ORIGINAL RESEARCH article
Front. Phys.
Sec. Social Physics
Volume 13 - 2025 | doi: 10.3389/fphy.2025.1599993
This article is part of the Research TopicFinance and Production Complex SystemsView all 16 articles
Spillover Effects in Stock Index Returns within Chinese oil Industry Chain
Provisionally accepted
- 1Guizhou University of Finance and Economics, Guiyang, China
- 2Guizhou Normal University, Guiyang, Guizhou Province, China
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With the global energy market becoming increasingly tight and the rapid development of Chinese oil industry, the transmission of information and mutual influence among sectors have become increasingly prominent. In light of this, this paper focuses on the three major sectors within Chinese oil industry chain from 2014 to 2024: oil extraction, oil processing, and oil trading. By employing the TVP-VAR-DY and BK models, we analyze the return spillover effects and dynamic correlations among the upstream, midstream, and downstream sectors of the oil industry chain. The results indicate that there are significant return spillover effects among these three sectors, with their price fluctuations not existing independently but rather influencing and being influenced by each other. Specifically, the oil trading sector predominantly acts as a spillover recipient, while the oil processing sector consistently serves as a net spillover transmitter across the three markets. Furthermore, as the frequency of spillovers increases, the spillover index among the three markets gradually decreases. Notably, when confronted with extreme event shocks, the overall total spillover level of the oil industry system significantly amplifies.
Keywords: Oil industry chain, Spillover effect, TVP-VAR-DY model, BK model JEL classification: C22, C53, G11, G17
Received: 25 Mar 2025; Accepted: 30 May 2025.
Copyright: © 2025 Lei, Wang, Wu and Mao. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
* Correspondence: Liang Wu, Guizhou Normal University, Guiyang, Guizhou Province, China
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