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

Abstract

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

CLC Number:

F830

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

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