VOLATILITY SPILLOVER BETWEEN CHINA'S CRUDE OIL FUTURES AND SECTORAL STOCK MARKETS FROM A FREQUENCY DYNAMICS PERSPECTIVE

This work investigates the dynamic volatility spillovers between China's crude oil future market and sectoral stock markets. We demonstrate that the overall risk transmission is predominantly driven by long-term spillovers. Several major events, such as the COVID-19 pandemic and the Russia-Ukraine conflict, increase the time-varying connectedness. Moreover, we find that the role of the crude oil futures market shifts from a net receiver to a risk contributor under the impacts of these events. We also clarify the heterogeneity in the net pairwise spillovers between the crude oil future market and different sectors. Our finding on volatility spillovers is helpful for both policymakers and investors to understand the systematic risk.