The Risk Contagion of Global Crude Oil Market to the Stock Market under the Impact of Emergency

ZHANG Nian-hua, HUANG Jia-geng, XU Hao-yu

Journal of Central University of Finance & Economics ›› 2023, Vol. 0 ›› Issue (10) : 40-56.

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Journal of Central University of Finance & Economics ›› 2023, Vol. 0 ›› Issue (10) : 40-56.

The Risk Contagion of Global Crude Oil Market to the Stock Market under the Impact of Emergency

  • ZHANG Nian-hua, HUANG Jia-geng, XU Hao-yu
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Abstract

This paper constructs a risk spillover intensity index, and then study the risk contagion and impact mechanism of the global crude oil market to the stock market under the impact of emergency.We find that a sudden Covid-19 infection will intensify the risk spillover from the global crude oil market to the stock market, and the rising epidemic risk in the host country will also intensify the vulnerability of the local stock market and the risk spillover of the global crude oil market.We also find that WTI and Brent Futures Market are the risk spillover centers of the global crude oil market, which shows that the crude oil markets with high maturity and great influence are more likely to aggravate systemic risk contagion.During the period of virus infection, the risk spillover of China stock market from global crude oil market is lower than that of US stock market and UK stock market, but China stock market will still face the risk impact of global crude oil market. In the face of unexpected shocks, optimizing the financial market environment, maintaining exchange rate stability and reducing the speculative atmosphere in the stock market are all effective countermeasures. Finally, this paper provides relevant suggestions for maintaining market stability.

Key words

The impact of emergency / Volatility in oil market / Risk in stock market / Prevent risk spill in

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ZHANG Nian-hua, HUANG Jia-geng, XU Hao-yu. The Risk Contagion of Global Crude Oil Market to the Stock Market under the Impact of Emergency[J]. Journal of Central University of Finance & Economics, 2023, 0(10): 40-56

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