Research On The Risk Identification And Spillovers Effect Of Energy Futures Markets Based On The Perspective Of Time-frequency Analysis

In recent years,the energy financial market develops healthily and stably,and interacts with the traditional financial market,and China is no exception.Due to reasons such as China’s huge energy consumption demand,China’s energy futures markets expand continually and are closely linked with the international energy markets,especially the international crude oil futures market.Risk fluctuations in one of the markets will be transmitted to other markets in multiple ways such as through the real economy and financial paths.In this context,the mining of risk fluctuation characteristics of China’s energy futures markets and the international crude oil futures market and the study of spillover effects across the markets have gained much popularity in academia.Most of the existing studies have analyzed the risk characteristics of common energy financial markets as well as the risk transmission between them.However,they have certain limitations.For one thing,most of them only focus on the domestic and foreign crude oil futures markets,while ignoring other energy futures markets in China.For another,most of them only concentrate on the time-domain information and fail to consider the engineering signal characteristics of financial data.Given this,it is of great significance to include more Chinese energy futures markets in the time-frequency domain studies of digging fluctuations characteristics and analyzing spillover effects between markets.Taking seven Chinese energy futures markets and one international crude oil futures market into consideration,this thesis detects the risk fluctuation characteristics of a single market and the risk transfer between them.Firstly,the instantaneous timefrequency distribution based on Adaptive Fourier Decomposition(AFD)is used in this thesis to detect the risk fluctuation characteristics of the energy futures markets.Secondly,based on the Pearson correlation coefficient,the DCC-GARCH,and the wavelet coherence analysis,the static and time-frequency dynamic correlation between pair markets are analyzed.Then,the DY spillover indexes and the BK spillover indexes are used in this thesis to study the spillovers across all markets from the time-frequency domain,respectively.Furthermore,this thesis divides the sample interval into three stages and explores the influence of the COVID-19 on the time-frequency domain spillovers across the markets.Finally,suggestions for the development of China’s energy futures markets and the management as well as the control of risk transmission across them are proposed.The main conclusions of this study are as follows.Firstly,the results of detecting the financial risk fluctuation characteristics of the energy futures market show that:(1)There is a phenomenon of volatility aggregation in each market in the time-domain,and within a close time window,the fluctuations trend of some markets are similar.(2)From the perspective of the frequency domain,external shocks such as political struggles,natural disasters,and oil price wars may lead to violent fluctuations in the energy futures markets.Secondly,the results of analyzing the correlation between markets show that:(1)Some paired markets have medium-high static and dynamic correlations.(2)There exist medium-high frequency-domain dynamic correlations between some markets and the epidemic will affect them.(3)The dynamic correlation of most paired markets fluctuates similarly in a close time window,implying the possibility that the eight markets may influence each other internally as a complex system.Thirdly,the results of studying the risk spillovers across the energy futures market show that:(1)From the perspective of the time domain,during the full sample period,the international crude oil futures market possesses dominance,and there exist close connections between the Chinese crude oil futures market and other markets.(2)From the perspective of the frequency domain,during the full sample period,risk spillovers on the short-term scale are important and the price volatilities of similar highly correlated futures are inconsistent.(3)From the perspective of the time domain,in the multi-stage periods,the core position of the Brent market is weakening.(4)From the frequency domain perspective,there are some diversified novel results in the multistage period.For example,the Brent market may accept risks from parts of the Chinese energy futures markets in the short term,while it is the sender of risk in almost all other cases.Finally,from the two dimensions of energy financial volatility characteristics detections and energy financial risk contagion management,the thesis puts forward suggestions for the development of China’s energy futures market and the management of risk transmissions across China’s energy futures markets and international crude oil futures market:(1)The construction of China’s energy reserve system should be improved by setting up relevant departments for planning and regulation,and storing energy from strategic and commercial dimensions.(2)Establish a more perfect energy investment and financing system in China by enriching the investor methods,promoting the diversification of investment entities,and establishing a strong riskbased supervision system.The innovations are as follows:(1)From the perspective of the method,the AFDbased instantaneous time-frequency distribution,the DCC-GARCH,the wavelet coherence analysis,the DY,and BK spillover indices are used in this research,which expands the application of the signal processing methods of mining the characteristics and analyzing the transmission of risks in the fields of energy finance.(2)From the perspective of content,this thesis is the first to include multiple Chinese energy futures markets,instead of focusing on the Chinese crude oil futures market only.(3)From the perspective of a practical level,this study has excavated higher-precision information about the selected markets from the time-frequency domain.