{"title":"原油期货市场下行和上行尾部风险的溢出效应和连动效应","authors":"","doi":"10.1016/j.irfa.2024.103578","DOIUrl":null,"url":null,"abstract":"<div><div>Combining efficient transfer entropy and DY spillover indices, this study first explores the contagion effects of downside and upside tail risks among INE, Brent, and WTI. Then we utilize wavelet coherence to capture the comovement characteristics of tail risks at multi-time scales. Furthermore, by mapping wavelet coherence information into comovement networks, the diversity and regularity of mode conversions of tail interdependency are investigated in depth. The results show that INE is reactively susceptible to the tail risk spillovers from Brent and WTI, and in terms of the magnitude of spillover to INE, Brent surpasses WTI prominently. The coherence between the tail risks of INE and Brent or WTI is much weaker than that of the Brent-WTI pair, especially in the short term or in the upside tail case. The evolution of downside tail risk comovement is more difficult to stabilize. A few comovement modes show a significantly higher probability of occurrence than others, and they also tend to link each other. Of special note are some comovement modes with low probability of occurrence yet behave as the key “bridges” in the mode transformation process.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":null,"pages":null},"PeriodicalIF":7.5000,"publicationDate":"2024-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The spillover and comovement of downside and upside tail risks among crude oil futures markets\",\"authors\":\"\",\"doi\":\"10.1016/j.irfa.2024.103578\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Combining efficient transfer entropy and DY spillover indices, this study first explores the contagion effects of downside and upside tail risks among INE, Brent, and WTI. Then we utilize wavelet coherence to capture the comovement characteristics of tail risks at multi-time scales. Furthermore, by mapping wavelet coherence information into comovement networks, the diversity and regularity of mode conversions of tail interdependency are investigated in depth. The results show that INE is reactively susceptible to the tail risk spillovers from Brent and WTI, and in terms of the magnitude of spillover to INE, Brent surpasses WTI prominently. The coherence between the tail risks of INE and Brent or WTI is much weaker than that of the Brent-WTI pair, especially in the short term or in the upside tail case. The evolution of downside tail risk comovement is more difficult to stabilize. A few comovement modes show a significantly higher probability of occurrence than others, and they also tend to link each other. Of special note are some comovement modes with low probability of occurrence yet behave as the key “bridges” in the mode transformation process.</div></div>\",\"PeriodicalId\":48226,\"journal\":{\"name\":\"International Review of Financial Analysis\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.5000,\"publicationDate\":\"2024-09-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Financial Analysis\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1057521924005106\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Financial Analysis","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1057521924005106","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
摘要
本研究结合有效的转移熵和 DY 溢出指数,首先探讨了 INE、布伦特和 WTI 之间下行和上行尾部风险的传染效应。然后,我们利用小波相干性来捕捉尾部风险在多时间尺度上的耦合特征。此外,通过将小波相干性信息映射到耦合网络中,我们深入研究了尾部相互依赖的模式转换的多样性和规律性。结果表明,INE 对布伦特和 WTI 的尾部风险溢出具有反应敏感性,就对 INE 的溢出程度而言,布伦特明显超过 WTI。INE 与布伦特或 WTI 的尾部风险之间的一致性要比布伦特-WTI 的尾部风险之间的一致性弱得多,尤其是在短期或上行尾部情况下。下行尾部风险的演变更难稳定。少数几种耦合模式出现的概率明显高于其他模式,而且这些模式往往相互关联。特别值得注意的是,一些出现概率较低的耦合模式在模式转换过程中起到了关键 "桥梁 "的作用。
The spillover and comovement of downside and upside tail risks among crude oil futures markets
Combining efficient transfer entropy and DY spillover indices, this study first explores the contagion effects of downside and upside tail risks among INE, Brent, and WTI. Then we utilize wavelet coherence to capture the comovement characteristics of tail risks at multi-time scales. Furthermore, by mapping wavelet coherence information into comovement networks, the diversity and regularity of mode conversions of tail interdependency are investigated in depth. The results show that INE is reactively susceptible to the tail risk spillovers from Brent and WTI, and in terms of the magnitude of spillover to INE, Brent surpasses WTI prominently. The coherence between the tail risks of INE and Brent or WTI is much weaker than that of the Brent-WTI pair, especially in the short term or in the upside tail case. The evolution of downside tail risk comovement is more difficult to stabilize. A few comovement modes show a significantly higher probability of occurrence than others, and they also tend to link each other. Of special note are some comovement modes with low probability of occurrence yet behave as the key “bridges” in the mode transformation process.
期刊介绍:
The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.