Spillover Effects Between The International Crude Oil Future Market And China’s New Energy Market Segments

As the world’s second largest oil consumer and the largest oil importer,international crude oil prices have a greater impact on China’s import and export trade and domestic production.In recent years,the country has taken a number of measures to optimize the domestic energy market and reduce the potential impact of international oil prices.On the one hand,the country actively develops renewable energy sources to optimize the energy structure and ease the dependence on crude oil.On the other hand,the listing of Chinese crude oil futures improves crude oil pricing capabilities of China.There is a certain substitution relationship between renewable energy and traditional energy represented by crude oil.The price information is transmitted between markets,which may form a spillover effect between markets.We use VAR and asymmetric BEKK-GARCH model to study the mean and volatility spillover effects between the international crude oil market and China’s new energy market segments,and explores the impact of the listing of China crude oil futures on the spillover effects.The spillover effects between China’s crude oil futures itself and the new energy market segments are also tested.Based on the static spillover relationship,this thesis considers the dynamic correlation coefficients between markets,and calculates the single dynamic hedging ratio and the compound hedging ratio,and provides suggestions for market risks hedging.The main findings are as follows:(1)During the entire sample period,the international crude oil futures market has unidirectional mean spillovers and volatility spillovers to the wind,solar,nuclear,hydrogen and new energy vehicle markets.(2)The listing of China crude oil futures makes all the mean spillover no longer significant,and the volatility spillover to the wind,solar,nuclear and new energy vehicle markets is no longer significant.The volatility spillover to the hydrogen energy market becomes more significant.(3)China crude oil futures itself has a unidirectional mean spillover to all segments of China’s new energy market,but there is no significant fluctuation spillover between it and each segment.(4)The use of crude oil futures for hedging can reduce the investment risk of new energy stocks,and the use of a composite hedging combination of international crude oil futures and Chinese crude oil futures is more effective.