The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test

Xunfa Lu; Kai Liu; Kin Keung Lai; Hairong Cui

doi:10.3390/e23091172

The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test

Entropy (Basel). 2021 Sep 6;23(9):1172. doi: 10.3390/e23091172.

Authors

Xunfa Lu¹, Kai Liu², Kin Keung Lai³, Hairong Cui¹

Affiliations

¹ School of Management Science and Engineering, Nanjing University of Information Science and Technology, Nanjing 210044, China.
² Center for Economics, Finance and Management Studies, Hunan University, Changsha 410006, China.
³ School of Economics and Commerce, Guangdong University of Technology, Guangzhou 510006, China.

Abstract

Combined with the B-P (breakpoint) test and VAR-DCC-GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the WTI crude oil futures market and Chinese stock index futures market or US stock index futures market after the breakpoint in the price series. The Chinese stock index futures are less affected by short-term fluctuations in crude oil futures returns than US stock index futures.

Keywords: VAR–DCC–GARCH; WTI crude oil futures; breakpoint test; stock index futures; transmission relationship.

Abstract

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