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Dynamic risk spillovers between crude oil futures and the Chinese stock market under exogenous shocks: A refined analysis with stock clustering

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  • Guo, Hongyue
  • Zhao, Wenjie
  • Jia, Boxiang
  • Sui, Cong

Abstract

This study examines the dynamic relationship between the Chinese stock market and Brent futures under external shocks from January 2016 to December 2022, and compares changes in the associated hedging performance using a DCC-GJR-GARCH model with exogenous variables. To elucidate this dynamic relationship, we partition the Chinese stock market into several subclasses by clustering based on stock performance. Results confirm dynamic correlations and time-varying bidirectional asymmetric risk spillovers between the Chinese stock market and Brent crude oil futures, with the risk predominantly spreading from stocks to the Brent. These spillovers peaked following the COVID-19 outbreak, suggesting a “contagion effect” in crude oil and equities volatilities in response to unexpected shocks. Considering market risk sentiment and hedging demand, this study employs three crucial variables — volatility index, geopolitical risk, and gold price — as exogenous variables. The empirical results indicate that crude oil’s hedging performance varies with diverse conditions, and the model with geopolitical risk shows the strongest performance. During periods of economic stability, investors holding stocks with the largest DTW distance from Brent crude oil futures may prioritize hedging with Brent futures. The study concludes that governments and regulators need to establish cross-market joint risk monitoring mechanisms to respond more promptly to the “contagion effect” of volatility in crude oil and the Chinese stock market.

Suggested Citation

  • Guo, Hongyue & Zhao, Wenjie & Jia, Boxiang & Sui, Cong, 2025. "Dynamic risk spillovers between crude oil futures and the Chinese stock market under exogenous shocks: A refined analysis with stock clustering," Journal of Behavioral and Experimental Finance, Elsevier, vol. 47(C).
    • Handle: RePEc:eee:beexfi:v:47:y:2025:i:c:s2214635025000681
    DOI: 10.1016/j.jbef.2025.101087
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