国际原油期货市场与我国股指期货市场因果传递关系研究

doi:10.16381/j.cnki.issn1003-207x.2022.2545

Abstract

Abstract:

Abundant empirical studies have highlighted that changes in the crude oil futures market are highly related to the stock index futures market. According to the capital market theory， higher underlying costs in connection with increased crude oil futures prices would lead to higher risk of holding the influenced assets. Thus， the increased risk of financial assets probably causes the wild fluctuations of financial stock index. Meanwhile， the performance of financial stock index is bound to impact the production decisions of listed companies and further lead to higher or lower energy consumption， i.e.， crude oils. Thereby， one can contend the potential information transfer between the crude oil market and stock market. To this end， this study aims to investigate the causality between international crude oil futures market and Chinese stock index futures market using Liang’s causality analysis. This approach is derived from the information flow， which is a fundamental physics concept， and meets first principles on physics. That is， a causal relation entails a flow of information.Based on the daily data of Brent crude oil futures， WTI crude oil futures and Chinese CSI 300 stock index futures spanning from 16 April 2010 to 23 December 2022， some crucial findings are obtained. Firstly， on the whole， the price changes of international crude oil futures have a significant causal effect on Chinese CSI 300 stock index futures， while the causality from CSI 300 stock index futures to Brent crude oil futures is different from that to WTI crude oil futures， for example， the former is statistically significant at the 5% level， and the latter is not. Secondly， further research based on the dynamic Liang’s causality analysis by using the rolling windows shows that there is a significant causal effect of the price changes of CSI 300 stock index futures on international crude oil futures prices during times of global economic distress， especially during the COVID-19 pandemic. Also， there is a significant causal effect of the price changes of international crude oil futures on CSI 300 stock index futures prices after the skyrocketing of VIX and during the stable period of VIX. Finally， the empirical results show that the causal effect of international crude oil futures on CSI 300 stock index futures decreases gradually during the period 2010-2022， while the causal effect in the other way increases gradually. Furthermore， these findings are robust and can provide a reference for academics， market participants， and policymakers to understand the underlying links between international crude oil futures markets and Chinese stock index futures market.

Key words: crude oil futures, stock index futures, dynamic causality, Liang’s causality analysis

CLC Number:

F830

Xunfa Lu,Kai Liu,Hairong Cui, et al. Study on the Causality Between International Crude Oil Futures Market and Chinese Stock Index Futures Market[J]. Chinese Journal of Management Science, 2026, 34(11): 14-22.

Figures/Tables 7

变量名	$R B r e n t$	$R W T I$	$R C S I$
均值	-5.75×10^-6	-1.58×10^-5	3.70×10^-5
标准差	0.024283	0.029626	0.015003
峰度	31.57330	77.02570	10.24314
偏度	-1.541395	-2.595647	-0.445509
最大值	0.190774	0.319634	0.095263
最小值	-0.373399	-0.601676	-0.105239
ADF检验	-55.88139^***	-27.97573^***	-40.44035^***

因果关系方向	梁氏因果分析
$R B r e n t → R C S I$	0.0043^*
$R C S I → R B r e n t$	0.0055^**
$R W T I → R C S I$	0.0051^**
$R C S I → R W T I$	0.0024

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Study on the Causality Between International Crude Oil Futures Market and Chinese Stock Index Futures Market

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