| Crude oil futures are susceptible to a variety of factors that generate price fluctuations.As financial markets become increasingly integrated,this volatility often spills over from market to market.Since 2020,the COVID-19 pandemic has spread rapidly around the world and has lasted for a long time,which has exacerbated the impact on crude oil demand and increased the volatility and uncertainty of the futures market.This paper studies the volatility leverage effect and spillover effect of Sino-US crude oil futures markets from both theoretical and empirical aspects.Firstly,in the mechanism analysis,the formation mechanism and channel of volatility leverage effect and spillover effect in the Sino-US crude oil futures markets are analyzed from the perspectives of non-arbitrage equilibrium,rational expectation,investor sentiment,market contagion and information friction respectively.Secondly,in the empirical study,ICSS algorithm was used to find the structural breakpoint of the fluctuation of Sino-US crude oil futures markets,and determine the outbreak time of COVID-19 in the two countries for segmented study.ARFIMA-FIAPARCH model can consider multiple volatility characteristics at the same time,so it is used to study the existence,persistence and time variability of volatility leverage effect in crude oil futures market,and its fitting effect is better than that of single GARCH model.DCC,ADCC and BEKK models are used to study the strength,persistence,asymmetry and spillover direction of volatility spillover effect,which can more accurately capture the dynamic changes of financial markets.In addition,the influence of major emergencies on volatility spillover was tested by replacing sample data,which enriched the research on the influence of major emergencies on volatility of crude oil futures market.The conclusions obtained in this paper are as follows: Firstly,Sino-US crude oil futures markets have leverage effect of time-varying fluctuation.Before the outbreak,the volatility leverage effect of American crude oil futures market is higher than that of the Chinese market.After the outbreak,the leverage effect of two markets is reduced,the extent of the negative impact of conditional volatility is limited,which is associated with the special features of the outbreak and government control policies,Therefore,the effective intervention of the government is very important.Policies during the epidemic can not only stabilize Chinese futures market,but also affect the development of spot and international futures markets.Therefore,effective government intervention is very important.Secondly,there is asymmetric and time-varying volatility spillover effect in the Sino-US crude oil futures markets,and the spillover effect from the American market to the Chinese market is larger than that from Chinese market to the American market.The epidemic has continuously increased the dynamic correlation and spillover between crude oil futures markets,and the spillover direction has changed from one-way to two-way.Therefore,the supervision of Chinese crude oil futures market still needs to be improved.The added value of overflow in the American market is less than the added value of the Chinese market,it is related to the concept of environmental protection advocated by China in recent years,so investors should pay attention to the development of new energy and investment portfolio.According to the above conclusions,this paper makes some recommendations for Chinese investors,regulators and governments.Investors should continuously improve their professional qualities,optimize their investment portfolios,and hedge against spillover risks;regulatory authorities should scientifically supervise financial product innovation,improve market management,and develop a diversified spot market;and the government should learn lessons from major emergencies to restore economic production order and maintain social stability as soon as possible in the post-epidemic stage. |
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