Study on the Spillover Effect of Shanghai Crude Oil Futures Price Fluctuations on New Energy Stock Prices

The impact of crude oil price fluctuations on the economic operation and development of a region is concretely reflected in macroeconomic indicators such as real GDP and its growth, inflation level, unemployment rate, and exchange rate. This paper focuses on the spillover effect of crude oil futures price fluctuations on new energy stock prices, and mainly selects Shanghai crude oil futures and China new energy stock index as the research objects. The former is selected from the daily closing price of Shanghai Crude Oil Futures and the latter is selected from the CSINE Index. The data sample period is from January 4, 2022 to June 30, 2022, and 117 sets of data are obtained. In addition, this paper mainly uses VAR model and GARCH-BEKK model to analyze the volatility spillover effect of Shanghai crude oil futures and China new energy stocks from the variance and covariance of the two markets. The research results show that the volatility of Shanghai crude oil futures price has a positive impact on the volatility of China’s new energy industry stock price in the short term, and the contribution of Shanghai crude oil futures price to the new energy industry stock price is increasing and the degree of mutual influence is gradually increasing.