Research On The Spillover Effect Between Crude Oil Futures And Stock Market In My Country From The Perspective Of Quantile

Crude oil is always an important energy and strategic material.On the one hand,crude oil products are involved in all aspects of daily life,and changes in crude oil prices have an important impact on the real economy.On the other hand,the crude oil market is highly financialized.The crude oil futures market closely links the crude oil price with other financial markets,and changes in oil prices will affect other financial markets.Compared with WTI and Brent crude oil futures,China’s crude oil futures market started late and has relatively weak influence in the world.The establishment of Shanghai crude oil futures market is of great significance to the international pricing power of crude oil,an important strategic resource.The crude oil futures contracts settled in RMB are beneficial to the internationalization of RMB.Studying the risk spillover effect between China’s crude oil futures prices and the stock market is of great practical significance to further standardize the development of China’s crude oil futures market,safeguard China’s energy security and financial security,and avoid systemic risks.This paper takes China’s crude oil futures market and industry stocks as the research object,analyzes the spillover effect between China’s crude oil futures market and the stock market,and provides the basis for relevant decisions of investors,relevant enterprises and government departments in China.In theoretical analysis,this paper holds that the spillover effect of China’s crude oil futures market on the stock market is mainly through the real economy and financial channels.Among them,the real economic approach mainly includes inflation effect,real balance effect,supply shock effect,substitution effect,etc.,and the financial approach mainly includes portfolio construction and arbitrage behavior,herding effect and expected benefits.The spillover effect of China’s stock market on crude oil futures market is mainly realized through financial channels.In the empirical analysis,this paper takes the indexes of traditional energy industry,new energy industry,raw materials industry,industrial industry,optional consumption industry,financial real estate industry and Shanghai crude oil futures market price as the research objects,constructs the information spillover index,establishes the QVAR risk spillover effect model,and analyzes the dynamic and static spillover effects under different market conditions.The results show that the impact of extreme events such as COVID-19 epidemic will have an impact on the spillover effect between China crude oil futures market and stock market,and the spillover effect between China crude oil futures market and stock market will be significantly enhanced under extreme market conditions.The traditional energy market is the most relevant to the crude oil futures market,and the spillover effect between the new energy market and the crude oil futures market is small.Industrial industry is an important risk disperser,but its risk transmission direction is mostly other industries in the stock market,which has little impact on the crude oil futures market.The crude oil futures market is basically in a passive position of risk dissemination during the sample period,so identifying and controlling the risk spillover from the stock market plays an important role in the risk prevention and control of China’s crude oil futures market.Based on the above analysis,this paper provides suggestions for relevant departments,enterprises and investors.