Research On Nonlinear Spillover Effect Of Shanghai Crude Oil Futures Across Markets

The establishment of the Shanghai crude oil futures market is a major strategic move for China to participate in the global crude oil pricing power competition,and it will have a profound impact on the diversified development of China's financial market.Shanghai crude oil futures is the first internationalized futures product launched by China.What kind of radiative influence has the new Shanghai crude oil futures market exerted on related markets? What kind of influence does Shanghai crude oil futures exert in various fields? This is the vitality of a new market.As the Shanghai crude oil futures market is not long after the listing,in-depth quantitative research is still very lacking,so it is extremely necessary to conduct relevant research on the cross-market spillover effects of Shanghai crude oil futures in a timely manner.The relevant research work will provide strong support for the future development of the Shanghai crude oil futures market and the extensive improvement of its influence.This article focuses on innovation from the entire macro research concept and the overall research framework.First,this article innovatively proposes the concept of "non-linear spillover effect" and clarifies the corresponding definition,that is,the information changes of different financial assets have complex nonlinear interaction in the cross market transmission process.Presents a complex phenomenon of non-linear interaction.On this basis,actively construct a suitable research framework,fundamentally different from existing research in the application of analysis methods,completely freed from the linear analysis framework,and all adopt dynamic modeling methods that can adapt to nonlinear analysis.So as to ensure that the dynamic change characteristics of the cross-market spillover relationship can always be effectively discovered.The study of nonlinear spillover effects in this article will be fundamentally different from the study of linear spillover effects.The study on nonlinear spillover effects ensures that the spillover effect relationship that exhibits irregular curve changes can be accurately described.Moreover,it effectively reveals the dynamic evolution process of spillover effect relationship.This will be significantly better than the conventional linear spillover effect research,which is a simplified qualitative judgment and a simple linear description of the average of the information loss.Furthermore,this article also actively seeks breakthroughs in the research area,innovatively starting from the perspective of multi-dimensional and multi-directional spillovers,focusing on the relationship between Shanghai crude oil futures and the international crude oil futures markets,domestic and foreign crude oil spot markets,crude oil derivatives markets,and related financial markets.These works give a more comprehensive and detailed description and analysis of the spillover effect of Shanghai crude oil futures market.Under the overall guidance of the above concept,the main research content of the full text is divided into four dimensions and detailed as follows;first,from the perspective of the relationship between the crude oil futures market,the non-linear spillover between the Shanghai crude oil futures market and the international crude oil futures market Effect analysis,based on the study of the multiple BEKK-MVGARCH model,found that the dynamic linkage relationship between the new Shanghai crude oil futures market and the global mainstream crude oil futures market showed diversity,Shanghai crude oil futures and Oman crude oil located in the Middle East oil production center The dynamic linkage relationship between the two futures is the closest,while the dynamic linkage relationship with the BRENT crude oil futures and WTI crude oil futures is not high.Secondly,from the perspective of the relationship between crude oil futures and the spot market,this paper analyzes the nonlinear spillover effects between Shanghai crude oil futures and different types of crude oil at home and abroad.Research based on the time-varying t-copula model found that Shanghai crude oil Futures have exerted a very strong guiding force on the two main domestic crude oil spot varieties,and the influence of different foreign crude oil spot varieties has shown great differences,but in general,its international influence is gradually increasing.Third,from the perspective of the relationship between the upstream and downstream markets of the crude oil industry chain,analyze the non-linear spillover effects between Shanghai crude oil futures and crude oil energy chemical derivatives physical futures.Based on the dynamic DCC-MSV-t model,found that the spillover effect of Shanghai crude oil futures on futures in the direction of refined crude oil products is significantly higher than that of futures of chemical products.Shanghai crude oil futures maintain a very high level of fuel oil futures and petroleum pitch futures in the direction of refined products The level of spillover effects.Finally,from the perspective of the interrelationship between financial markets,this paper analyzes the non-linear spillover effect between Shanghai crude oil futures and other financial markets.Based on the research of the rolling window complex network model,it is found that Shanghai crude oil futures are connected to other financial markets.It has a close relationship with other financial markets,possesses the attributes of a strong financial market,and has deeply integrated into China's capital market system.In planning for future development,the Shanghai crude oil futures market should actively attract various market entities to participate in its market transactions,and at the same time,further facilitate the investment channels in which multiple market entities participate,so as to effectively increase its transaction flow and activity.On this basis,managers should actively explore to build the Shanghai crude oil futures market into a multi-dimensional market system consisting of multiple element markets such as crude oil options and crude oil ETFs,and continue to expand and strengthen the "Shanghai Oil Futures" brand.At the same time,managers should also actively leverage on the internationalization of the renminbi.The construction of the crude oil futures market and the development of the foreign exchange market complement each other.The deep internationalization of the renminbi will greatly boost the formation of the "Shanghai price" in the global crude oil futures market.In addition,managers must always attach great importance to the construction of the Shanghai crude oil futures market risk prevention and control system and mechanism,and strive to build an efficient and complete comprehensive risk prevention and control system to ensure the long-term stable and healthy development of the Shanghai crude oil futures market.Finally,while actively learning from the advanced development experience of the global mature crude oil futures market,it should also focus on exerting its own comparative advantages,focusing on achieving differentiated development,and striving to create a development path for the crude oil futures market with distinctive "Chinese characteristics".