Research On Correlation Between Chinese Crude Oil Spot Price And Crude Oil Futures Prices At Home And Abroad

Crude oil is not only a kind of non-renewable natural resource,but also an important strategic resource for most countries in the world.At present,China has become the world's largest crude oil importer and second largest crude oil consumer.Behind the huge crude oil import is the long-term manipulation of the crude oil price by foreign developed countries.Meanwhile,the Asia-Pacific region has been lacking a scientific crude oil price system that can reflect the real supply and demand relationship.Shanghai International Energy Exchange officially launched crude oil futures on March 26,2018,making up for the lack of crude oil futures in China's futures market.However,it is not clear whether the price discovery function of crude oil futures in China has been realized,how the information is transmitted between domestic crude oil futures market and crude oil spot market,and how far is the gap between China's crude oil futures market and foreign mature futures market.No matter in risk management,asset allocation,or the improvement of domestic futures market,it is of great theoretical and practical significance to study the linkage between domestic and foreign crude oil futures prices and domestic crude oil spot prices.This paper uses literature analysis and empirical study method,selecting Brent crude oil futures price,domestic INE crude oil futures price and domestic Daqing crude oil spot price as the research objects,establishing VAR and BEKK-GARCH models,to study mean spillover effect and volatility spillover effect of two dimensions,and to explore market price discovery and risk information transfer effect.The empirical results show that,in terms of mean spillover effect,both domestic and foreign crude oil futures prices have a long-term equilibrium relationship with domestic crude oil spot prices,foreign crude oil futures plays a leading role in the relationship between foreign crude oil futures and domestic crude oil spot market,while crude oil futures prices is led by spot prices in domestic market.On the volatility spillover effect,risk information is transferred more quickly in the international crude oil futures,mainly from foreign crude oil futures market to domestic crude oil spot market.While the domestic risk information is mainly transferred from crude oil spot market to futures market,indicating that the domestic oil spot market have been affected more by foreign crude oil futures market.The possible reasons are as follows: The basis of China's crude oil spot market is weak,The domestic crude oil market system is still imperfect,The participation of institutional investors and foreign traders is low.According to the present situation analysis and empirical research of domestic and foreign crude oil futures market and domestic crude oil spot market,this paper puts forward four suggestions as follows to make function of domestic crude oil futures:Consummates our country crude oil market system,Increase China's crude oil futures delivery type,Guide the entity enterprises and institutions engaged in crude oil futures trading,Promote the internationalization of Shanghai oil futures.The paper's innovations lie in the following aspects: to explore the price discovery function and information transmission effect of two markets through two dimensions of mean spillover and volatility spillover,so as to enrich the research on China's INE crude oil futures market and provide empirical support for improving the international influence of China's crude oil pricing and the risk management of futures market.