厄尔尼诺现象与世界原油期货价格收益率波动相关性研究——基于GARCH模型

Relative Study Between El Nino Phenomenon and the Fluctuation of Crude Oil Futures Prices Returns- Based on GARCH Model

厄尔尼诺现象的出现一定程度上引起了原油价格的下跌,而原油现货价格的变化,势必引起期货市场的变动。本文根据2006—2016年的原油期货价格构建GARCH簇模型,并且通过事件研究法探究厄尔尼诺现象的出现是否会改变原油期货价格的收益率。研究发现,近10年发生的5次厄尔尼诺现象的出现对原油期货市场只有1次有显著影响,并提出了两个方面的猜想,可能天气的变化只是影响原油期货价格收益率的众多影响因素中的一个,也有可能是投资者对市场有预知。

The presence of El Nino phenomenon causes the decline of crude oil prices,while the crude oil spot price changes will inevitably lead to the changes in the futures market. According to the crude oil Futures Prices from 2006 to 2016,the paper establishes GARCH cluster models and through event study to explore whether crude oil futures prices returns would change with the appearance of the El Nino phenomenon. According to the study,we can find only one significant impact on the oil futures market in nearly 10 years. At last,we propose two aspects of the suspect：on the one hand,changes in the weather are one factor of the influences of crude oil futures prices returns; while on the other hand,investors in the market have predicted.