During the COVID-19 pandemic,the international financial markets experienced severe turbulence.Under the background of“Made in China 2025”,substantial entity enterprises have a large demand for non-ferrous metals.Wi...During the COVID-19 pandemic,the international financial markets experienced severe turbulence.Under the background of“Made in China 2025”,substantial entity enterprises have a large demand for non-ferrous metals.With the enhancement of financial attributes of non-ferrous metals,it is vital to prevent financial systemic risk contagion in the non-ferrous metal markets.In this article,the ensemble empirical mode decomposition method is used to decompose the prices of eight important non-ferrous metals futures,and then the dynamic DY risk spillover index model is established from the perspectives of long-term and short-term.The risk spillover between non-ferrous metals during the COVID-19 is quantitatively analyzed from different frequency domains.The study finds that in the long run,the risk spillover relationship between non-ferrous metals remained basically stable,and the change of it after the epidemic is slight.In the short run,the risk spillover relationship has different degrees of structural changes after the outbreak of the COVID-19 pandemic.The ensemble empirical mode decomposition method can distinguish the risk spillovers in different cycles,and help to formulate policies for preventing systemic risks in the non-ferrous metal markets according to the different length of terms.展开更多
As a type of non-renewable industrial resource,petroleum is of great strategic significance to the development of each nation.Ever since the 19th century,an array of oil crises have incurred certain downturn of the wo...As a type of non-renewable industrial resource,petroleum is of great strategic significance to the development of each nation.Ever since the 19th century,an array of oil crises have incurred certain downturn of the world economy.Pertinent studies have implied that financial crisis is always prone to be accompanied with oil crisis,yet the relevance of crude oil to the stock market,the barometer of the macro-economy,is ambiguous.In order to avoid the risks induced by the volatility of oil price,the oil futures market has appeared,and at the same time,the financial property of crude oil has become far more evident.Owing to lack of mature mining and refining technology,China still imports large amounts of oil from abroad at present.Thus,the economy of China is susceptible to fluctuation in petroleum price.As for Australia,the only net importer among the member countries of the International Energy Agency(IEA),it fails to attain the target of holding 90 days of fuel reserves set by the agency.However,in 2013,Australian Lincoln Energy announced that a gigantic shale oil field with an estimated value of 21 trillion US dollars was found in the South of Australia,and that if that field is mined,Australia has the possibility to turn into a net exporter of crude oil.It can be expected that the Australia’s economic conditions would be closely related to the international oil to a certain extent.Based on the approaches of the first difference and co-integration,this paper delves into the volatility spillover effect of crude oil futures on the Chinese and Australian stock markets.According to the empirical findings,in the short run,the price of crude oil futures has a greater impact on the Australian composite index than on the Chinese composite index.However,crude oil futures are negatively related to the Chinese composite index in the long run.The price of crude oil futures has no significant impact on the Chinese sector indices,but it has a certain impact on the Australian utilities,energy,materials,and industrial sector indices.In the Chinese stock market,the movement of short-run effect to long-run effect of crude oil futures on sector indices is in the reverse direction.Finally,the price of crude oil futures has a significant volatility spillover effect only on the Australian utilities sector index.展开更多
基金Supported by the National Natural Science Foundation of China(72171223,71801213,71988101)。
文摘During the COVID-19 pandemic,the international financial markets experienced severe turbulence.Under the background of“Made in China 2025”,substantial entity enterprises have a large demand for non-ferrous metals.With the enhancement of financial attributes of non-ferrous metals,it is vital to prevent financial systemic risk contagion in the non-ferrous metal markets.In this article,the ensemble empirical mode decomposition method is used to decompose the prices of eight important non-ferrous metals futures,and then the dynamic DY risk spillover index model is established from the perspectives of long-term and short-term.The risk spillover between non-ferrous metals during the COVID-19 is quantitatively analyzed from different frequency domains.The study finds that in the long run,the risk spillover relationship between non-ferrous metals remained basically stable,and the change of it after the epidemic is slight.In the short run,the risk spillover relationship has different degrees of structural changes after the outbreak of the COVID-19 pandemic.The ensemble empirical mode decomposition method can distinguish the risk spillovers in different cycles,and help to formulate policies for preventing systemic risks in the non-ferrous metal markets according to the different length of terms.
文摘As a type of non-renewable industrial resource,petroleum is of great strategic significance to the development of each nation.Ever since the 19th century,an array of oil crises have incurred certain downturn of the world economy.Pertinent studies have implied that financial crisis is always prone to be accompanied with oil crisis,yet the relevance of crude oil to the stock market,the barometer of the macro-economy,is ambiguous.In order to avoid the risks induced by the volatility of oil price,the oil futures market has appeared,and at the same time,the financial property of crude oil has become far more evident.Owing to lack of mature mining and refining technology,China still imports large amounts of oil from abroad at present.Thus,the economy of China is susceptible to fluctuation in petroleum price.As for Australia,the only net importer among the member countries of the International Energy Agency(IEA),it fails to attain the target of holding 90 days of fuel reserves set by the agency.However,in 2013,Australian Lincoln Energy announced that a gigantic shale oil field with an estimated value of 21 trillion US dollars was found in the South of Australia,and that if that field is mined,Australia has the possibility to turn into a net exporter of crude oil.It can be expected that the Australia’s economic conditions would be closely related to the international oil to a certain extent.Based on the approaches of the first difference and co-integration,this paper delves into the volatility spillover effect of crude oil futures on the Chinese and Australian stock markets.According to the empirical findings,in the short run,the price of crude oil futures has a greater impact on the Australian composite index than on the Chinese composite index.However,crude oil futures are negatively related to the Chinese composite index in the long run.The price of crude oil futures has no significant impact on the Chinese sector indices,but it has a certain impact on the Australian utilities,energy,materials,and industrial sector indices.In the Chinese stock market,the movement of short-run effect to long-run effect of crude oil futures on sector indices is in the reverse direction.Finally,the price of crude oil futures has a significant volatility spillover effect only on the Australian utilities sector index.
