Abstract:

The COVID-19 epidemic in 2020 aggravated the fluctuation of global crude oil prices. Meanwhile， systemic risks spread in global crude oil futures market. In this context， preventing imported financial risks has become an important challenge. Therefore，identifying the impact of emergency events on global crude oil prices can be very valuable. It helps to find the origin of risk in global crude oil futures market， so as to prevent imported financial risks.There is a rich literature on risk contagion， nevertheless， extensive research focuses on stock market and pay less attention to the risk spillover of global crude oil futures market. Hence， few studies on the factors of risk contagion，and even less research risk spillover of global crude oil futures market under emergency event. Meanwhile， extensive research focuses on static models. However， this obviously cannot identify the dynamic risk contagion characteristics of global crude oil futures market. Therefore， based on the risk spillover intensity index， the risk contagion of global crude oil futures market under the COVID-19 pandemic is studied， and then the driving factors of financial risk transmission are clarified.The main findings of this paper are as follows　（1）The risk impact of single market is significantly positively correlated with its severity of pandemic. Europe and the United States are the risk spillover centers of global crude oil futures market， but China is the risk receiver.（2）The increase of overseas pandemic risk will exacerbate the vulnerability of domestic financial market， and then China will be compelled to face increasingly imported financial risks.（3） The volatility of European and America’s stock markets and the appreciation of US dollar all strengthen the risk input of crude oil futures market. From the perspective of market depth and maturity， the deep improvement of the market helps to absorb the risk of price fluctuation， while the rising maturity increases the external risk spillover. （4） The robustness test shows that the impact of COVID-19 epidemic on crude oil market’s risk still exists after various treatments. Although China’s crude oil futures market is stabilizing now，we still need to remain cautiously optimistic. Since the pandemic risk is rebounding，China still faces uncertainty shocks.

Key words: emergency event, crude oil futures market, prevent risk input, mechanism of risk overflow