Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)

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Dynamic Spillover Effects of International Crude Oil Prices on Chinese Stock Markets Based on Information Technology

Authors
Rong Li1, *, Jingyi Zhang1
1Business School, Huaihua University, Huaihua, China
*Corresponding author. Email: lirong@hhtc.edu.cn
Corresponding Author
Rong Li
Available Online 20 December 2022.
DOI
10.2991/978-94-6463-030-5_124How to use a DOI?
Keywords
TVP-VAR Model; WTI; Stock Yield
Abstract

Oil is a strategic resource indispensable for the survival and development of a state, and plays an inestimable role in safeguarding international economic and social development. This paper mainly uses the computer technology in information technology, based on the construction of TVP-VAR model of the specific computer code, through the analysis of international crude oil price index and China's price index, input the relevant computer code instructions to get different lag, different time point impulse response diagram. The dynamic spillover effect of international crude oil price on Chinese stock market is analyzed. The empirical results show that: (1) there is a dynamic correlation between international crude oil prices and China’s stock market by sector, and there is a lag in the impact of international crude oil price changes on industry stock yield. (2) The instability of international crude oil prices is a negative factor for stock yield, and has a negative impact on industry stock yield. (3) Different industries differ in their sensitivity to dynamic spillovers from international oil price changes and in the direction of their stock yield movements.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)
Series
Atlantis Highlights in Intelligent Systems
Publication Date
20 December 2022
ISBN
10.2991/978-94-6463-030-5_124
ISSN
2589-4919
DOI
10.2991/978-94-6463-030-5_124How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Rong Li
AU  - Jingyi Zhang
PY  - 2022
DA  - 2022/12/20
TI  - Dynamic Spillover Effects of International Crude Oil Prices on Chinese Stock Markets Based on Information Technology
BT  - Proceedings of the 2022 International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2022)
PB  - Atlantis Press
SP  - 1253
EP  - 1260
SN  - 2589-4919
UR  - https://doi.org/10.2991/978-94-6463-030-5_124
DO  - 10.2991/978-94-6463-030-5_124
ID  - Li2022
ER  -