Research On The Correlation Among The International Crude Oil Futures Prices And Chinese Crude Oil Futures And Spot Prices

With the reform and opening-up and the profound changes in the oil industry,China's demand for crude oil has continued to expand,and China has become an important consumer of crude oil in the world.However,China's crude oil pricing has always been heavily influenced by international crude oil prices,therefore,the introduction of Chinese crude oil futures officially listed on the Shanghai International Energy Exchange(INE)on March 26,2018 is particularly important and highly anticipated.As our country's first international futures product variety with Chinese characteristics,studying the relationship among international crude oil futures price and domestic crude oil futures prices and spot prices is of great theoretical value and practical significance to China's financial market,oil industry,energy strategy,risk management and asset allocation.Based on the above background,this article uses Brent crude oil futures price,INE crude oil futures price and Shengli crude oil spot price to represent the foreign crude oil futures market,the domestic crude oil futures and spot market trend as the research sample,mainly through the construction of VAR model and BEKK-GARCH model,to study the degree of influence and information transfer effect between domestic and foreign crude oil futures and spot markets from the two dimensions of mean spill-over and volatility spill-over.The research results show that the three have a long-term stable equilibrium relationship and are Granger reasons for each other.At the same time,the three markets have a two-way average spill-over effect,and international crude oil futures prices have a major guiding role in the domestic oil futures prices,while the crude oil futures prices guide spot prices in the domestic market.In addition,the price influence of China's crude oil futures has been steadily increasing over time,and has begun to have a price discovery function and certain pricing independence;while the price influence of international crude oil futures has weakened.Through the study of volatility spill-over effects,it is found that there are two-way volatility spill-over effects among the three markets.Among them,the international crude oil futures market has the strongest information transmission ability,while the INE crude oil futures market has a greater spill-over effect on the domestic crude oil spot market,and the transmission of volatility to the international market is relatively weak,but the regression coefficient which is affected by the fluctuation of theinternational market is not very high,which reflects the improved risk management capabilities of the INE crude oil futures market.Based on the current trade status quo and empirical analysis,this article proposes to improve the market participants,trading system and information disclosure system and meanwhile to push legislation as soon as possible to improve the financial market as well as the crude oil market system so as to help related enterprises enhance the level of risk management,promote the marketization of the oil industry,assist to establish oil strategic reserve system and safeguard national energy security.