Analysis of the Linkage between International Crude Oil and Chinese Industry Sector Indices under the COVID-19

Li Yu, Yuan ying Jiang


The sudden epidemic has a huge impact on the global economy. This paper takes the International crude oil and the SSE Industry Index as the research objects to explore the linkage between the two markets under COVID-19. We use DCC-GARCH to study the dynamic correlation between the two markets before and after the outbreak. The PCA-GARCH model is further used to verify whether there is a spillover effect between the two markets, and finally the time-varying spillover index is used to quantify the spillover effect. The results show that the epidemic has strengthened the overall connection between the two markets. In particular, the correlation between SSE Public and International crude oil has the greatest impact. During the epidemic, crude oil has the most volatility, and most of the volatility series can reach the peak state. There are positive spillover effects among SSE Material, SSE Energy, and SSE Industry. In the total spillover index table, the conclusion of the PCA-GARCH model is verified, that is, the spillover index value is larger when there is a spillover effect. After the outbreak, the total spillover index rose by 10%. Before and after the outbreak, crude oil changed from a volatility sender to a receiver.

Full Text:




  • There are currently no refbacks.

Copyright (c) 2022 Li Yu, Yuan ying Jiang

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Copyright © SCHOLINK INC.   ISSN 2377-1038 (Print)    ISSN 2377-1046 (Online)