VOLATILITY SPILLOVERS BETWEEN CRUDE OIL PRICES AND NEW ENERGY STOCK PRICE IN CHINA

Using data from the crude oil market and the stock market in China, this paper employed VAR model and multivariate GARCH models (including BEKK, DCC, and CCC) to analyze the mean and volatility spillover effects between crude oil future prices and new energy stock prices in China. The BEKK model is found to fit the data the best, with the comparison of three types of GARCH models. The result shows that there is unilateral mean and volatility spillover effects from crude oil future prices to new energy stock prices in China. Then, the time-varying conditional correlations are constructed to offer a deeper insight for the relationship of crude oil futures market and Chinese new energy stock market. In addition, a dollar long position of new energy stock could be a hedge with twelve cents short position of crude oil. These empirical findings can be useful to both investors and policy-makers for the current and especially future economic and financial environments.