Evaluation Of The Spillover Effect Of Crude Oil Price Fluctuations On The Stock Prices Of My Country's A-share New Energy Companies During The New Crown Epidemic

This paper studies the influence mechanism of COVID-19 on crude oil prices and the spillover effect between WTI crude oil futures and Chinese new energy companies' stock prices.This paper's research time range is November 17,2018,one year before the outbreak of the epidemic,and November 17,2020,one year after the outbreak of solstice.The top ten new energy enterprises in the CSI new energy index are selected as Chinese new energy enterprises' representatives.In economic theory,efficient market hypothesis,market contagion theory,and information friction theory explain different markets' correlation.However,these theories alone cannot fully explain the correlation between China's new energy companies' stock market and the international crude oil futures market,especially during the epidemic period.After integrating the two markets' data structure and background,this paper selects the generalized VAR model to empirically study the two-way volatility spillover relationship between the two markets.Besides,this paper also uses the DCC-GARCH model to empirically study the time-varying correlation between the two markets to explore the mutual influence relationship between the two markets during the epidemic.After selecting a rolling window period of 200 days,the generalized VAR model results show that the average total spillover effect ratio between WTI crude oil futures and the stock prices of new energy companies after the outbreak of the COVID-11 is 38.75%.The net spillover ratio calculation results show that the WTI crude oil futures price is the receiver of the spillover effect,and the net spillover ratio is-3.75%.In general,Chinese new energy enterprises are the initiators of the spillover effect in the two markets,mainly from SH600438,with a net spillover ratio of 8.75%.Especially for the negative price of WTI crude oil on April 20,2020,ten new energy enterprises all appeared about 10 times the average level of historical data volatility overflow,and the volatility overflow of WTI crude oil futures on April 20 rose sharply was about 12 times of that of other periods.After the extreme negative price event,China's new energy enterprises' stock price sent more volatility spillover to WTI crude oil futures.By BIC test,this paper determines the DCC-GARCH(1,1)model.The empirical results show that the dynamic correlation sequence diagram,on April 20,2020,WTI extreme negative valence,before and after nine new energy enterprises and dynamic correlation of WTI crude oil futures has the "V" type,can explain the extreme events of the day to a negative influence on the correlation of two markets is related to enhanced,and the amplitude is obvious.In general,one year after the epidemic outbreak,the dynamic correlation level of the stock prices of new energy companies in China basically returned to the level before the outbreak of the epidemic after drastic fluctuations.It is worth mentioning that this paper also analyzes the degree of the spillover effect of COVID-19 on the volatility of the two markets through a multiple regression model.By constructing a multivariate equation expression between the daily number of new infections,deaths,and cures of COVID-19 and the net volatility spillover size of the two markets measured by the generalized VAR model,the regression results were obtained.Most of the variables are significant at a 95% confidence level.Finally,the article made by ten in terms of weight,such as new energy stocks portfolio value-at-risk(Va R)under 99%confidence level fluctuation diagram,the results showed that on April 20,2020,of the portfolio Va R value is the historical average of about six times the left and right sides,therefore resist such extreme events the risk of at least 6 times normally slow-release preparation.Given the abnormal fluctuation of WTI crude oil price,this paper inspires the risk control of China's new energy stock market to deal with extreme events and provides a reference for China's new energy policy to improve the energy transition from new energy to electric energy consumption industry.