空气污染对原油期货市场的影响

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2024-03-18 DOI:10.1002/fut.22503

Ting Yao, Yue-Jun Zhang

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引用次数: 0

摘要

本研究探讨了空气污染是否以及如何影响原油期货市场。结果表明，尽管空气污染对石油收益率没有显著影响，但在存在坑口交易的情况下，空气污染对原油期货市场的波动性和流动性有显著的负面影响。此外，纽约商品交易所（NYMEX）附近的空气污染会对波动性和流动性产生负面影响，而随着与纽约商品交易所距离的增加，影响幅度会减小。总体而言，本研究揭示了空气污染通过物理或认知影响直接影响原油期货市场的投资者。

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The impact of air pollution on crude oil futures market

This study investigates whether and how air pollution can affect the crude oil futures market. The results indicate that, although air pollution does not significantly affect oil returns, it does have a significant negative impact on volatility and liquidity in the crude oil futures market in the presence of pit trading. Furthermore, air pollution near the New York Mercantile Exchange (NYMEX) negatively affects both volatility and liquidity, whereas the effect magnitude diminishes as the distance from the NYMEX increases. In general, this study reveals that air pollution affects investors in the crude oil futures market directly through its physical or cognitive impact.

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.