Research On Spillover Effect Of International Crude Oil Price And China’s Energy Stock Market

China is the world’s largest importer of crude oil.In recent years,the dependence on crude oil import has been increasing year by year.The security of crude oil has become a major problem that our country urgently needs to solve.In the background of mutual integration of energy and finance,promoting China’s economic development.It is of great practical significance to study the spillover effect of international oil price on China’s energy stock market to maintain China’s financial stability and energy security.Through the analysis of the current situation of international oil price fluctuations,this paper concludes that there are two main factors affecting the international oil price fluctuations: market factors and non-market factors.Based on the empirical analysis of the historical trend of international oil prices and China’s stock market,it is concluded that the international crude oil market and China’s stock market are basically in the same direction.In the empirical analysis section,the VAR-BEKK model is used to empirically study the average spillover effect and the volatility spillover effect between the international oil price and the stock return rate of listed companies in the China’s energy industry.Select daily closing price data of WTI crude oil futures and SSEN index.The mean value equation and variance equation of VAR-BEKK model are tested by empirically tested.The empirical test results show: In terms of mean spillovers effect,The international crude oil market has negative average spillover effect on Chinese energy stocks.However,the average spillover effect of China’s energy stocks on the international crude oil market is not significant.The result show that the rise and fall of international oil prices will affect the trend of China’s energy stocks.But China’s energy stock market doesn’t have the ability to affect the rise and fall of the crude oil market.In terms of the volatility spillover effect,there is a significant two-way volatility spillover effect between the international oil market and the energy stock market in China.The risk of volatility in one market spreads to another.Finally,Summarize the main conclusions of this paper,and make suggestions to the Chinese government or individual investor according to the analysis results.