Analysis Of Price Linkage Effect Of Crude Oil Futures Market At Home And Abroad

As the world's largest crude oil importer and the second largest crude oil consumer,China's domestic crude oil import demand and consumer demand are very strong.However,due to the relative shortage of China's oil resources,the imbalance of crude oil supply and demand has led to the increasing dependence of China's crude oil on foreign countries.Exposure to risk exposure.In this context,China officially launched its domestic crude oil futures contract on March 26,2018.As an important participant in the world crude oil trade,China has finally raised its “discourse power” in the international crude oil market,which means that China has opened.A new chapter in financial reform.In order to better understand the operation law of domestic and foreign crude oil futures market and the process of information dissemination and absorption,improve the voice and influence of China's crude oil futures market in the international market,help domestic oil companies effectively avoid risks and achieve hedging,research The linkage effect between domestic and foreign crude oil futures markets is very necessary.This paper first reviews and summarizes the development of domestic and international crude oil spot market,and concludes that China's important players in the oil market are closely related to the international crude oil market,and further integrates theory from space market,no-arbitrage equilibrium theory and information.The three dimensions of flow and volatility spillover effects are used to analyze the mechanism of price linkage between different markets,and the related empirical methods are introduced in detail.Finally,in the empirical part,the time series consisting of the logarithmic closing price and the daily logarithmic yield of WTI crude oil futures,Brent crude oil futures and INE crude oil futures is used as sample data,and ADF is stabilized by Eviews9 software for three sets of time series data.Sex test;establish VAR model,and explore the existence of long-term cointegration integration relationship among the research objects through Johansen cointegration test,and further analyze the direction of long-term equilibrium relationship between the three futures markets through Granger causality test;The VEC model is used to plot the impulse response function and the variance decomposition map,and further analyze the short-term adjustment mechanism between variables.Through the above empirical analysis,the paper draws the following main conclusions: Finally,the VEC model was established and the impulse response function and variance decomposition were plotted to analyze the short-term adjustment mechanism between the research objects.The research results obtained in this paper are as follows:(1)There is an integration relationship between international crude oil futures markets.(2)During the formation of crude oil futures prices in the international crude oil futures market,the US crude oil futures market has always held the leading position and is in a leading position.China and the UK crude oil futures market are subordinated.