Research On Price Risk Management And Market Efficiency Of Crude Oil Futures Market

Since the 21st century,China's economy has grown rapidly,and demand for crude oil has been increasing.In 2018,China's oil production was 189.1 million tons,accounting for only 4.2% of the total global oil production.However,China's oil consumption was 641.2 million tons,accounting for 13.8% of the total global oil consumption,ranking second in the world.China's crude oil consumption has exceeded 70%.In the past twenty years,crude oil prices have fluctuated violently,and the impact of crude oil prices on China's economy has become increasingly apparent.However,China still has a long way to go in terms of crude oil pricing power and price risk management.In the early days,Chinese companies could only choose the US and UK crude oil futures markets for hedging transactions in the face of oil price fluctuations,which increased the cost and difficulty of hedging to a certain extent.Faced with the volatile international crude oil market,how should China deal with fluctuations in crude oil prices and increase its voice in crude oil pricing? Under this background,China crude oil futures was officially listed in March 2018.The listing of China crude oil futures provides a better choice for crude oil trading and risk management in China,countries along the Belt and Road,and Chinese companies.But China's crude oil futures trading has just started,and it still needs to be further improved and improved in terms of price discovery functions,trading systems,and risk management.For this reason,this article constructs the minimum variance hedging combination between China crude oil futures and some varieties of crude oil spots,using static models(OLS,BVAR,VECM)and dynamic models(MV-DCC-GARCH,MV-BEKKGARCH)to calculate the hedge ratio and hedging effectiveness of China crude oil futures in the early stages of market development,comparing the hedging effectiveness of China crude oil futures with WTI and Brent crude oil futures.Through empirical research,it is found that:(1)the effect of dynamic models are better than static models;(2)traditional hedging theory(the hedge ratio is 1:1)is still valid;(3)Compared with mature crude oil futures in developed countries,the hedging effectiveness of China crude oil futures are still low,and have room for improvement.This article puts forward reference suggestions from five aspects after tracking the international crude oil market and the development of Chinese crude oil futures for a long time: selection of hedge ratio,information disclosure of hedging transactions,development of crude oil spot market,development of crude oil substitute products,and construction of a crude oil price assessment agency.