Research On The Impact Of Energy News On China 's Fuel Oil Futures Market And Its Risk Control

In recent years, the arising of Energy News often resulted in the violent fluctuations in the price of energy futures markets, especially the heating oil futures market. What’s more, by the aid of relationship between international markets, Energy News can also affect the heating oil spot market as well as international energy futures markets and spot markets. As a result, the Energy News can have its effect on a larger market range. Nowadays, the effect of Energy News on the price of energy markets, especially the heating oil futures market attract widespread attention.In order to study effect of Energy News on the Chinese heating oil futures market. Base on the "Continuous Information Arrival Hypothesis" and "Mixed Distribution Hypothesis", this paper analyzed the mechanisms and principles of energy news affecting on the heating oil futures market from the direct way and indirect way. And then, by constructing stochastic volatility models based on different distributional assumptions and using dummy variables to characterize the domestic and international Energy News, we investigated the characteristics of the short-term effects of energy news. As a result, we found that Energy News have a significant negative impact on the yields and volatility of China’s heating oil futures market, and the effects of international Energy News is greater than that of domestic Energy News, the effects positive Energy News is greater than the bad Energy News.Then, by analyzing the long-term effects of the global financial crisis, we found that some important Energy News have medium and long-term effects on the heating oil futures market, and the duration of the effects often last for a few months.At last, this paper introduced a ARJI-GARCH model to characterize heating oil futures market jump. Base on this model, we worked on the problem of how to estimate China’s heating oil futures margin levels. Through research, we found that the jump behavior of the heating oil futures market is time-varying, and the ARJI-GARCH model can characterize this feature better, and the estimated futures margin level in this model is more suitable for the actual market situation.