地缘政治风险是中国原油期货市场的驱动因素吗？——基于小波多分辨的非参数分位数因果检验方法

doi:10.16381/j.cnki.issn1003-207x.2020.1136

中国管理科学 ›› 2023, Vol. 31 ›› Issue (2): 51-62.doi: 10.16381/j.cnki.issn1003-207x.2020.1136

地缘政治风险是中国原油期货市场的驱动因素吗？——基于小波多分辨的非参数分位数因果检验方法

杨坤¹, 魏宇², 李守伟¹, 何建敏¹

1.东南大学经济管理学院，江苏南京211189； 2.云南财经大学金融学院，云南昆明650221

收稿日期:2020-06-14 修回日期:2020-09-23 出版日期:2023-02-20 发布日期:2023-02-28
通讯作者: 魏宇(1975-)，男(汉族)，四川攀枝花人，云南财经大学金融学院，教授，博士，研究方向：金融风险管理，Email：weiyusy@126.com. E-mail:weiyusy@126.com
基金资助:
国家自然科学基金资助项目(71971055，71971191，71671145)；教育部人文社会科学基金规划项目(17YJA790015，17XJA790002，18YJC790132，18XJA790002)；云南省高校科技创新团队项目(2019014)；云南省科技计划基础研究重点项目(202001AS070018)；东南大学优秀博士学位论文培育基金资助项目(YBPY1971)

Does Geopolitical Risk Drive China’s Crude Oil Futures Market? A Wavelet-based Nonparametric Causality-in-Quantiles Test

YANG Kun¹, WEI Yu², LI Shou-wei¹, HE Jian-min¹

1. School of Economics and Management, Southeast University, Nanjing 211189, China2. School of Finance, Yunnan University of Finance and Economics, Kunming 650221, China

Received:2020-06-14 Revised:2020-09-23 Online:2023-02-20 Published:2023-02-28
Contact: 魏宇 E-mail:weiyusy@126.com

摘要/Abstract

摘要： 地缘政治突发事件对于原油市场的重要影响早已得到广泛认可，但尚未有直接证据表明地缘政治风险是我国原油期货市场的驱动因素。引入基于新闻报道的地缘政治风险(geopolitical risk，GPR)指数，使用极大重叠离散小波变换与非参数分位数因果检验方法，详细讨论了不同时间尺度与原油条件分布下，地缘政治风险对我国原油期货收益与波动的非线性影响。在此基础上，利用上海原油期货5分钟高频交易数据计算7类原油日内波动，进一步分析地缘政治风险对原油高频价格动态的作用。研究发现：(1)地缘政治风险在频域视角下对我国原油期货收益具有显著影响，而原油价波动同时在时频域范围内对地缘政治风险变化表现出明显的响应。(2)地缘政治风险对我国原油期货已实现波动率和3类跳跃性波动均具备可预测性。(3)地缘政治风险对原油期货市场的影响具有明显的非对称特征，具体而言，对于原油收益的冲击更多地表现在极端分位点，并且对于原油收益和波动的长期影响均大于短期冲击。

关键词: 原油期货市场；地缘政治风险；非参数分位数因果检验；极大重叠离散小波变换；日内波动

Abstract: The crucial effects of sudden geopolitical turmoil on crude oil markets have long been widely recognized, but there is no direct evidence that geopolitical risk changes drive China’s crude oil futures market. Introducing the news-based geopolitical risk (GPR) index, the nonlinear impacts of geopolitical risk on the returns and volatility of China’s crude oil futures are detailedly disussed, from the perspectives of multi-time scales and different conditional distributions, using the maximal overlap discrete wavelet transform and nonparametric causality-in-quantiles test. On that basis, seven types of oil intraday volatility are calculated by the 5-minute high-frequency transaction data of Shanghai crude oil futures, and are further used to analyze the effect of geopolitical risk on crude oil high-frequency price dynamics.

Key words: crude oil futures; geopolitical risk; nonparametric causality-in-quantiles test; maximal overlap discrete wavelet transform; intraday volatility

中图分类号:

F830

杨坤, 魏宇, 李守伟, 何建敏. 地缘政治风险是中国原油期货市场的驱动因素吗？——基于小波多分辨的非参数分位数因果检验方法[J]. 中国管理科学, 2023, 31(2): 51-62.

YANG Kun, WEI Yu, LI Shou-wei, HE Jian-min. Does Geopolitical Risk Drive China’s Crude Oil Futures Market? A Wavelet-based Nonparametric Causality-in-Quantiles Test[J]. Chinese Journal of Management Science, 2023, 31(2): 51-62.

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地缘政治风险是中国原油期货市场的驱动因素吗？——基于小波多分辨的非参数分位数因果检验方法

Does Geopolitical Risk Drive China’s Crude Oil Futures Market? A Wavelet-based Nonparametric Causality-in-Quantiles Test

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