| With the acceleration of global economic integration,the energy financial market which is based on the energy industry and the financial market,has become one of the most important global energy fund transaction platform.The effective combination of energy and finance market is the key factor for energy market to meet the growing energy demand.Energy industry combines with financial market through solid finance and virtual finance.The combination,to a degree,is through the free trade in financial market to find the trends of energy market price in the future,which in turn affects the economic layout and the expansion of the energy market.Essence of energy finance is not the size of the loan amount energy companies obtained from the bank,but how the financial market information transfer to the energy industry,then energy industry to make full use of market information for the adjustment and layout.The transmission mechanism can not just rely on traditional banking deposit and loan business to achieve,but to make full use of financial attribute unique of energy,so that reaction in the market is more sensitive and fully.It needs innovation of financial market and combined of financial market and the energy market.Because of the financial market's sufficient information conduction,energy financial market can achieve conduction and warning on the energy industry price risk and capacity expansion risk.Based on the decisive role of energy financial markets in the energy price formation,,an important issue facing the immature financial market is how to manage energy price risk efficiently.To obtain accurate,real and effective energy financial information is a prerequisite for effective energy price risk management.The information and the corresponding risk,information more fully,the uncertain factors will reduce,the risk is reduced.Although China is the world's fifth largest oil producer,the second largest oil consumer and the third largest importer of oil,China has no right to speak in the world crude oil pricing mechanism.Global oil prices fluctuate slightly will make domestic energy companies huge losses.Root cause of this phenomenon is due to the low correlation of China's financial industry with the demand of energy industry and other commodities industry,as well as the low innovative level of development of financial energy.To obtain the price of energy pricing power,we must development virtual energy finance.In the development of crude oil futures and other financial market,it also requires the opening of the capital market,money market at the same time.This process can not be accomplished at one stroke.In a very long time in the energy industry in China,we will have to bear the dual pains brought about by the international energy market and the international financial market price risk.Therefore,based on the present situation of the energy financial market and the energy financial theory development in China,it's a meaningful topic that making research of the risk transmission mechanism from financial market to energy financial market,especially to the oil financial market,and then establishing the risk early warning mechanism.The results will provide important reference value for China's energy enterprises to strengthen risk management,as well as for better joining with the world energy financial market.Based on literature review,the paper designed research ideas as following: Firstly,based on the analysis of energy financial market risk and risk conduction pathway,paper would design the empirical risk conduction test model of energy financial market.Secondly,though empirical tests on major international financial markets and energy financial market conducted,paper would get the path of energy financial market risk conduction.Thirdly,based on the current situation of the development of China's energy finance,the author would make an empirical test on the relationship between China's energy price risk conduction and international energy financial price,then get to the full price risk conduction path of China's energy market from the international financial market.Finally,author would research on risk early warning energy financial market,design petroleum financial market risk strength index,and put forword suggestion to strengthen the energy of our country financial market prices of risk management policy.The definition of energy financial market risk is a kind of energy price risk,financial market risk factors of energy can be divided into macro risk factors,market risk factors and risk factors of micro meso.The risk of transmission energy financial market mainly conducted through the information spillover effect,capital spillover effect and the volatility spillover effect.Price risk conduction effect included generalized price risk conduction effect,strict price risk conduction effect and very strict sense of the price of risk conduction effect.The thesis puts forward the empirical model for the study of price risk transmission mechanism respectively: price cointegration model of generalized risk conduction effect,yield VAR model of strict risk conduction effect and the extreme volatility risk GARCH model of rigorous risk conduction effect.The paper had carried on the empirical research,on the major international financial market,the price of risk conduction effect of the gold market,stock market and foreign exchange market on the oil futures market.Empirical research results of generalized price risk conduction effect indicates that in addition to abnormal price linkage under the influence of subprime crisis,the whole correlation is significantly positive between the price of gold and crude oil futures prices;crude oil futures price and the price of gold is not the cointegration relationship,that is to say there have not long-term equilibrium relationship between the two prices;Granger causality test showed that,compared with oil,stronger financial attributes of gold,gold price fluctuations will check the oil price fluctuations.From a purely price risk conduction mechanism,different pricing mechanism is the main cause of financial market prices of risk conduction effect on financial oil markets.Compared with the gold market,the oil financial market reaction to the risk of financial market is performanced lagging,passive acceptance of risk from the financial markets,the financial attribute is weak.The gold market performance is more a stronger financial attributes,to timely information receiving and transmission in the market to respond effectively to external information.Empirical results show that the strict risk conduction effect,the volatility of the stock market is greater than the crude oil futures market,two markets are positively correlated,before and after the financial crisis,the two markets showed the opposite correlation: two pre crisis rate of market return is negative,the crisis after the two market returns are positively related to.VAR model analysis showed that,the stock index and crude oil futures returns are with 2 period lag changes in the rate of return correlation.Granger causality test showed that,the risk of international stock market will unidirectional conduct to the petroleum futures market.The capacity of the market absorption and reaction to public information and private information is not the same,oil absorption and reaction to the financial market information is slower than the main stock market.When the two market rate of return appears opposite direction,funds will be transferred between the two markets,and ultimately makes the two market rate of return develop in the same to direction.And the stock market both for public information and private information can be received in a timely manner,and can be delivered in different financial market,and to respond effectively.The results of empirical studies of risk conduction effect in very strict sense showed that the rate of crude oil futures returns are negatively correlated with the dollar index yield changes;two municipal yields are significant fluctuation clustered,with strong persistence to shocks;Granger causality test shows,two markets volatility has two-way risks spillover effect,that the dollar's appreciation or depreciation fluctuation will have volatility spillover effects of crude oil futures prices,in turn,the oil futures price fluctuations will cause the dollar exchange rate fluctuations.Market information spillovers and investor behavior is the result of internal and external causes of the volatility spillover effects.The dollar exchange rate and oil volatility in financial markets affect each other,the trend of two markets price fluctuations is highly consistent.The empirical study results of risk conduction effect of the international petroleum futures market for the domestic oil spot market showed that,the international crude oil futures prices and domestic crude oil futures price volatility pace basic synchronization,but the two market significant spread in different period,reflecting the derailment phenomenon of crude oil pricing mechanism and the international market in China.The results of correlation analysis showed that,two markets exists highly correlation,the domestic crude oil market is increasingly integrated into the global oil market.The existence of cointegration relationship of long-term equilibrium between international crude oil futures prices and spot prices of domestic crude oil,international crude oil futures market and the domestic spot spot market price risk mutual conduction,linkage trend more and more obvious between the two markets.Empirical research on risk conduction effect of international fuel oil futures market of Shanghai fuel oil futures market shows that,the pace of futures price volatility of Shanghai fuel oil futures prices and international fuel oil basic synchronization,but the two market's response to the financial crisis and the recovery of the market exists differences,Shanghai fuel oil futures market has more market elasticity.There have significantly positive related changes in Shanghai fuel oil futures returns and international fuel oil futures return rate,risk conduction effect of international fuel oil futures and Shanghai fuel oil futures is unidirectional.Energy finance market risk is a comprehensive variable,the domestic macro economic index,international financial index and energy related indicators are important variables.Through quantitative analysis of principal component analysis,combined with ARMA model,author predicted the risk of energy intensity in financial markets,the result shows that China's petroleum energy financial market risk before 2006 in the "safety" level,thereafter,except in 2008 brief recovery "safe" level,energy financial market risk in China has been on the rise,but still in a "controlled" interval.The of current market risks of energy finance in our country is still at larger risk interval,according to the growth trend of energy intensity in the financial markets,energy financial market risk is likely to increase further in future.The innovation of this paper mainly has the following several aspects: firstly,the paper designed the thought of risk conduction "monorail,double pass,bidirectional".Monorail refers to the main line of risk conduction,double pass refers to from the international financial market to international energy financial market,and then to the thought of risk conduction of the domestic energy market,the bidirectional is a two-way risk transmission of financial markets and energy finance market;secondly,the paper puts forward the conception of pure price risk based on risk conduction effect in financial markets on the generalized energy prices,and designed the empirical research on the model of energy financial market prices of risk conduction;thirdly,the thesis summarizes the " monorail,double pass,bidirectional " energy finance market risk conduction mechanism on the basis of theoretical and empirical research;finally,based on principal component analysis the concept of risk energy intensity in financial markets is proposed on,then author calculated and predicted the 2002-2014 petroleum finance market risk strength using ARMA model. |
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