Research On Volatility Spillover Effects Of China's Crude Oil Futures Market And Spot Market

When the global oil crisis in the 1970 s,the global economy was impacted severely.To cope with the shock,crude oil futures came to the world.The crude oil futures played a role to avoid risks and stabilizing prices,and became an important basis for pricing in the global crude oil market.The crude oil futures have an important influence on the international crude oil market.China's economy which increases the dependence on foreign countries' development is consuming more and more non-renewable energy.In 2019,China's crude oil imports were closed to 10 million barrels per day.China has become the world's largest importer of crude oil.Its foreign dependence on oil has reached 72%.China does not have an important position in world crude oil markets causes China to face greater risks which are directly reflected in the impact of international crude oil price fluctuations on China's economy.To change the negative situation,Shanghai International Energy Exchange Center listed INE Crude Oil Futures to develop Chinese pricing power and impact on the international crude oil market on 26 March2018.In recent years,the global financial market and the level of informatization have accelerated,the relationships between different financial markets have become closer.The volatility spillover effects between markets have become more apparent.This paper takes China's crude oil futures market and China's crude oil spot market,China's crude oil futures market and international crude oil spot market as the research objects.The study of volatility spillover effects views to objectively evaluate the two groups of markets' internal price relationship and the result of China's crude oil futures market.The first reviews the research results of price linkage and volatility spillover effects between different markets.Based on the introduction of the international crude oil futures and spot markets,China's crude oil futures and spot markets,the empirical study is conducted.The Shanghai crude oil futures price is used to represent the China's crude oil futures market and uses the daily settlement price as the futures market price.The Daqing crude oil spot price represents the China's crude oil spot market,and the WTI crude oil spot price represents the international crude oil spot market and uses the daily spot prices as the spot markets price.To test the volatility spillover effect between China's crude oil futures market and China's crude oil spot market,China's crude oil futures market and international crude oil spot market separately,two BEKK-GARCH models were established.The following conclusions were reached:Firstly,different volatility spillover effects between China's crude oil futures market and domestic and foreign crude oil spot markets.Secondly,China's crude oil futures market does not have a one-way volatility spillover effect on the domestic crude oil spot market.China 's crude oil futures market has a one-way volatility spillover effect on the international crude oil spot market.The price discovery function of futures has begun to appear.Thirdly,the domestic and foreign crude oil spot markets have different volatility spillover effects on China's crude oil futures market.In the long run,the domestic crude oil spot market has a moderating volatility spillover effect on China's crude oil futures market.The international crude oil spot market has an amplifying volatility spillover effect on China's crude oil futures market.To conclude,this article finally gives relevant policy recommendations to promote the function of the Shanghai crude oil futures market and sustainable development.