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 are 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 a 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.

Key words:

crude oil futures market, market effectiveness, extreme event shock, multifractal theory, recurrence plot

摘要：

原油期货市场极易受到地缘政治冲突和金融危机等极端事件冲击的影响，基于多重分形降趋波动分析和递归图方法构建了4种指标，量化分析了上海原油期货市场的有效性，并以国际原油Brent和WTI期货市场作为对比，系统地研究了极端事件冲击下市场有效性的动态演变特征。最后，对WTI原油期货市场的长历史数据进行了分析。研究发现：在相同的样本期间内，由于中国原油期货的制度优势、审慎适时的风控政策和具有强大韧性的经济基本面，极端事件冲击对国际原油期货市场有效性的负面影响大于国内市场，从而使得上海原油期货市场的有效性在不同时间尺度下都高于Brent和WTI原油期货市场；原油期货市场的有效性不是固定不变的，具有显著的均值回复特征，极端突发事件会对原油期货市场的有效性造成严重的负面冲击，由于原油期货市场系统具有自我修复的能力，外生冲击造成的短暂动荡会被逐渐吸收化解，以维持自身市场有效性的相对稳定。所构建的市场有效性指标对预警原油期货市场风险具有一定的效果。

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