Ma Richie Ruchuan, Xiong Tao, Bao Yukun
Department of Agricultural & Consumer Economics, University of Illinois at Urbana-Champaign, 438 Mumford Hall, 1301 W. Gregory Dr., Urbana, IL 61801, United States.
Department of Agricultural Economics and Management, College of Economics & Management, Huazhong Agricultural University, No.1 Shizishan St., Hongshan Dist., Wuhan 430070, Hubei Province, PR China.
Energy Econ. 2021 Oct;102:105517. doi: 10.1016/j.eneco.2021.105517. Epub 2021 Aug 17.
The COVID-19 pandemic damaged crude oil markets and amplified the consequences of uncertainty stemming from the Russia-Saudi Arabia oil price war in March-April of 2020. We investigate the impacts of the oil price war on global crude oil markets. By doing so, we use the daily futures and spot prices in three major crude oil markets - West Texas Intermediate, European Brent, and Oman - to perform a systematic analysis of the impacts of the oil price war on them. The event study method, a well-established analytical tool to measure the impacts of a given event on markets, is used in this study. The results indicate that information leakage plays an important role in the impacts of the price war. The outbreak of and truce following the price war have asymmetrical impacts on the markets; negative impacts generated by information leakage during the outbreak are generally more durable than the positive ones it generated during the truce. Furthermore, the magnitude of the impacts on futures markets is negatively correlated with the time-to-maturity of futures. Finally, negative crude oil prices affect West Texas Intermediate crude oil markets the most. Our findings generally show that market participants could perceive and assimilate market changes and adjust their expectations, which restrained the impacts that should have occurred within the oil price war.
新冠疫情破坏了原油市场，并放大了2020年3月至4月俄罗斯与沙特阿拉伯油价战所带来的不确定性后果。我们研究了油价战对全球原油市场的影响。为此，我们利用西得克萨斯中质油、欧洲布伦特原油和阿曼这三个主要原油市场的每日期货和现货价格，对油价战对它们的影响进行系统分析。本研究采用事件研究法，这是一种用于衡量特定事件对市场影响的成熟分析工具。结果表明，信息泄露在价格战的影响中起着重要作用。价格战的爆发和休战对市场有不对称影响；爆发期间信息泄露产生的负面影响通常比休战期间产生的正面影响更持久。此外，对期货市场的影响程度与期货到期时间呈负相关。最后，负油价对西得克萨斯中质油市场影响最大。我们的研究结果总体表明，市场参与者能够感知并吸收市场变化，调整他们的预期，这抑制了油价战本应产生的影响。
