Research On The Impact Of Shanghai Crude Oil Futures Listing On The Hedging Performance Of Enterprises

As a major energy importer,China has a dependence on imported crude oil of more than 72% every year.The volume of imports is huge,transportation costs are high,and prices fluctuate violently due to the influence of various parties.Oil importers urgently need to transfer risks through financial derivatives.Before 2018,there were only 4 large state-owned oil companies in my country that could engage in overseas hedging operations,and most companies could only be forced to accept the losses caused by the ups and downs of international oil prices.On March 26,2018,Shanghai Crude Oil Futures was listed on the Shanghai International Energy Exchange(INE),providing a new risk hedging tool for my country’s importing petroleum companies,which will help my country’s petroleum companies to better use crude oil futures for trading.Hedging,realizing the improvement of hedging performance.From the theoretical perspective of hedging,first of all,the international crude oil futures market is mainly based on Brent and WTI crude oil futures.The trading varieties of these two crude oils are light sweet crude oil,while most of the oil products imported by my country are medium sulfur-containing crude oil from the Middle East and Russia.The difference of crude oil and its varieties will reduce the performance of hedging.Shanghai Crude Oil Futures is the delivery product of mid-quality sour crude oil.This product has the same quality as imported crude oil from my country and neighboring countries,and is relatively rich in resources.This provides a good hedge for my country’s oil companies and even Asian oil companies.Of derivatives instruments.Secondly,Shanghai crude oil futures use RMB as the settlement currency,and their prices naturally contain information on exchange rates and freight rates,which can help Chinese oil companies avoid certain risks of exchange rate and freight fluctuations.At the same time,Shanghai crude oil futures is also my country’s first futures product that is open to domestic and foreign investors.Since its listing,it has become the third largest crude oil futures product in the world in terms of trading volume and open interest,with increasingly strong liquidity.Participation is getting higher and higher,which helps to improve the hedging performance of oil companies.This article follows the main line of "theoretical combing-status quo analysis-empirical testing-countermeasures and suggestions" to "the influence of Shanghai crude oil futures listing on the hedging performance of enterprises".The empirical research is based on R,Eviews7.2,Winrats8.0 and Excel software,using March 26,2018 to November 30,2021 as the sample research interval,and the futures variables are selected from three international WTI and Brent crude oil futures and Shanghai crude oil futures.Variety,spot price of Russian oil with the largest import volume in China is selected,and the hedging period is one month and one year respectively.The static hedging ratio is calculated by constructing the minimum variance model(MV),and the DCC-GARCH model is used for calculation.The dynamic hedging ratio,combined with the hedging performance index(HC),compares and analyzes the performance difference of hedging my country’s imported crude oil spot by using WTI and Brent crude oil futures and Shanghai crude oil futures under static and dynamic conditions.The research results show that:(1)the spot price of imported oil in China is the Granger causality of Shanghai crude oil futures,WTI and Brent international crude oil futures;(2)when the hedging period is one month,in the static hedging strategy,The hedging performance of Brent crude oil futures is the highest,and the hedging performance of Shanghai crude oil futures is relatively low.Among the dynamic hedging strategies,the hedging performance of Brent crude oil futures is the highest,and the hedging performance of Shanghai crude oil futures is in the middle;When the hedging period is the hedging period,the static hedging strategy uses Shanghai crude oil futures to hedge China’s imported oil spot in the middle,and the dynamic hedging strategy uses Shanghai crude oil futures to hedge China’s imported oil spot with the highest performance;(4)In the process of hedging operation,the hedging performance using dynamic hedging ratio is slightly lower than that using static hedging ratio;(5)The listing of Shanghai crude oil futures has effectively improved the hedging performance of China’s imported oil companies;(6)The trading volume of crude oil futures has a positive correlation with hedging performance,and the open interest has a negative correlation with hedging performance;the lower the delivery rate,the higher the hedging performance,that is,the delivery rate of crude oil futures and hedging performance.Performance is inversely proportional.Based on empirical conclusions,this article believes that the listing of Shanghai crude oil futures will help improve the hedging performance of my country’s imported oil companies,and can improve the hedging performance of my country’s oil companies by improving hedging strategies and increasing market liquidity.The research in this article provides a more in-depth understanding of my country’s crude oil futures market when Chinese oil companies are hedging,and provides a more effective plan for China’s importing oil companies to avoid risks.At the same time,it also provides an empirical basis for my country to play the role of financial derivatives in serving the real economy.