中国原油期货是国际原油期货的影子市场吗?:基于Copula-CoES模型的实证  

Is China's Crude Oil Futures Market a Shadow Market of the International Crude Oil Futures Markets?Empirical Study Based on the Copula-CoES Model

作　　者：曹洁 雷良海[2] 叶文 CAO Jie;LEI Lianghai;YE Wen

机构地区：[1]盐城师范学院数学与统计学院 [2]上海理工大学管理学院

出　　处：《世界经济研究》2024年第7期120-133,M0004,共15页World Economy Studies

基　　金：国家社会科学基金面上项目“证券发行注册制改革背景下信息披露机制完善及策略研究”(项目编号:21BGL087)。

摘　　要：文章从尾部风险溢出视角出发,基于原油期货市场的特点将传统下行CoES拓展至上行CoES,并推导出其在Copula函数下的计算公式,从而测度中国原油期货与国际三大基准原油期货在新冠疫情暴发与俄乌冲突爆发前后的动态尾部风险溢出效应,以此研判中国原油期货是否只是国际原油期货的影子市场。实证研究显示:中国原油期货与国际原油期货之间存在显著的双向下行风险溢出和上行风险溢出,且后者的溢出强度普遍高于前者;中国原油期货与国际原油期货之间的尾部风险溢出受到新冠疫情与俄乌冲突的影响明显,且前者的影响程度更深而后者的影响周期更长;中国原油期货对国际原油的尾部风险溢出强度并不总是低于风险接受强度,中国原油期货并非一直扮演风险接受方的角色;新冠疫情与俄乌冲突强化了中国原油期货与国际原油期货之间的独立性,中国原油期货市场已基本脱离国际原油期货市场的影子市场。From the perspective of tail risk spillovers,this paper expands the traditional downside CoES to upside CoES based on the characteristics of the crude oil futures markets,and derives its calculation formula under the Copula model,so as to measure the dynamic tail risk spillover effect between China's crude oil futures and the three international benchmark crude oil futures before and after the outbreak of the COVID-19 and the Russia-Ukraine conflict,and to study whether China's crude oil futures market is just the shadow market of international crude oil futures markets.Empirical research shows that there is a significant two-way downside risk spillovers and upside risk spillovers between China's crude oil futures and international crude oil futures,and the spillover intensity of the latter is generally higher than that of the former.The tail risk spillovers between China's crude oil futures and international crude oil futures is significantly affected by the COVID-19 and the Russia-Ukraine conflict,and the former has a deeper impact while the latter has a longer impact cycle.Moreover,the tail risk spillover intensity of China's crude oil futures to international crude oil futures is not always lower than the risk acceptance intensity,and China's crude oil futures have not always played the role of risk acceptors.In addition,the COVID-19 and the Russia-Ukraine conflict have strengthened the independence between China's crude oil futures and international crude oil futures,and China's crude oil futures market has basically separated from the shadow market of the international crude oil futures markets.

关 键 词：原油期货 影子市场 风险溢出 CoES COPULA模型 

分 类 号：F724.5[经济管理—产业经济] F764.1