modern industry,plays an important role in the national economic performance.The ups and downs of international oil prices will also be transmitted to all aspects of the national economy through the antennae of relevant industrial chains,adding a lot of uncertainties to the global real economy.Since the 1970s,crude oil derivatives,represented by crude oil futures,have appeared one after another,which makes crude oil have dual attributes of commodity and finance,and the uncertain risks of crude oil market have spread from real economy to capital market.In recent years,the world's energy structure is undergoing profound changes.The mutual substitution between traditional energy and new energy makes the relationship between international crude oil futures and new energy stocks more and more complicated,especially for China,a developing country with a large energy demand and high external dependence on oil.However,the present domestic research on oil price mainly focuses on its impact on the overall stock market,and rarely discusses the relationship between international crude oil futures and the segmented Chinese new energy stock market from the perspectives of spillover and dynamic linkage comprehensively.Therefore,it is particularly important to study this relationship under the background of deep integration of the global financial markets and the key step of opening up the domestic futures market.China's booming new energy industry recently provides a good breakthrough point.This paper,based on the perspective of spillover effect and dynamic linkage,investigates the complex relationship between international crude oil futures and the performance of China's new energy stocks,using the VAR,BEKK-GARCH,DCC-GARCH models.In addition,the differences in the relationship after listing Chinese crude oil futures are further discussed.It is found that the international crude oil futures have a positive mean spillover effect on China's new energy stocks,while the Chinese new energy stock market has no obvious mean spillover effect on the international crude oil futures.However,with the successful listing of Chinese crude oil futures,CSI new energy index began to have a negative impact on the price of international crude oil futures.There is a two-way volatility spillover effect between the two markets.With the listing of Chinese crude oil futures,the volatility transmission from WTI to CSI new energy index has weakened.In terms of linkage,the yields of China's new energy stocks and international crude oil futures are dynamic and positive,which means the rise of international crude oil futures will bring about the strength of China's new energy index.The correlation coefficient of dynamic conditions between the two markets presents a "W" distribution.After the introduction of Chinese crude oil futures,the dynamic correlation between international crude oil futures and stocks in China's new energy industry has been enhanced,higher than the corresponding level with Chinese crude oil futures.What's more,the paper further applies dynamic correlation coefficient to construct investment strategies,which provides investors with a variety of options for investment decision-making.For hedging holders,they can choose to sell WTI crude oil futures or INE crude oil futures to cover the long risk of domestic new energy stocks,but the hedging ratio of WTI crude oil futures is relatively low.For investors seeking to minimize risks,the proportion of investment in new energy stocks should be slightly larger than that of WTI crude oil futures.However,compared with the portfolio containing Chinese crude oil futures,the asset allocation ratio using WTI is more volatile,causing frequent adjustments and more transaction costs consequently.