Time-Frequency Correlation Between Crude Oil Market and New Energy Stock Market: A Wavelet-Based Analysis

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Chinese explanation / 中文解读

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Original abstract

Against the backdrop of accelerating energy structure transition and deepening global carbon emission reduction policies, the dynamic link between the crude oil market and the new energy stock market has grown increasingly complex. To reveal the correlation structure and transmission mechanism of the two markets across multiple time scales, this paper constructs a time-frequency analysis framework that integrates continuous wavelet transform, wavelet coherence, and multi-scale quantile Granger causality test. It systematically investigates the interaction between Brent crude oil futures and China’s five major new energy sub-sectors from March 2018 to September 2025. The empirical results show three key findings. First, the volatility energy of the crude oil market is mainly concentrated in the low-frequency band, while new energy sectors also display significant volatility energy in medium- and high-frequency bands. Second, wavelet coherence analysis indicates that crude oil and new energy sectors have a structural correlation in the medium and long term, but their short-term correlation is weak and unstable, with obvious time-frequency heterogeneity in the linkage pattern. Third, multi-scale quantile Granger causality tests further reveal that the causal effects of crude oil on different new energy sectors differ significantly in both time scale and market state. This study provides a new time-frequency perspective for understanding the complex interaction between traditional and emerging energy markets during energy transition, and offers empirical evidence for differentiated policy-making and multi-scale investment strategy design.

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