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人民币原油期货是否具有国际影响力?--基于东南亚金融市场的实证研究 被引量:2

Do RMB Crude Oil Futures Have International Influence?--Based on Southeast Asian Financial Markets
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摘要 通过构建cross-quantilogram模型,研究了人民币原油期货波动与东南亚国家金融市场回报的分位数依赖性和可预测性。结果表明,人民币原油期货价格(INE)波动对东南亚股票市场、债券市场和汇率市场回报均具有方向可预测性。当原油期货价格波动较小时,金融市场极端收益发生概率较低,反之金融市场极端收益发生概率较高;且对不同国别不同金融市场的可预测性存在异质性,其中对股票市场的预测性最强;与我国经济贸易额大的国家的可预测性强于贸易额小的国家。结果证明了人民币原油期货已具有区域性国际影响力。 By constructing cross-quantilogram model to study the quantile dependence and predictability of the volatility of China’s crude oil futures and financial market returns in Southeast Asian countries.The results show that INE crude oil futures has directional predictability on the returns of the Southeast Asian stock market,bond market and exchange rate market.When crude oil futures prices fluctuate less,the probability of extreme returns in the financial market is low;otherwise,the probability of extreme returns in the financial market is high,the predictable effects of different financial markets in different countries are heterogeneous,and the stock market has the best prediction effect;countries with large economic trade volume with China are more predictable than countries with small trade volume,proving that INE crude oil futures have gained regional international influence.
作者 邓超 吴志平 李诗雨 姚海祥 DENG Chao;WU Zhiping;LI Shiyu;YAO Haixiang(School of Finance,Guangdong University of Foreign Studies,Guangzhou,Guangdong 510000,China)
出处 《财经理论与实践》 CSSCI 北大核心 2023年第2期25-31,共7页 The Theory and Practice of Finance and Economics
基金 国家自然科学基金面上项目(12171103,11801099,72071051) 广东省基础与应用基础研究基金(2021A1515011149) 广州市基金与应用基础研究项目(202201010552)。
关键词 人民币原油期货 cross-quantilogram 东南亚国家 金融市场 RMB crude oil futures cross-quantilogram Southeast Asian countries financial markets
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