The Volatility Spillover Effect Between the International Crude Oil Futures Price and China’s Stock Market - Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution

This study aims to analyze the volatility spillover effect between the international crude oil futures market and China’s stock market. Using West Texas Intermediate (WTI) and the Shanghai Composite Index (SSEC) to represent the international crude oil futures market and China’s stock market respectively, this study selects data of WTI and the SSEC from August 10, 2007 to August 10, 2017. It processes these data via wavelet multiresolution to decompose them into different levels and then builds the data model based on the BEKK-GARCH model. By testing the parameters through the Wald test, it further explores whether the volatility spillover effect exists between WTI and the SSEC. Empirical evidence finds that the volatility spillover effect between WTI and the SSEC is significant in the short run, while, however, such a volatility spillover effect does not exist in the medium and long term.

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Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis

Asian Journal of Finance & Accounting ◽

10.5296/ajfa.v11i1.14348 ◽

2019 ◽

Vol 11 (1) ◽

pp. 183

Author(s):

Maoguo Wu ◽

Daimin Lu

Keyword(s):

Stock Market ◽

Crude Oil ◽

Explanatory Power ◽

Composite Index ◽

Spillover Effect ◽

Stock Index ◽

Oil Futures ◽

Crude Oil Futures ◽

Futures Price ◽

Volatility Spillover Effect

The increasingly prominent strategic position of crude oil determines its high impact on macro-economy. The value of crude oil is reflected in the price of crude oil futures. Stock market is the barometer of macro economy. To what extent does international crude oil futures price affect stock market? China and Russia are the biggest importer and exporter of crude oil, respectively. Crude oil is of strategic value to both countries. This study empirically investigates the volatility spillover effect of international crude oil futures and China-Russia stock market from April 24th, 2015 to April 20th, 2018, based on the data of international crude oil futures prices, China-Russia stock market composite index, and industry stock index. The empirical results show that there is a short-term relationship between China-Russia stock market composite index and international crude oil futures price. The international crude oil futures price has a greater explanatory power to Russian RTS index, but a smaller explanatory power to Shanghai composite index. All industry stock indices are cointegrated with international crude oil futures prices. Except for China industry and Russia energy, the adjustment coefficient of international crude oil futures price on stock index volatility of other industries is insignificant. This study mainly studies the relationship between international crude oil futures price and the comprehensive stock index and industry stock index of China and Russia, and compares the impact of international crude oil futures price on the stock market of the largest importer and the largest exporter of crude oil to explore the linkage between crude oil futures price and stock market, and puts forward policy implications based on the empirical results.

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Spillover effects between energies, gold, and stock: the United States versus China

Energy & Environment ◽

10.1177/0958305x20907081 ◽

2020 ◽

Vol 31 (8) ◽

pp. 1416-1447 ◽

Cited By ~ 1

Author(s):

Xie He ◽

Tetsuya Takiguchi ◽

Tadahiro Nakajima ◽

Shigeyuki Hamori

Keyword(s):

United States ◽

Stock Market ◽

Crude Oil ◽

Spillover Effect ◽

The United States ◽

Commodity Markets ◽

Volatility Spillover ◽

Chinese Stock Market ◽

The Us ◽

Volatility Spillover Effect

This study investigates the time–frequency dynamics of return and volatility spillovers between the stock market and three commodity markets: natural gas, crude oil, and gold via a comparative analysis between the United States and China is conducted with the help of new empirical methods. Our findings are as follows. First, in terms of time, return spillovers between crude oil and the stock market are strongest in two of the three commodity markets. Crude oil emits a net negative return spillover to the US stock market, and a net positive return spillover to the Chinese stock market. By contrast, the strongest volatility spillover effect is transmitted to the stock markets of both countries through gold. However, gold has a net positive volatility spillover effect on the US stock market and a net negative effect on the Chinese stock market. In the frequency domain, most of the return spillover is produced in the short term, and most of the volatility spillover occurs in the long term. In addition, the moving-window method reveals the dynamic nature of the spillover effect. Some extreme events can have a dramatic effect on the spillover index. Conversely, the spillover effect differs significantly between the two countries and is characterized by time variation and frequency dependence.

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Crude Oil Volatility Transmission Across Food Commodity Markets: A Multivariate BEKK-GARCH Approach

Journal of Emerging Market Finance ◽

10.1177/0972652720927623 ◽

2020 ◽

pp. 097265272092762

Author(s):

M. Thenmozhi ◽

Shipra Maurya

Keyword(s):

Crude Oil ◽

Futures Markets ◽

Spot Market ◽

Futures Market ◽

Spot Price ◽

Volatility Spillover ◽

Oil Futures ◽

Long Run ◽

Short Run ◽

Crude Oil Futures

This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis of the short- and long-run dynamics of volatility in both spot and futures markets of maize, soybean and wheat and crude oil prices using the multivariate BEKK-GARCH model, indicate volatility spillover from wheat futures to crude oil futures in the short run and from crude oil futures to futures markets of maize, soybean and wheat in the long run. The spot market linkage of selected commodities is weaker compared to futures market, wherein maize spot volatility transmits to crude oil spot market in the longer period and no spillover between crude oil-food spot market is observed in the short run. The hedge ratios indicate that a dynamic hedging strategy is crucial for efficient risk management and the portfolio weights in futures market are more than the spot market. The results reveal that cross-market volatility spillover is more evident in the futures market, while own past conditional volatility is more significant in spot price discovery and risk transmission is evident among food commodities futures markets. JEL Codes: G13, G14, Q11, Q18, Q02

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