您需要调用每个页面并将当前项传递给callback：

def parse_first_page(self, response): 
    loader = ItemLoader(item = BuymaResearchtoolItem(), response = response)
    loader.add_xpath("brand_name", 'normalize-space(//*[@id="s_brand"]/dd/a/text())')
    loader.add_value("page_URL" , response.url) 
    loader.add_xpath("inquire" , '//*[@id="tabmenu_inqcnt"]/text()')
    item = loader.load_item()

    yield scrapy. Request(
        url=second_page_url,
        callback=self.parse_second_page,
        cb_kwargs={'item': item},
    )

def parse_second_page(self, response, item): 
    loader = ItemLoader(item=item, response=response)
    loader.add_xpath("Conversion_date", '//*[@id="buyeritemtable"]/div/ul/li[2]/p[3]/text()')
    item = loader.load_item()

    yield scrapy. Request(
        url=third_page_url,
        callback=self.parse_third_page,
        cb_kwargs={'item': item},
    )

def parse_third_page(self, response, item): 
    loader = ItemLoader(item=item, response=response)
    loader.add_value('ThirdUrl', response.url)
    yield loader.load_item()