Asymmetry of Risk Evolution in Crude Oil Market: From the Perspective of Dual Attributes of Oil

Yanqiong Liu,Zhenghui Li,Hao Dong,Yanyan Yao

doi:10.3390/en14134063

Abstract

Investor emotional heterogeneity and oil dual attributes are the key factors that cause the asymmetry of risks in the international crude oil market. This paper uses the monthly data from April 2003 to October 2020 to identify the dynamic characteristics of oil’s commodity attribute and financial attribute, and this paper also analyzes the asymmetric characteristics of risk evolution and risk degree in the international crude oil market under the condition of oil returns heterogeneity. The empirical results show that: first, there is heterogeneity in the influence of oil attributes on the risk evolution and risk degree of the international crude oil market; second, the alternation of oil dual attributes has a significant asymmetric impact on the risk evolution of international crude oil market; third, the sudden change of international crude oil market risk caused by oil attributes is asymmetric under different oil returns trends. Based on the empirical conclusion, this paper puts forward the corresponding policy recommendations.

Highlights

The heterogeneity of investor sentiment and the dual attributes of oil are the key factors that cause the asymmetry of risk in the international crude oil market
When returns are rising in the international crude oil market, in the dominant period of different oil attributes, the risk shows a cyclical change of first rising and falling or first falling and rising
The dominant position alternation of oil commodity attribute and financial attribute will cause the risk under rising returns in the international crude oil market to change to a greater extent

Summary

Introduction

Publisher’s Note: MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations. The main purpose of this paper is to analyze the asymmetric characteristics of the risk evolution in the international crude oil market under the condition of returns heterogeneity. It is beneficial to arrange the policies under different returns trends, perfect the information-sharing mechanism across markets, and fundamentally guard against the negative impact of the price fluctuation of the international crude oil market on the commodity market, financial market and economic development. Proposed a conditional autoregressive VAR model (CAViaR) based on the quantile regression theory according to the agglomeration of asset returns This model, which has become an important method of quantile modeling, describes the dynamic change characteristics of VaR, accurately describes the risk autoregression and the impact of market shock on the returns rate [15,30,31,32]. The main conclusions of this paper are in the fifth section

Definition and Identification of Dual Attributes of Oil

Model Selection of the Oil Dual Attributes Identification

Dynamic Characteristics Analysis of Dual Attributes of Oil

Risk Measurement Methods of International Crude Oil Market

Conclusions

F Statistics