| As the most strategic commodity in the world,crude oil is known as the “king of energy”,and it has the triple attributes of commodities,finance and politics.It is also the life pillar of many economies and has a huge impact on all walks of life.In fact,since the financial crisis in 2008,the change of international oil price has entered a new stage of development.The price has fluctuated greatly and th e volatility has increased significantly.Obviously,the fluctuation can not be interpreted by traditional supply-demand relationship and other influencing factors.The financial characteristics of crude oil price are becoming increasingly apparent,and th e importance of crude oil in the global sustainable development has made it more core position and unique nature in financialization.The important manifestation of crude oil financialization,on the one hand,is more extensive market linkage,on the other hand,the information spillover effects between crude oil and financial markets is broader and stronger.In recent years,due to the confluent influence of a series of risk factors(such as the increasing complexity of the economic situation,frequent fin ancial crises,major breakthroughs in the US shale oil revolution,the upgrade of Sino-US trade friction,as well as the spread around the world of the COVID-19),the uncertainty in crude oil market is increasing.Therefore,in order to further to stabiliz e the order and promote the sustainable,stable and healthy development of international and domestic crude oil market,this thesis focuses on the four key scientific issues of the dynamic interconnectedness among crude oil markets,the shock of the COVID-19,the risk spillover effects and the impact of crude oil market uncertainty,then systematically explores the dynamic information spillover mechanism of crude oil market.Specifically:Firstly,in order to test whether Chinese crude oil futures(INE)has already played the role of futures market and whether it has had a significant impact on international benchmark market,we construct the Permanent Temporary(PT)model and Information Share(IS)model based on 15 minutes of high-frequency trading data to inspect the proportions of new information in INE and Brent markets,and use the Garbade-Silber(G-S)model to measure the risk transfer effect.Furthermore,the generalized spillover index is proposed to examine the effects of return and volatility spillovers among INE,WTI and Brent markets.The results reveal that:(1)during the sample period,INE is not yet a promoter of international benchmark crude oil prices,but more obvious followers.(2)Although INE has begun to display the price discovery function,it is weaker than that of Brent,and the risk transfer function between them does not appear strong.(3)INE market mainly acts as a net transmitter of return spillover before August 2018,but it has almost always been the net transmitter of volatility spillover during the full sample period.Secondly,under the double attacks of the COVID-19 around the world and the“price war” between Saudi Arabia and Russia,global crude oil demand collapse and supply expectations increase sharply,which further l eads crude oil prices to fall dramatically.It is of great significance to investigate how long this oil prices volatility may continue and when the impact of the COVID-19 on oil prices will ease.To this end,this thesis develops the improved event analysis method and Hilbert-Huang Transform(HHT)algorithm,and explores the impact degree and mode of the COVID-19 on crude oil prices from the multiscale perspective based on the high-frequency data.The empirical results indicate that:(1)during the sample period,the COVID-19 causes the sharp short-term fluctuations of crude oil prices,as well as the plunge in the medium and long term.(2)The COVID-19 has not yet caused structural breakpoints of crude oil prices;in other words,it is still an impulse eve nt and its impact on oil prices appears short-term.Meanwhile,there is no significant difference in the impact on Chinese crude oil prices and abroad.However,to some extent,the COVID-19 has changed the waveforms of the medium and long-term fluctuations of crude oil prices,which may further trigger oil price crisis and needs to be poured sufficient attention by stakeholders.Thirdly,with the integration and financialization of world economy,massive hot money has frequently flowed between crude oil and stock markets,and has brought significant extreme risks and their spillover.For this reason,this thesis develops the ARCH-Expectile model with embedded Conditional Auto Regressive structure(namely CAR-ARCHE model)and expectile-based Va R(EVa R)approach,and investigates the time-varying risk spillover between WTI futures market and US,UK,Japanese and global stock markets,respectively.The results indicate that:(1)the EVa R approach based on CAR-ARCHE model is more adequate than the conventional quantile-based Va R(QVa R)approach based on GED-GARCH for WTI and stock markets,which is due to the evident advantages of expectile compared to quantile.(2)The unidirectional downside risk spillover effects from WTI to the four stock markets and vice-versa are only remarkable during major events and present variations with jumps,but the bidirectional downside risk spillover effects between them are significant for each time point during the in-sample period.Finally,crude oil price trend determines the economic feasibility of substitution between exhaustible and renewable energy sources to a large extent,which makes renewable energy stock market vulnerable to crude oil market uncertainty,and the crude oil volatility index(OVX)is a direct indicator to m easure crude oil market uncertainty.Therefore,this thesis uses the quantile regression(QR)method to explore the effects of OVX changes on the global renewable energy stock returns under different stock market conditions.At the same time,the asymmetri c effects of crude oil market uncertainty on renewable energy stock returns are also investigated by utilizing the increase and decrease of OVX.Moreover,given that the lifting of US crude oil export ban on December 18,2015 has produced tremendous effect on the pattern of global energy supply and demand,this thesis further discusses the impact of this event on the relationship between crude oil market uncertainty and renewable energy stock market.The empirical results indicate that:(1)OVX changes have significant and asymmetric negative impacts on renewable energy stock returns under different stock market conditions.Particularly,this negative impact is mainly dominated by the increase of OVX in bearish and normal market conditions,and by the decrease of OVX in bullish market condition;the magnitude of average impact of the former is greater than that of the latter.(2)The lifting of US crude oil export ban weakened the impacts of the increase and decrease of OVX on renewable energy stock returns.(3)The robustness test finds that OVX paly more crucial role than volatility measured only based on historical price information of the crude oil market in modeling the influencing factors of renewable energy stock returns.In general,this thesis focuses on the main task and objective of promoting the sustainable,stable and healthy development of international and domestic crude oil market,based on the four core issues of holding crude oil market dynamic information,improving the crude oil market's ability to respond to major public crises,evading the risk of investment and promoting energy transformation;then systematically explores the dynamic information spillover mechanism of crude oil market,with a view to continuously making new progress in ens uring energy security,optimizing investment portfolios,improving resource allocation,and planning the layout of the energy industry. |
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