系统管理学报2024，Vol.33Issue(5)：1326-1347,22.DOI:10.3969/j.issn2097-4558.2024.05.016
极端事件冲击下原油期货市场有效性的演变特征
Evolutionary Characteristics of Crude Oil Futures Market Effectiveness in Extreme Event Shocks
摘要
Abstract
The crude oil futures market is highly vulnerable to extreme event shocks such as geopolitical conflicts and financial crises.In this paper,four indicators are respectively constructed based on the multifractal detrended fluctuation analysis and recurrence plot method to quantitatively analyze the effectiveness of Shanghai crude oil futures market with Brent and WTI futures markets as comparisons,and the dynamic evolution characteristics of market effectiveness under the shock of extreme events are systematically studied.In addition,the long history data of WTI is analyzed in detail,and the time-varying evolution behavior of the effectiveness under the impact of profound extreme events over the past 30 years is reviewed.It is found that in the same sample period,due to the superiority of China's crude oil futures system,prudent and timely risk-control policies,and economic fundamentals with strong resilience,the impact of extreme event shock on the effectiveness of the international crude oil futures market is more negative than that on the domestic market,which ultimately leads to the effectiveness of the Shanghai crude oil futures market being higher than those of Brent and WTI crude oil futures markets at different time scales.The effectiveness of the crude oil futures market is not fixed and has a significant mean reversion feature.Extreme emergencies will have serious negative effects on the effectiveness of the crude oil futures market.However,the crude oil futures market system has the ability to self-repair,and the temporary turbulence caused by exogenous shocks will be gradually absorbed and resolved to maintain the relative stability of its own market effectiveness.The market efficiency indicators established in this paper can be used for early warning of the risk of crude oil futures.关键词
原油期货市场/市场有效性/极端事件冲击/多重分形理论/递归图Key words
crude oil futures market/market effectiveness/extreme event shock/multifractal theory/recurrence plot分类
管理科学引用本文复制引用
杨杰,冯芸..极端事件冲击下原油期货市场有效性的演变特征[J].系统管理学报,2024,33(5):1326-1347,22.基金项目
国家自然科学基金资助项目(72273090) （72273090）
国家社会科学基金重点项目(22AZD133) （22AZD133）
