Abstract: Since Shanghai crude oil futures (INE) was listed in Shanghai International Energy Trading Center in March 2018, it has become the third largest international crude oil futures after WTI and Brent crude oil futures. With the continuous growth of market capacity, INE not only accurately reflect the fundamental changes of the market, but also have more sensitive price discovery and risk management functions. How to determine whether China’s crude oil futures can help avoid the risk spillover of the global crude oil market to China’s stock market has become an urgent theoretical and practical problem. The effectiveness of Shanghai crude oil futures on the stability of China’s financial market from the perspective of dynamic conditional risk spillover is explored. More than 4000 daily data from 2002 to 2020 are selected, and the correlation effects of four international crude oil futures markets and two groups of stock composite indexes are compared. DCC-MGARCH model, BP multiple structure mutation test and CoVaR conditional risk spillover effect are used to comprehensively verify the role of INE market.Based on DCC-MGARCH model, the dynamic correlation between multiple international crude oil markets and stock markets is verified. Based on the BP multiple structure mutation model, the influence of major emergencies on the correlation between the two is analyzed.Based on the CoVaR conditional risk spillover formula, the risk spillover effects of international crude oil markets in China and the United States stock markets are calculated, and the risk spillover effects of multiple international crude oil markets on China and the United States stock markets are compared, so as to determine whether the INE market has the role of stabilizing China ' s stock market. It is found that the heterogeneity of international crude oil prices on the composite index of the two groups of stocks is mainly manifested in the two groups of stocks are crude oil importers and exporters; The time points of structural mutation in China (USA) are 5 (3), which coincides with the time points of sudden major economic and political events. International evidence shows that INE has the smallest CoVaR in Sino-US stock market, and crude oil futures market is lower than spot market. Some new evidence is revealed that China’s crude oil futures market is conducive to decoupling from international risk, and it is suggested that risk regulators improve systemic risk by smooth hedging risk spillover during major emergencies.

Key words: INE; DCC-MGARCH; B-P mutation test; conditional value at risk