中文摘要：

本文选取了全球主要的石油市场组合,以均值、方差、分位数为代理变量,运用Granger因果检验方法研究了市场的信息溢出效应。在过滤掉了均值因果关系后,着重分析了不同市场组合的波动溢出效应,判断了市场间的信息流向。在波动溢出分析的基础上,又进一步检验了极端上涨和极端下跌时的风险溢出关系,提出了非对称风险溢出的概念,并将其应用于石油市场。实证结果表明信息大多从信息效率高的市场流向信息效率低的市场,上涨侧的信息传递速度比下跌侧更高,强风险溢出证据是普遍的。对波动溢出与风险溢出的比较表明,风险溢出继承了波动溢出的大多数特征,表明方差Granger因果关系的存在是风险溢出的主要原因,二者的差异表明高阶矩存在的因果关系也可以导致风险溢出。

英文摘要：

we choose mean,variance and quantile as the proxy variable of information and then utilitize granger causality test to examine the information spillover effect among different market groups of global main oil markets.After filtering the granger causality in mean,this paper places emphasis on the volatility spillover effect to identify the direction of information flow.Base on the volatility spillover,extreme risk spillover effect in both upside and upside are also discussed.We propose the concept of asymmetric risk spillover and apply it in oil markets.The results show that information goes from the efficient market to inefficient market,the upside information transmission speed is faster than the downside one,evidence of strong risk spillover is pervasive,and risk spillover inherits the main features of volatility spillover,revealing that granger causality in variance is the main cause of risk spillover.The distinct features between volatility spillover and risk spillover mean that granger causality in higher order moments can also lead to risk spillover.