A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market
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-...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2021-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2021/3459427 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832548926390009856 |
|---|---|
| author | Yufang Liu Chi Zhang Wang Zhang |
| author_facet | Yufang Liu Chi Zhang Wang Zhang |
| author_sort | Yufang Liu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-e8c815703f994b05a1e65ba78315f545 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2021-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-e8c815703f994b05a1e65ba78315f5452025-02-03T06:12:48ZengWileyComplexity1076-27871099-05262021-01-01202110.1155/2021/34594273459427A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock MarketYufang Liu0Chi Zhang1Wang Zhang2State Grid Jiangsu Electric Power Co., Ltd., Nanjing 210000, Jiangsu, ChinaSchool of Economics, Nanjing University of Posts and Telecommunications, Nanjing 210023, Jiangsu, ChinaState Grid Jiangsu Electric Power Co., Ltd., Nanjing 210000, Jiangsu, ChinaTaking 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.http://dx.doi.org/10.1155/2021/3459427 |
| spellingShingle | Yufang Liu Chi Zhang Wang Zhang A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market Complexity |
| title | A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market |
| title_full | A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market |
| title_fullStr | A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market |
| title_full_unstemmed | A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market |
| title_short | A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market |
| title_sort | causal and correlation analysis between china energy futures and china energy related companies stock market |
| url | http://dx.doi.org/10.1155/2021/3459427 |
| work_keys_str_mv | AT yufangliu acausalandcorrelationanalysisbetweenchinaenergyfuturesandchinaenergyrelatedcompaniesstockmarket AT chizhang acausalandcorrelationanalysisbetweenchinaenergyfuturesandchinaenergyrelatedcompaniesstockmarket AT wangzhang acausalandcorrelationanalysisbetweenchinaenergyfuturesandchinaenergyrelatedcompaniesstockmarket AT yufangliu causalandcorrelationanalysisbetweenchinaenergyfuturesandchinaenergyrelatedcompaniesstockmarket AT chizhang causalandcorrelationanalysisbetweenchinaenergyfuturesandchinaenergyrelatedcompaniesstockmarket AT wangzhang causalandcorrelationanalysisbetweenchinaenergyfuturesandchinaenergyrelatedcompaniesstockmarket |