An Empirical Study of Volatility Spillover Effects Between International Crude Oil Futures and Russian and Chinese Stock Markets - A Multivariate BEKK-GARCH Model Based on Wavelet Multi-Resolution Analysis

Chengchen Hu, Wenhao Ai

2022

Abstract

The strategic position of oil determines the high impact of crude oil on the macro economy. The volatility of crude oil futures prices affects the stock market, and China and Russia are typical representatives of crude oil importers and exporters respectively. This paper focuses on empirically studying the volatility spillover effects of international crude oil futures and the Chinese and Russian stock markets. This paper selects data on international crude oil futures prices, China-Russia stock market composite index and sectoral stock indices for the period from 24 April 2015 to 20 April 2018. The empirical results show that all industry stock indices are cointegrated with international crude oil futures prices, and the adjustment coefficients of international crude oil futures prices on the volatility of other industry stock indices are insignificant, except for CSI Industrial and Russian Energy.

Paper Citation

in Harvard Style

Hu C. and Ai W. (2022). An Empirical Study of Volatility Spillover Effects Between International Crude Oil Futures and Russian and Chinese Stock Markets - A Multivariate BEKK-GARCH Model Based on Wavelet Multi-Resolution Analysis. In Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI; ISBN 978-989-758-620-0, SciTePress, pages 438-444. DOI: 10.5220/0011739500003607

in Bibtex Style

@conference{icpdi22,
author={Chengchen Hu and Wenhao Ai},
title={An Empirical Study of Volatility Spillover Effects Between International Crude Oil Futures and Russian and Chinese Stock Markets - A Multivariate BEKK-GARCH Model Based on Wavelet Multi-Resolution Analysis},
booktitle={Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI},
year={2022},
pages={438-444},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011739500003607},
isbn={978-989-758-620-0},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 1st International Conference on Public Management, Digital Economy and Internet Technology - Volume 1: ICPDI
TI - An Empirical Study of Volatility Spillover Effects Between International Crude Oil Futures and Russian and Chinese Stock Markets - A Multivariate BEKK-GARCH Model Based on Wavelet Multi-Resolution Analysis
SN - 978-989-758-620-0
AU - Hu C.
AU - Ai W.
PY - 2022
SP - 438
EP - 444
DO - 10.5220/0011739500003607
PB - SciTePress