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The Volatility Spillover Effect Between the International Crude Oil Futures Price and China¡¯s Stock Market - Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution

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  • Maoguo Wu
  • Zhehao Zhu

Abstract

This study aims to analyze the volatility spillover effect between the international crude oil futures market and China¡¯s stock market. Using West Texas Intermediate (WTI) and the Shanghai Composite Index (SSEC) to represent the international crude oil futures market and China¡¯s stock market respectively, this study selects data of WTI and the SSEC from August 10, 2007 to August 10, 2017. It processes these data via wavelet multiresolution to decompose them into different levels and then builds the data model based on the BEKK-GARCH model. By testing the parameters through the Wald test, it further explores whether the volatility spillover effect exists between WTI and the SSEC. Empirical evidence finds that the volatility spillover effect between WTI and the SSEC is significant in the short run, while, however, such a volatility spillover effect does not exist in the medium and long term.

Suggested Citation

  • Maoguo Wu & Zhehao Zhu, 2019. "The Volatility Spillover Effect Between the International Crude Oil Futures Price and China¡¯s Stock Market - Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(4), pages 84-89, July.
    • Handle: RePEc:jfr:ijfr11:v:10:y:2019:i:4:p:84-89
    DOI: 10.5430/ijfr.v10n4p84
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    References listed on IDEAS

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    2. Finn, Mary G., 1999. "An equilibrium theory of nominal and real exchange rate comovement," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 453-475, December.
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