Research On Extreme Risk,Causes And Spillover Effect In Oil Futures Market

With the development of financialization of oil market,the oil price is not only influenced by supply and demand,but also influenced various complex factors such as finance,politics and nature in the short term.According to the fluctuation of the price of oil market in recent years,the paper takes the extreme risk in oil futures market as the research object from the financial point of view,by means of univariate and bivariate Conditional Autoregressive Value at Risk(CAViaR)by regression quantiles,mainly launches the research from three aspects:The analysis of factors influencing the extreme risk of oil futures market;Research on measurement of extreme risk in oil futures market and the research on regime switching;Research on the extreme risk spillover effect of oil futures market and external related market.The research and discussion is divided into the following six chapters.In the introduction,mainly introduces the related research literature on the extreme risk of oil futures market.The introduction is divided into three parts.Firstly,introduces the background and significance of the research,and analyzes the theoretical and practical significance of studying the extreme risk of oil futures market.Secondly,introduces the domestic and foreign related research theories and methods,and gives the review,find out the shortcomings of the current research and problems to be solved in this paper.Finally,introduces the research objectives,the proposed method and the research framework,and combines the existing research to give the possible innovation points from both theory and reality.The first chapter analyzes the influence factors of extreme risk in oil futures market from the perspective of financialization,mainly divided into two aspects.On the one hand,analyzes the influence of the excessive speculation and overreaction of market investors may cause the price fluctuations.On the other hand,analyzes the spillover effects of external related market such as the dollar exchange rate,stock market and gold market on oil futures market.The second chapter mainly measures the extreme risk of the oil futures market using conditional quantile autoregressive model and the extreme value theory.Firstly,introduces several main measure methods of extreme risk,focuses on the extreme value theory and the conditional autoregressive risk value model of extreme risk measurement.And then,taking the WTI oil futures as the research object,uses the CAViaR model for empirical research.Finally,based on the CAViaR model,tries to improve the risk measurement accuracy under extreme quantile by combining the extreme value theory.The third chapter establishes Conditional Autoregressive Value at Risk under the Markov Regime Switching(MS-CAViaR),according to the possible structural changes in oil futures prices over a long period of time,uses the MCMC method of regime switching on the risk of oil futures for the empirical research,and analyzes the research compared with the constant coefficient CAViaR model.The fourth chapter discusses the influence of investors’ trading behavior on extreme risk in oil futures market.The research is carried out mainly from two aspects.On the one hand,discusses the influence of speculation on the extreme risk of oil futures market by using the CAViaR model,the excessive speculation will cause the price of oil futures to jump or collapse.On the other hand,discusses the reaction characteristics of oil futures market under extreme risk,the overreaction will further fuel the trend of oil futures tumbling.The fifth chapter research content is divided into two parts.On the one hand,introduces several test methods of extreme risk spillover,analyzes the advantages and disadvantages of each method,focuses on Multivariate Multi-quantile CAViaR(MVMQ-CAViaR),and on the basis of this,proposes the asymmetric MVMQ-CAViaR model according to the asymmetry of the risk effect on the yield positive and negative.On the other hand,discuss the risk spillover effect between the oil futures market and the external related markets.In addition to the risk of its own fluctuation of the oil futures market,the risk spillover of the external market is also an important source.Therefore,this chapter discusses the risk spillover effect of the US dollar index,stock market and gold market on oil futures,and also discusses the Risk Spillover Effect of the oil futures market on the external related market with the help of the bivariate CAViaR model.The sixth chapter mainly studies the extreme risk spillover effect between domestic and foreign oil futures and spot markets.Oil futures,as the pricing basis of the oil market,dominate the price changes in the oil market.This chapter focuses on the risk spillovers effect between international oil futures and spot,international oil futures and domestic stock as well as domestic oil futures and stock markets under extreme risk.The last chapter summarizes the research contents and conclusions of the previous six chapters,and puts forward the corresponding suggestions for the research results.In addition,this chapter summarizes the research deficiencies of this paper and puts forward the research prospect of the paper.The main work and conclusion of this paper are as follows:First,in the measurement of the extreme risk of oil futures yield,the conditional autoregressive risk value model(CAViaR)is first estimated according to the clustering of extreme risk.According to comparison of the estimation results of CAViaR model in four forms,the extreme risk estimation achieves the highest precision under asymmetric CAViaR model.Which shows that oil futures first order lag yields with leverage effect of asymmetric to extreme risk,and negative returns relative positive rate of return has greater impact effect on oil futures extreme risk.Secondly,aiming at the shortcomings of less data in extreme quantile 1%and 99%,combined with EVT theory,establishing CAViaR-EVT model to estimate it.The test results show that the accuracy of CAViaR-EVT model under extreme quantile is due to CAViaR model.Second,in view of the possible structural change of oil futures prices in a long period of time,this paper proposes the MS-CAViaR model and estimates it by MCMC method.And find that the zone transformation model and the constant coefficient model can better measure the extreme risk in the oil futures market.Third,to study the short-term effects of speculative behavior on the extreme risk of domestic and foreign oil futures markets,taking the daily rate of return on the international oil futures and Shanghai fuel oil futures as the research object,establishing the two speculation index of the speculation degree and the deviation rate,and considering the asymmetric effect of positive and negative deviationratio on extreme risk,analysis the object using asymmetric CAViaR model.The empirical results show that the speculative behavior has a significant impact on the downside risk of domestic and international oil futures market,but the influence mechanisms are very different.An increase in speculative activity will increase the risk of a fall in international crude oil futures,but will reduce the risk of a fall in domestic fuel oil futures.Which indicates that in the current international crude oil futures trading,the proportion of speculative trading volume is relatively large,seriously affects the oil price rise and fall.And the the fuel oil futures market in our country is currently dominated by speculative investment,when the market speculation is reduced,the market liquidity is bad,the risk of market decline will increase accordingly.In addition,by comparing the reaction characteristics in extreme risk between the international oil futures market and the domestic fuel futures market,it is found that the international oil futures market is more rational than the domestic market when it comes to extreme risks.But the domestic market,both in the boom and in the bust,shows the characteristics of overreacting.Fourth,by studying the extreme risk spillover effects between the oil futures and the US dollar index,the stock market and gold market,find that the oil futures market is mainly affected by the US dollar index and the stock market risk spillover,and the oil futures market is affected by the gold market is relatively weak.A rise in the dollar will increase the risk of a fall in the oil futures.A rise in the stock market will increase the risk of a rise in the oil futures.A fall in the stock market will increase the risk of a fall in the oil futures.Conversely,the oil futures have a significant risk spillover effect on the stock market.A fall in oil futures will increase the risk of a fall in the stock market,and have no significant impact on the risk of the US dollar index and the gold market.Fifth,by studying the spillover effect between domestic and foreign oil futures and spot,find that there is a two-way risk spillover between the WTI futures and spot under 5%quantile,there is only one-way risk spillover of the WTI futures of spot under 95%quantile,and the rise and fall of the risk of transmission speed is faster,almost instantaneously.The WTI futures have a one-way risk spillover of rising and falling of Daqing crude oil,which indicates that the change of China’s oil spot price is mainly affected by the international oil market.In addition,there is no significant risk spillover effect between the fuel oil futures and the spot in China.In a word,through the research on the measurement,causes and spillover effects of the extreme risk of domestic and foreign crude oil futures,we find that the extreme risk in oil futures market is due to the interaction of a large number of complex factors.From a financial perspective,it includes both the excessive speculation and overreaction of investors in the market,as well as risk spillover in markets such as the dollar index market,the stock market and gold market.It is necessary to recognize the impact of these factors on the extreme risk of domestic and foreign oil markets.At the same time,the risk spillover of oil futures to other related markets should also be paid attention to.At present,the domestic crude oil futures prices basically accept risk in a passive state,should be as soon as possible to perfect our oil futures trading products and operational mechanism of the market,improve the ability of resisting external market risk.