关键词: 能源金融化, TVP-VAR-DY模型, 跳跃检验, 波动溢出效应

Abstract: As one of the most important commodities, crude oil is very important in promoting the stable development of national economy. China officially launched The Shanghai International Energy Exchange (INE) as the country’s first international crude oil futures in 2018. Under the background of financial integration, the liquidity of capital and the efficiency of information transmission are constantly improving, and the correlation between China and the international financial market, especially the US financial market, is gradually increasing. The uncertainty of the US financial system has made the imported financial risks in China’s energy market increasingly great. In this context, the study on the time-varying linkage and volatility spillover effect of China’s crude oil futures market and Sino-US stock markets is helpful to establish and improve the risk supervision system in line with the characteristics of China’s crude oil futures market.
Through the sorting and research of relevant literature, it is found that the research objectives of the existing research are mostly focused on WTI and Brent crude oil futures, and the multivariate volatility models such as BEKK and DCC are mostly used in the research methods, and most of the volatility as a whole is taken as the research object. However, with the frequent occurrence of special events such as Sino-US trade frictions and public outbreaks, it is necessary to analyze the co-movement of China’s oil market and domestic and foreign stock markets under the impact of “black swan” events. Therefore, this paper selects Shanghai crude oil futures as the representative of China’s oil market to explore the characteristics of time-varying linkage and volatility spillover effect between China’s oil market and Chinese and American stock markets.
Firstly, the paper uses the five-minute high-frequency data of Shanghai crude oil futures, SP500 and Shanghai Composite Index to calculate the corresponding daily realized volatility, the paper adopts C_TZ test method to achieve the decomposition of volatility, and the volatility is decomposed into continuous volatility and jump volatility. Secondly, the TVP-VAR model is established for the continuous volatility and jump volatility of the three types of markets, and the time-varying linkage effect is analyzed under different time intervals and different time points. Finally, based on the forecast error variance decomposition (DY) method, the volatility spillover effect between continuous volatility and jump volatility is analyzed. In this paper, the Shanghai crude oil futures (INE), the Standard & Poor’s 500 index (SP500) and the Shanghai Composite Index (SH) are selected as the research objects to describe the Chinese oil market and the Chinese and American stock markets. The sample period is from March 26, 2018, to November 30, 2021, including a total of 853 trading days during the white-hot and staged easing period of China-US trade frictions, the period of frequent geopolitical conflicts and the outbreak of COVID-19. All data are obtained from the Wind database. (http://www.wind.com.cn/En).
The paper has obtained the following conclusions: first of all, Shanghai crude oil futures have the most jump days, indicating that it is more vulnerable to extreme fluctuations. Secondly, the impact of the extreme shock of Shanghai crude oil futures on SP500 and Shanghai Composite Index has the same trend in different lag periods, which indicates that the long-term linkage effect between China’s crude oil futures and Chinese and American stock markets is obvious in both conventional and extreme cases. Thirdly, whether in the normal state or in the occurrence of extreme events, the degree of linkage between China’s crude oil futures and the US stock market is greater than that of the Chinese stock market. That is, China’s crude oil futures are easy to impact the external market, but also vulnerable to the impact of the external market which to some extent proves that its pricing power in the international crude oil market has increased. Moreover, the volatility linkage effect of oil market and stock market will be time-varying. Finally, under normal conditions, the continuous spillover effect between the crude oil market and the US stock market is significantly stronger than that between the crude oil market and the Chinese stock market. However, under extreme shocks, jump volatility is more uncertain, and the spillover effect of jump volatility among markets is weak. Overall, there are time-varying linkage and volatility spillover effects between the Chinese crude oil futures market and the Chinese and American stock markets.

Key words: financialization of energy, TVP-VAR-DY model, jump test, volatility spillover effect