Research On The Heterogeneous Correlation Characteristics Of The Futures And Spot Price Of Crude Oil Market

The fluctuation of oil price not only influences the social development.It’s a hot research in the to find the price discovery function by exploring the correlation characteristics of the crude oil futures and spot price.In addition,the volatility of financial time series usually has temporal inertia,and the volatility of crude oil price can be found through the study of the autocorrelation characteristics of the series.In recent years,with China’s crude oil system becoming more mature and gradually integrated with the international crude oil market,we research the fluctuate characteristics of China’s spot as well as the correlation with international futures.With the evolution of modern financial system,the real crude oil spot market has more and more complex correlation characteristics,including instability,non-linearity,non-normality,etc..Based on the problems,this paper brings time-frequency and quantile heterogeneity into the same research framework to study the heterogeneity correlation characteristics of crude oil spot.On the one hand,we combine time-frequency and quantile to research the correlation characteristics.On the other hand,we combine the autocorrelation and causal correlation to research the autocorrelation and causality correlation.The daily return series are selected to decompose and reconstruct,and get the high and low frequency component.The Quantile Autoregressive model and the Quantile Granger causality model are constructed for daily return series,high frequency and low frequency component,and the corresponding conditional mean based model is constructed to analyze the results statistically and practically.In the autocorrelation study of the spot price,it is found that: in the daily income series,there is an insufficient reaction to the market news when the market condition is bad,and there is an overreaction when the market condition is good.There is more overreaction in short term and more under-reaction in the long run.When short-term market conditions are bad,investors are more sensitive to the extreme volatility of the past.In the long-term market,they are less affected by their lagging extreme volatility and downward trend.In the research of Granger causality,we find that WTI and Brent have significant guiding effect on Daqing.In the long-term,Daqing spot price also has impact on the international future price.Based on the results,this paper gives some suggestions to the policy makers and market participants in the crude oil market.