Tail Dependency and Risk Spillover between Oil Market and Chinese Sectoral Stock Markets—An Assessment of the 2013 Refined Oil Pricing Reform

The Chinese refined oil pricing reform in 2013 has brought its price to be more aligned with the international price, helping mitigate prior distorted mechanisms. Its impact on correlation, tail risks, and spillover effects between crude market sectoral stock markets warrants empirical assessments. Time-varying copula models conditional VaR (CoVaR) are employed examine correlation indexes before after reform, as well risk of extreme moderate markets. results show that: (1) all 11 sectors is positive both but weaker than before; (2) downside most sectors, upside lower reform; (3) Tail exist (4) they almost disappear reform. do not or findings provide valuable references for portfolio management future policy update.