A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market

Yufang Liu, Chi Zhang, Wang Zhang and Chun Wei

Complexity, 2021, vol. 2021, 1-13

Abstract: Taking the opportunity of China’s launch of Shanghai crude oil futures (INE), this study empirically examined the information transmission in this immature financial market, investigating this issue from a new perspective. To identify the impact of INE on the related stock market, we collected high-frequency trading data of oil futures and 22 stocks owned by listed companies in the upstream and downstream of China’s oil-related industry chains, constructed a causal chain through Directed Acyclic Graph, and used MFDCCA-MODWT to perform multifractal analysis on the chain. Research shows that INE does have a causal relationship with the stock market of the related industry chain, and there is a multifractal correlation between its transaction time series. Subsequently, the source of fractal correlation was analysed with shuffled and surrogated sequences. We conclude that long memory plays a leading role and is the main reason for multifractal features.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:3459427

DOI: 10.1155/2021/3459427

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