Impacts of CME Changing Mechanism for Allowing Negative Oil Prices on Prices and Trading Activities in the Crude Oil Futures Market

作     者：LU Fengbin BU Hui LU Fengbin;BU Hui

作者机构：Academy of Mathematics and Systems ScienceChinese Academy of SciencesBeijing 100190China School of Economics and ManagementBeihang UniversityBeijing 100191China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2023年第36卷第5期

页      面：2001-2025页

核心收录：

学科分类：12[管理学] 02[经济学] 07[理学] 070103[理学-概率论与数理统计] 0820[工学-石油与天然气工程] 120202[管理学-企业管理（含：财务管理、市场营销、人力资源管理）] 0202[经济学-应用经济学] 020208[经济学-统计学] 1202[管理学-工商管理] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 1002[医学-临床医学] 020205[经济学-产业经济学] 1001[医学-基础医学(可授医学、理学学位)] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 

基　　金：supported by Dr.Lu’s grants from the National Natural Science Foundation of China under Grant No.71871213 Prof.Bu’s grants from the National Natural Science Foundation of China under Grant Nos.71671012 and 91846108 

主　　题：Event study illiquidity risk market risk negative crude oil futures price price-trading relationship 

摘      要：This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME) s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures *** event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME s negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some ***,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)*** results imply that CME s allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk *** study s results coincide with the following lawsuit evidence of market manipulation.