Internal And External Contact Of The Oil Market, The Price Discovery And Risk Management Research

With the rapid development of international oil markets in recent years,commercial organizations and financial institutions have become major investors in oilmarkets. The relationships between oil spot and futures markets as well as between oilmarkets and linked markets are much stronger. Besides, due to subprime crisis andenergy market events, oil price always fluctuates dramatically. All these trends bringnew challenges to research on the internal and external relations, price discovery andrisk management in oil markets. However, existing researches ignore such trends. Inaddition, these researches often adopt simple methods and obtain inconsistentconclusions from single perspectives.Based on the oil market trends and influences of subprime crisis and energy marketevents, this dissertation improves and develops econometric methods. This dissertationalso analyzes the internal and external relations in oil markets, price discovery functionof oil futures market and its change, VaR forecasting, quantile modeling and modelselection of oil futures hedge ratio from several perspectives. The conclusions are asfollows.Firstly, using stochastic cointegration test, nonlinear cointegration test, the methodof Identification through Heteroskedasticity and Granger causality in risk, thisdissertation examines the cointegration relationships between oil spot and futures pricesas well as between oil price and natural gas price, the influence of oil price fluctuationson stock market, the extreme risk spillover effect between oil market and US dollarmarket from price, return and quantile. It is shown that, there is a stochasticcointegration between oil spot and futures prices during subprime crisis, and regimeshifts cointegration and regime switching cointegration between oil price and naturalgas price. The interaction exists between oil price change and stock price change.Subprime crisis strengthens risk contagion, and causes bidirectional extreme riskspillover effect between oil market and US dollar market.Secondly, according to different opinions of price discovery function in oil futuresmarket, this dissertation proposes an improved regime switching cointegration test. With this method and Permanent-Transitory model, this dissertation analyzes the changeof price discovery function in oil futures market and its reason. It is shown that, theprice discovery function of oil futures market is strong when the volatility of oil price islow and weak when the volatility of oil price is high. Price discovery function of oilfutures market is related to trading behavior of market participants. Speculation tradingwill weaken price discovery function, while arbitrage trading and hedge trading willstrengthen price discovery function.Thirdly, considering the shortages of CAViaR model in estimating method andmodel specification, this dissertation develops Bayesian CAViaR model and ThresholdCAViaR model. Based on these models, this dissertation analyzes oil price VaR in oilspot market and quantile characteristics of return in oil futures market. It is shown that,Bayesian CAViaR model is easier to estimate parameter and test model specification.And Threshold CAViaR model is better to describe the quantile dynamics. In oil spotmarket, VaR has autoregressive effect and is affected by oil price fluctuation, and theinfluences of oil price's reducing are stronger than oil price's increasing. In oil futuresmarket, the left tail quantile of return is affected by oil price fluctuation, but the righttail quantile is only affected by oil price's reducing.Finally, existing researches can not provide the effective model selection strategyof oil futures hedge ratio estimation. Considering the interaction of oil spot and futuresreturns and the change of model forecasting ability affected by subprime crisis, thisdissertation analyzes the estimation bias of OLS hedge ratio and develops structuralBEKK model. And this dissertation discusses the model selection of oil futures hedgeratio estimation. It is shown that, due to feedback effect of spot return to futures return,the estimation bias of OLS hedge ratio exists. The return interaction and volatilityspillover effect between oil spot and futures markets can be described by structuralBEKK model. The estimation of oil futures hedge ratio should consider oil pricetendency and the influence of subprime crisis, and select the proper model between OLSmodel and structural BEKK model.