Research Article
Research on The Volatility of Crude Oil Futures and Portfolio Decision In China: Based on The Perspective of Crude Oil Industry Chain
@INPROCEEDINGS{10.4108/eai.2-12-2022.2328708, author={Weiwei Kong and Haiqing Hu and Qian Zhang}, title={Research on The Volatility of Crude Oil Futures and Portfolio Decision In China: Based on The Perspective of Crude Oil Industry Chain}, proceedings={Proceedings of the 3rd International Conference on Big Data Economy and Information Management, BDEIM 2022, December 2-3, 2022, Zhengzhou, China}, publisher={EAI}, proceedings_a={BDEIM}, year={2023}, month={6}, keywords={crude oil futures the industrial chain spillover effect the var model}, doi={10.4108/eai.2-12-2022.2328708} }- Weiwei Kong
Haiqing Hu
Qian Zhang
Year: 2023
Research on The Volatility of Crude Oil Futures and Portfolio Decision In China: Based on The Perspective of Crude Oil Industry Chain
BDEIM
EAI
DOI: 10.4108/eai.2-12-2022.2328708
Abstract
Each link of the industrial chain is closely connected, and its upstream and downstream through a variety of price fluctuation transmission paths, showing spillover effects. Per-spective based on the crude oil industry chain in China's oil futures market price fluctua-tions conduction effect as the research subject, by VAR model, the empirical analysis in almost three years in Chinese crude oil futures market, WTI crude oil futures market, and asphalt, polypropylene, purified terephthalic acid industry chain downstream the three mean spillover effect between the futures market. The conclusions of this study show that: Firstly, WTI price fluctuation has a positive transmission effect on INE; Sec-ondly, WTI oil futures market yield has a significant positive transmission effect on the downstream markets of the three industrial chains; Third, the downstream markets of the three industrial chains have extremely weak transmission effects with different positive and negative directions.