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运用多尺度熵分析法对中国原油价格运动的演化过程以及原油市场效率进行实证研究。结果表明,原油市场效率非平凡地依赖于时间尺度。一般的模式是,在小时间尺度上(从日到月)市场效率较高,在大时间尺度上(一个季度以上)市场效率较低,这意味着长期原油价格的可预测性相对较高。并且,由于外部冲击或市场内在动力的改变,市场效率随时间和时间尺度发生显著的变化;在考察期内(2003—2011年),短期原油市场效率水平几乎是一致的,长期原油市场效率水平的演变过程与经济发展轨迹是吻合的。当经济处于繁荣期,长期原油市场效率水平相对较高。当经济处于衰退期,长期原油市场效率水平相对较低。
Using multiscale entropy analysis to analyze the evolution of China’s crude oil price movement and the market efficiency of crude oil. The results show that the crude oil market efficiency is non-trivially dependent on the time scale. The general pattern is that the market efficiency is high on a small time scale (from day to month) and less efficient on a large time scale (more than one quarter), which means the predictability of long-term crude oil prices is relatively high. Moreover, due to external shocks or changes in internal market dynamics, market efficiency changes significantly with time and time scales. During the study period (2003-2011), the short-term crude oil market efficiency was almost the same, and the long-term crude oil market efficiency The evolutionary process coincides with the economic development trajectory. When the economy is booming, the long-term efficiency of the crude oil market is relatively high. When the economy is in a recession, the long-term efficiency of the crude oil market is relatively low.