能源期货市场非对称多重分形相关性研究

A Research of Asymmetric Multifractal Correlation in Energy Futures Markets

以上海燃料油期货价格(SHRY)、西德克萨斯轻质原油期货价格(WTI)和布伦特原油期货价格(Brent)为代表性的研究对象,运用非对称多重分形去趋势交叉相关分析法(MF-ADCCA)对新兴与成熟能源期货市场之间的非对称多重分形相关关系进行了实证分析,并重点探讨了短期交易和长期交易中新兴与成熟能源期货市场之间非对称多重分形相关关系的差异及其风险大小。实证结果表明:新兴与成熟能源期货市场之间不仅存在着多重分形相关关系,而且还表现出明显的非对称性特征,并且长期交易中多重分形相关关系的非对称程度强于短期交易中多重分形相关关系的非对称程度;在短期交易中当成熟能源期货市场处于上涨趋势时新兴与成熟能源期货市场之间的风险状况最为复杂,而在长期交易中当新兴能源期货市场处于下跌趋势或者成熟能源期货市场处于上升趋势时都有可能使得新兴与成熟能源期货市场之间的风险状况最为突出。因此,对于含有不同市场类型的两资产投资组合而言,在短期内应重点关注成熟能源期货市场价格上涨的情况,而在长期中应根据具体市场情况而定,以更为有效地防范和应对能源价格波动风险。

By drawing upon Shanghai fuel oil futures prices（ SHRY） typical of emerging energy markets,West Texas Intermediate oil futures prices（ WTI） and Brent oil futures prices（ Brent） typical of developed energy markets,this paper uses Multifractal Asymmetric Detrended Cross-Correlation Analysis（ MF-ADCCA） to analyze asymmetric and multifractal correlation of emerging and developed energy futures markets,and particularly discusses their difference and risks in the short-term and long-term trading. The empirical results demonstrate that the relationships between emerging and developed energy markets are multifractal and obviously asymmetric; and the asymmetric degree of multifractal correlation in the short-term trading is stronger than that in the long-term trading. In the short-term trading,the risks between emerging and developed energy markets become most significant when developed energy markets are on the rise,but in the long-term trading,they become most significant when developed energy markets are on the rise or when emerging energy markets are on the downside. Therefore,for portfolios involved in the two different types of market,short-term focus should be put on the rising of the mature energy futures market prices,but long-term focus should be put on specific market conditions in order to effectively prevent and respond to the price volatility risks in the energy markets.