IDEAS home Printed from https://ideas.repec.org/a/hin/complx/3459427.html
   My bibliography  Save this article

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

Author

Listed:
  • Yufang Liu
  • Chi Zhang
  • Wang Zhang
  • Chun Wei

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.

Suggested Citation

  • Yufang Liu & Chi Zhang & Wang Zhang & Chun Wei, 2021. "A Causal and Correlation Analysis between China Energy Futures and China Energy-Related Companies Stock Market," Complexity, Hindawi, vol. 2021, pages 1-13, June.
    • Handle: RePEc:hin:complx:3459427
    DOI: 10.1155/2021/3459427
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/complexity/2021/3459427.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/complexity/2021/3459427.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2021/3459427?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:complx:3459427. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.