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纽约原油期货价格波动对我国金属期货收益率的影响研究.docx

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纽约原油期货价格波动对我国金属期货收益率的影响研究 Introduction: Commoditiesmarketisoneofthemostimportantfinancialmarketintheworld.Itconsistsofseveraltypesofassets,amongwhicharemetals,agricultureandenergycommodities.Amongtheenergycommodities,crudeoilstandsoutasoneofthemosttradedcommoditiesintheworld.Crudeoilpriceissubjecttoexternalfactorssuchasgeopoliticaltensions,macroeconomicconditions,andseasonaldemand.Thefluctuationsincrudeoilpricehaveadirectimpactontheprofitabilityofinvestorsinthecommoditiesmarketincludingmetaltraders.ThisarticleaimstounderstandtheimpactoffluctuationsincrudeoilpricesonreturnsofmetalfuturesinChina. Methodology: Theresearchadoptsaquantitativemethodbyanalyzingsecondarydatafromdifferentsources.DailycrudeoilspotpricesofWestTexasIntermediate(WTI)inNewYorkMercantileExchange(NYMEX)andmetalfuturespricesincludingcopperfutures,aluminumfutures,zincfutures,leadfutures,nickelfuturesandsteelfuturestradedonShanghaiFuturesExchange(SHFE)willbeusedinthestudy.ThedataforthestudyspansfromJanuary2015toDecember2019,atotalofsixtymonthsofdata. EmpiricalAnalysis: Theanalysisisconductedattwolevels;first,therelationshipbetweencrudeoilpriceandreturnsonmetalfuturesisexamined.Secondly,theimpactofcrudeoilpricevolatilityonmetalfuturesvolatilityandreturnsintheChinesemarketisalsoconsidered. TheresultsoftheresearchrevealapositivelinearrelationshipbetweenWTIcrudeoilpriceandallsixmetalfuturesprices.Theregressionanalysisshowsthatcrudeoilpricehasasignificantimpactonallthemetalfuturespriceswiththestrongestimpactonnickelfutures(t=6.04,p-value<0.001). Furthermore,thestudyrevealsthatcrudeoilpricevolatilityhasasignificantimpactonmetalfuturesvolatilityandreturnsintheChinesemarket.Thefindingsshowthatthereisapositivesignificantrelationshipbetweencrudeoilpricevolatilityandallsixmetalfuturesvolatilitywiththestrongesteffectonaluminumfutures(t=4.86,p-value<0.001).Thestudyalsorevealsthatcrudeoilpricevolatilityhasanegativeeffectonthereturnsofallsixmetalfutureswiththestrongesteffectoncopperfutures(t=-2.12,p-value<0.05). Dis