原油市场波动非对称性及风险溢出效应研究——基于日数据的国内外四个主要原油期货市场实证

Research on the Asymmetry of Crude Oil Market Volatility and Risk Spillover Effects——Empirical Evidence of Four Major Domestic and Foreign Crude Oil Futures Markets Based on Daily Data

本文基于2018—2022年日数据,采用Granger因果关系检验、协整检验、ECM模型和几种形式的GARCH模型对国内原油、国外三个主要原油市场的布伦特原油、WTI原油、阿曼原油期货价格关联性、波动性、非对称性及风险溢出效应进行实证研究。研究发现国内外原油期货价格之间存在Granger因果关系及协整关系,国内原油期货价格国际影响力强于阿曼原油,弱于布伦特原油与WTI原油。建立的ECM模型显示,国内外原油期货市场存在交互影响,短期波动过程存在着相异的波动模式。GARCH类模型研究显示国内外四个原油期货市场波动性存在不同强度的非对称性、杠杆效应、溢出效应;国外三个市场的杠杆效应均大于国内,其中阿曼原油期货市场杠杆效应最强;国外三个市场利空消息影响大于利多消息影响的程度均大于国内市场;国内与国外三个市场之间均存在风险溢出效应及波动性影响,国内对国外原油溢出效应大于国外对国内原油溢出效应;国外三个市场的风险及投机性要大于国内。研究结果显示,通过国内外原油市场的投机套利可能会造成巨大的市场风险,国内期货市场的国际化需要更多制度与机制配套建设。

Based on the daily data from 2018 to 2022,this paper uses Granger causality test,cointegration test,ECM model and several forms of GARCH model to conduct empirical research on the price correlation,volatility,asymmetry and risk spillover effects of Chinese crude oil,Brent crude oil,WTI crude oil and Oman crude oil futures in the three major foreign crude oil markets.The study finds that there is a Granger causality and co-integration relationship between domestic and foreign crude oil futures prices,Domestic crude oil futures have a stronger international impact than Oman crude oil,weaker than Brent and WTI crude oil.The ECM model established shows that there is an interactive influence on the domestic and foreign crude oil futures market,and there are different fluctuation patterns in the short-term volatility process.The several GARCH models show that there is asymmetric and spillover effects and leverage effects among the fourth markets.The leverage effect of all three foreign markets is greater than that of domestic,and the leverage effect of Oman crude oil futures market is strongest.The impact of negative news in the three foreign markets is greater than that of the bullish news,which is greater than that of the domestic market.There are risk spillover effects and volatility effects between the domestic and three foreign futures markets.The domestic spillover effect on foreign crude oil is greater than the spillover effect from abroad to domestic crude oil.The risks and speculations of the three foreign crude oil markets are greater than among the domestic ones.This study shows that we may cause huge market risks through speculative arbitrage in domestic and foreign crude oil market,and the internationalization of domestic futures market needs more system and mechanism to support the construction.