简介：ByapplyingtwononlinearGrangercausalitytestingmethodsandrollingwindowstrat-egytoexploretherelationshipbetweenspeculativeactivitiesandcrudeoilprices,theunidirectionalGrangercausalityfromspeculativeactivitiestoreturnsofcrudeoilpricesduringthehighpricephaseisdiscovered.ItisprovedthatspeculativeactivitiesdidcontributetohighcrudeoilpricesaftertheAsianfinancialcrisisandOPEC'soutputcutin1998.TheunidirectionalGrangercausalityfromreturnsofcrudeoilpricestospeculativeactivitiesissignificantingeneral.Butafter2000,withthesharpriseincrudeoilprices,thisunidirectionalGrangercausalitybecameacomplexnonlinearrelationship,whichcannotbedetectedbyanylinearGrangercausalitytest.
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