The Study On Risk Spillover Effect Between Crude Oil Future And PTA Future-Evidence From The Empricial Analysis Of Copula-CoVaR

Along with the deepening of economic globalization, the connection between the national financial system is becoming more and more closely. Especially when the financial crisis happens, the risk from one country to other countries speed becomes faster and stronger. The risk between PTA futures London’s International Petroleum Exchange(IPE) Brent crude oil futures which is ne of the world’s most important crude oil futures get more and more attention in academia. Since PTA futures was listed in Zhengzhou Commodity Exchange in 2006, the research result of price-relation of PTA and PX were abundant, but the research of PTA and crude oil is very very litttle.Researching the risk spillover effect between PTA futures and crude oil futures is not only has great theoretical significance but also great practical significance.Based on current results, I use the knowledge of finance, statistics and risk management, and combine theory with practice, normative analysis with empirical analysis, qualitative with quantitative to research the risk spillover effect between PTA futures and crude oil futures. I fit the best Copula model with Matlab calculation software and by comparing the traditional method VaR and emerging risk measurement tool CoVaR, point out the advantages of CoVaR, then introduce CoVaR to PTA futures market. At last, I give the calculation of risk indicator CoVaR to analyze direction and strength of risk spillover effect between two markets in each two stages.The results show that, compared with the traditional VaR method, CoVaR is more clear and comprehensive to reflect the actual risks.From the directiona of risk spillover effect, there are present positive spillover effects between PTA futures and crude oil futures. That is, the price increase in one market will lead to the price of another market rise and vice versa.The innovations of this paper show in following three aspects. Firstly, compared with previous studies, most studies are about correlation between PTA and PX. This paper research from the view of crude oil, and analyze the risk spillover effects between the two. It can play a reference role in determining the price of PTA, what’s more, it contribute to production and operation of related enterprises and the development of national economy. Secondly, it is a innovation to introduce CoVaR into PTA future market. CoVaR is also essentially VaR, but it by a value indicate the risk another market faced when one market is facing risk. It not only quantify the risk spillover effects, but also overcome the defects that VaR only measures the risk of asingle market or a single economy. Thirdly, when I calculate CoVaR, I abandon quantile regression which is more common but can only describe the linear relationships between the variable regression and quantile. It makes CoVaR agrees well with the factual ones to use the Copula model that can describe the sequence of fat tail and non-linear correlation.According to research ideas, the main frame of the paper is roughly as follows.Chapter I is introduction section. This chapter emphatically expounds the research background, research purpose and research ideas. It also puts forward the innovation of this paper as well as research methods.Chapter II is literature review section. It elaborates the empirical research of risk spillovers effect in the domestic and foreign existing literature, including based on VaR model, Granger test, GARCH model and Copula model.Chapter III is about Copula–CoVaR model design,which is also the key chapter of this paper. First We compare with VaR and CoVaR, and simplely introduce Copula function, then elaborate how to use Copula method to deduce CoVaR.Chapter IV is empirical analysis section. This paper selectes daily closing price data of PTA futures and Brent crude oil futures from January 1, 2007 to December 31,2014. Then combining the model that is introduced in Chapter III, We research the strength of risk spillovers effect between PTA futures market and international crude oil futures market.Chapter V presents conclusions and analysis.