A Causal and Correlation Analysis between China Energy Futures and China Energy‐Related Companies Stock Market

Abstract

Taking the opportunity of China’s launch of Shanghai crude oil futures (INE), this study empirically examined the information transmission in this immature financial market, investigating this issue from a new perspective. To identify the impact of INE on the related stock market, we collected high-frequency trading data of oil futures and 22 stocks owned by listed companies in the upstream and downstream of China’s oil-related industry chains, constructed a causal chain through Directed Acyclic Graph, and used MFDCCA-MODWT to perform multifractal analysis on the chain. Research shows that INE does have a causal relationship with the stock market of the related industry chain, and there is a multifractal correlation between its transaction time series. Subsequently, the source of fractal correlation was analysed with shuffled and surrogated sequences. We conclude that long memory plays a leading role and is the main reason for multifractal features.

A Lead‐Lag Relationship and Forecast Research between China’s Crude Oil Futures and Spot Markets

“…In 2020, with the outbreak of COVID-19, the changes regarding the crude oil futures market during the epidemic have also attracted the interest of many scholars. Most scholars have uncovered the linkages and spillovers between world benchmark crude oil futures and other financial derivative markets during the epidemic, including gold, stock markets, cryptocurrencies, and crude oil spot [22][23][24][25]. Jefferson analyzed the impact of the epidemic on the oil industry in different countries and found that, despite a partial recovery, many oil industries will still suffer [26].…”