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Chinese Journal of Management Science ›› 2018, Vol. 26 ›› Issue (11): 50-61.doi: 10.16381/j.cnki.issn1003-207x.2018.11.006

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International Transmission of Volatility Among Crude Oil Prices, Economic Uncertainty and the Stock Market

WANG Qi-Zhen1, WANG Yu-Dong2   

  1. 1. Businiess school, Nanjing Xiaozhuang University, Nanjing 211171, China;
    2. School of Economics and Management, Nanjing University of Science andTechnology, Nanjing 210094, China
  • Received:2017-08-14 Revised:2018-04-25 Online:2018-11-20 Published:2019-01-23

Abstract: Since the 2008 financial crisis,global stock market volatility, oil prices fluctuations and economic uncertainty have made it important to study risk conduction effects between different markets.After a comprehensive evaluation of shortcomings of existing researches and new improvement methods, a fresh method proposed by Diebold and Yilmaz (2012) is used in this paper to investigate the international transmissionamong crude oil prices, the US economic uncertainty and China's stock market. In this paper, we use the monthly data of crude oil prices, the US economic uncertainty index and China's stock price from January 1986 to December 2016 are used and the static volatility spillover index, dynamic volatility spillover index analysis and nonlinear test are studied respectively.The empirical results show that international oil prices explain most of the fluctuations. The directional spillover index is bidirectional and asymmetric. In the whole sample stage, the fluctuation of the system mainly comes from the impact of other variables, and the spillover effect of the international oil price is the largest. There are nonlinear effects of international oil prices, the US economic uncertainty and volatility spillover of China's stock price to other variables. For the former two variables, the spillover effect of positive variables is larger than that of negative variables. For the latter variable, the result is exactly opposite, i.e. the spillover effect of negative variables is larger than that of positive variables.

Key words: crude oil prices, economic uncertainty, stock markets, international volatility transmission

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