A Study On Mean Value And Volatility Spillover Effect Of Crude Oil Futures Markets In China

Deep in the tide of economic globalization,all links of the industrial chain are closely related,and there are spillover effects between the upstream and downstream through cost transmission and demand promotion.When the upstream market fluctuates,the downstream market will also fluctuate.China's crude oil futures were listed in Shanghai international energy trading center on March 26,2018,aiming to reflect the supply-demand relationship between China and the oil market in the Asia-pacific region and expand its voice in the global crude oil market pricing power.Its fluctuations are closely related to the downstream futures market.In this paper,by using the combined method of theoretical and empirical analyze the 2018.3.26-2020.2.7 about INE,WTI crude oil futures market,and Asphalt futures market,PP futures market,PTA futures market as the representative the oil industry chain downstream,which through Eviews10.0 and WinRATS8.0,VAR model and BEKK-GARCH model are respectively constructed to compare and analyze the return rate and volatility.Firstly,in the mean spillover effect on INE: established the VAR model,Granger causality test,Impulse response function and variance decomposition analysis,the empirical results show that the INE and WTI asymmetric between the mean spillover effect,INE yield fluctuation is one-way spillover effects,it shows that crude oil futures market in China is still in the information of the receiving;INE yield of crude oil futures market is not Asphalt futures,PP futures,PTA futures the Granger cause,but WTI is in the downstream of crude oil futures market yields the granger cause of change in chemical industry,it indicated that more under the influence of international benchmark crude futures,and the depth and breadth of the crude oil futures market industry remains to be further improved.Secondly,in INE volatility spillover aspects: through the establishment of BEKK GARCH model and Wald test,the empirical results show that the INE and WTI exists bidirectional volatility spillover effect;INE,Asphalt futures,PP futures also have bidirectional volatility spillover effect,however,PTA futures market has one-way fluctuation overflow on INE,but not on the contrary.This indicates that China's crude oil futures market,which has been listed for more than two years,has initially acquired the function of price discovery and will conduct the downstream futures market to a certain extent through cost transmission/demand pull.At last,it puts forward to enlarge the diversity of participants in China's crude oil futures market,Optimize and improve the trading rules and supporting facilities of INE to enhance market transparency and liquidity;gradually promote the development of futures varieties and other policy recommendations.