Research on differences of spillover effects between international crude oil price and stock markets in China and America

Zhenhua Liu, Zhihua Ding (), Rui Li (), Xin Jiang, JyS. Wu and Tao Lv
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Zhenhua Liu: China University of Mining and Technology
Zhihua Ding: China University of Mining and Technology
Rui Li: China University of Mining and Technology
Xin Jiang: China University of Mining and Technology
JyS. Wu: University of North Carolina at Charlotte

Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, 2017, vol. 88, issue 1, No 26, 575-590

Abstract: Abstract Oil is the basic factor of economic development, and its impacts of international crude oil market on stock markets have attracted wide attention from scholars. Based on the historical data of stock markets in China and the United States and international crude oil price during January 2003–December 2016, this paper employs the Vector Auto Regression-Generalized Auto Regressive Conditional Heteroskedasticity (VAR-GARCH) model to explore the mean and volatility spillover effects between international crude oil market and stock market. The results show that, first, there are two-way mean spillover effects between the US stock market and international crude oil market, while only one-way volatility effects from international crude oil market to the US stock market. Second, only one-way mean spillover effects from international crude oil market to Chinese stock market, and there is no evidence of volatility spillover effects between Chinese stock market and international crude oil market. The relationship between international crude oil price and China’s stock market shows a gradual strengthening trend, the linkage between them should not be ignored.

Keywords: Oil price; Stock market; Mean spillover; Volatility spillover; VAR-GARCH model (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s11069-017-2881-8

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