全球石油市场的时频依赖性和连通性:来自高阶矩视角的新证据

IF 3.7 4区 经济学 Q1 BUSINESS, FINANCE
Jinxin Cui , Aktham Maghyereh
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引用次数: 4

摘要

研究全球石油市场之间的依赖性和连通性对跨市场投资者和监管机构具有重要意义。然而,现有的研究大多局限于低阶矩和时域。本文首次应用小波相干性方法和新提出的基于时变参数向量自回归的频率连通性方法,从高阶矩的角度研究了全球石油市场之间的时频依赖性和连通性。实证结果表明,石油市场的高阶矩依赖性弱于收益和波动性依赖性。总的来说,迪拜、米纳斯和塔皮斯石油在任何时刻都表现出与大庆石油相对较高的小波相干性。在大多数样本间隔期间,超前-滞后关系是异质的。总收益率和波动率的连通性指数高于偏度和峰度。收益连通性主要发生在短期(1-5天),而波动性、偏度和峰度连通性发生在长期(22 Inf天)。西德克萨斯中质原油在收益率、波动率和偏度连通网络中占主导地位,而迪拜原油在峰度连通网络上占主导地位。此外,动态总连通性、网络连通性和网络成对连通性指数都是时变的,并且与事件相关,高阶矩连通性说明了更多的波动特征。为各种市场代理提供了一些实际意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective

Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective

Investigating the dependence and connectedness among global oil markets is of great significance for cross-market investors and regulators. However, most of the existing studies are confined to lower-order moments and the time domain. This paper is the first to examine the time-frequency dependence and connectedness among global oil markets from the higher-order moment perspective by applying the wavelet coherence method and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach. The empirical results demonstrate that higher-order moment dependence among oil markets is weaker than return and volatility dependence. In general, Dubai, Minas, and Tapis oil exhibit relatively higher wavelet coherence with Daqing oil at all moments. The lead-lag relationships are heterogeneous during most sample intervals. The total return and volatility connectedness indices are higher than the skewness and kurtosis. The return connectedness mainly occurs in the short term (1–5 days) whereas the volatility, skewness, and kurtosis connectedness occur in the long run (22-Inf days). West Texas Intermediate oil dominates the return, volatility, and skewness connectedness network while Dubai oil dominates the kurtosis connectedness network. Furthermore, the dynamic total, net, and net-pairwise connectedness indices are all time-varying and event-dependent with the higher-order moment connectedness illustrating more volatile features. Several practical implications are provided for various market agents.

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来源期刊
CiteScore
5.70
自引率
2.40%
发文量
53
期刊介绍: The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.
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