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

Yanqiong Liu (), Zhenghui Li (), Yanyan Yao () and Hao Dong ()
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Yanqiong Liu: Business School, Hunan First Normal University, Changsha 410205, China
Zhenghui Li: Guangzhou Institute of International Finance, Guangzhou University, Guangzhou 510405, China
Yanyan Yao: Accounting Office, Guangzhou Municipal Finance Bureau, Guangzhou 510623, China
Hao Dong: School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China

Energies, 2021, vol. 14, issue 13, 1-22

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.

Keywords: risk evolution of international crude oil market; the rising and falling trend of returns; CAViaR; asymmetry (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2021
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