Research On Risk Resonance Effect Between Crude Oil Price And China A-share Market Index

In recent years,The importance of crude oil to a country or region is self-evident:from the daily trips of residents to the daily activities of various industries in a country.Crude oil represents not only a simple source of energy,but also an important force indispensable for social progress,industrial technology development,and the maintenance of civilization! Affected by geological factors,climatic environment and time,the distribution of crude oil resources in the world is uneven.Some countries or regions have huge natural crude oil resources because of their unique environment,while some countries and regions are “poor”.Oil” status.According to the "BP Statistical Yearbook of World Energy",among the top ten countries with recoverable crude oil in 2020,the top five countries account for more than half of the global recoverable.Although China is a country rich in overall resources,the per capita level is very low.Due to China's rapid development in recent years,the demand for crude oil is very high.Since 2018,China has become the world's largest crude oil consumer.Due to the limitation of domestic crude oil supply,China's dependence on foreign crude oil for three consecutive years in 2018,2019,and 2020 has been above 70%.This situation has led to severe fluctuations in international crude oil prices.The economic and social aspects have a huge impact.On the other hand,with the financialization of crude oil and the deepening of global financial integration,China also opened the crude oil futures market in 2018 to integrate with international crude oil prices,which makes the fluctuations in crude oil market prices have a more direct impact on China's economy and society.,And the linkage with the Chinese stock market has increased.And from the international crude oil(Brent crude oil)price and my country's A-share market index CSI 300 trend chart,it can be found that the price fluctuation trend between the two has a strong correlation,so the article is about the international crude oil price and my country's The research on the risk resonance effect between the A-share indexes is very necessary,and this is also in line with the fundamental requirement of "holding the bottom line without systemic financial risks" in the financial field put forward by Xi Jinping's socialism with Chinese characteristics in the new era.The article analyzes and studies the resonance effect of crude oil prices and the risk of my country's stock market in order to gain a deeper understanding of the risk and information transmission relationship between the financial market,which provides a new perspective and method for the regulatory authorities and investors to solve the risk management related problem.In order to study the risk resonance effect between crude oil prices and my country's A-share market index,the article first explains the "risk resonance" and summarizes the commodity and financial attributes of crude oil.And theoretically analyzes how the price linkage between the crude oil market and the Chinese stock market is transmitted,and derives the risk transmission path between the commodity path and the financial asset path.At the same time,according to the relevant literature,the research status and research methods of the crude oil market,the impact between the crude oil market and the stock market and the risk resonance effect at home and abroad are listed,and the literature review is carried out.Next,the article selects the Brent crude oil spot price and the daily return rate of my country's A-share index CSI 300 as the research object,inspired by CAPM theory and market model,and establishes the basic model M0.Combined with the perspective of financial physics,it was modified and two new cyclical fluctuation models were constructed.Through the selection of rolling time window,five loss functions,advanced predictive ability(SPA)test,two information criteria(AIC,BIC)and goodness of fit test and other methods,according to actual data and empirical results,the best one is selected.Excellent model,and using the comparison of fit within the sample,the probability density function image between the real data and the optimal model simulation data is drawn,and the fit is very good.Then,use the selected optimal periodic model to calculate the introduced financial physics index: signal power amplification,which is performed by giving the functional relationship between the model parameters and the value of signal power amplification ? Analyze it to describe the risk resonance effect between the price of international crude oil(Brent crude oil)and my country's A-share index.Then,after theoretical analysis and empirical simulation,the article found that there is an optimal ?(when the value is 0)and the optimal average value ? of systemic risk(the value is about 1),which makes the spot price of Brent crude oil comparable to China's The risk resonance effect between the Shanghai and Shenzhen300 indexes reaches the minimum,which is in line with the efficient market hypothesis,but it is an ideal state;the greater the variance D of the non-systematic risk distribution,the stronger the risk resonance between markets;on the contrary,The smaller the value,the smaller the risk of resonance.Therefore,the risk resonance between the two markets can be reduced by dealing with and adjusting non-systematic risks.At the same time,the smaller the value of the amplitude A of systemic risk,the larger the value of the logarithmic signal amplification gain ?,the stronger the risk resonance effect;on the contrary,when the value of the amplitude A is larger,the smaller the value of ?,the greater the risk resonance effect.weak.Finally,this article summarizes the problems found in the research conclusions,and proposes recommendations for market investors and my country's financial regulators accordingly.And finally analyze and put forward the deficiencies and prospects of this article.