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
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 al-ways played the role of risk acceptors.In addition,the COVID-19 and the Russia-Ukraine conflict have strengthened the inde-pendence 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.
万方数据
维普
