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

This paper explores the impact of the Kyoto Protocol by investigating the correlation and risk spillover between the crude oil market and the stock markets of 28 countries during its two commitment periods. Besides time-varying Copula-CoVaR models, the Adaptive Lasso-VAR model with oracle properties is employed in generalized variance decomposition, and a risk connectedness network is constructed to explore risk spillovers between the stock markets of various countries when the crude oil market is at risk. The results reveal positive correlations between the crude oil market and stock markets, which become weaker in the second commitment period than in the first. The crude oil market has both upside and downside spillover effects to most stock markets during both commitment periods, and the upside risk spillover effect is stronger than the downside effect. Overall, most non-signatories of the Kyoto Protocol are net receivers of risk spillovers when the crude oil market is at risk, while most signatories are net exporters of risk spillovers.