摘要
Abstract
The presence of El Nino phenomenon causes the decline of crude oil prices,while the crude oil spot price changes will inevitably lead to the changes in the futures market. According to the crude oil Futures Prices from 2006 to 2016,the paper establishes GARCH cluster models and through event study to explore whether crude oil futures prices returns would change with the appearance of the El Nino phenomenon. According to the study,we can find on-ly one significant impact on the oil futures market in nearly 10 years. At last,we propose two aspects of the suspect: on the one hand,changes in the weather are one factor of the influences of crude oil futures prices returns; while on the other hand,investors in the market have predicted.关键词
厄尔尼诺现象/原油期货价格/GARCH-M模型/事件研究法Key words
El Nino Phenomenon/Crude Oil Futures Prices/GARCH Model/Event Study分类
管理科学
