The Study On The Efficiency Of Shanghai Crude Oil Futures Market

Shanghai crude oil futures was listed on the Shanghai International Energy Exchange Center on March 26,2018.This is the first internationally-listed futures product launched by China.The launch of Shanghai crude oil futures is not only to enrich and perfect China’s financial factor market,but also a key measure for China to strive for the pricing power and discourse power of international crude oil.With the enhancement of the effectiveness of China’s crude oil futures market,according to the function of price discovery,the futures market price can not only reflect the fundamental information of the domestic crude oil market,but also become the pricing benchmark to reflect the relationship between supply and demand of crude oil in the Asia-pacific region.Meanwhile,as the pricing currency of Shanghai crude oil futures is RMB,the continuous development of the crude oil futures market will accelerate the internationalization process of RMB.In addition,the launch of Shanghai crude oil futures is also conducive to hedging and portfolio design,providing investors with a favorable tool to avoid market risks.This thesis studies on the efficiency of Shanghai crude oil futures market from the efficient market hypothesis and the relationship between futures and spot.This thesis selects the data of Shanghai crude oil futures from March 26,2018 to August 30,2021.First,verify whether the market yield series satisfies the random walk model,and then judge the market efficiency.Secondly,from the perspective of future spot price relationship,the static and time-varying SJC-Copula model is used to analyze the price co-movement between Shanghai crude oil futures market and domestic and foreign crude oil futures and spot,and compare the performance of market efficiency under static and dynamic conditions.WTI crude oil futures closed negative on April 20,2020.Taking this event as the cut-off point,the samples are divided into two stages to analyze the changes of the effectiveness of Shanghai crude oil futures market.Based on the results of run test and autocorrelation test,it can be seen that the crude oil futures market in China has not achieved weak-form efficiency in the first stage,and has achieved weak-form efficiency in the second stage.It also has not achieved weak-form efficiency in the whole sample period.Variance ratio test results show that in the whole sample period,Shanghai crude oil futures market can be predicted in the short term.But in the long term,the sequence has randomness and cannot be predicted.The results of static Copula function fitting show that Shanghai crude oil futures have little influence on the spot price of international mature crude oil,and have limited ability to guide the spot price of outland mature market.It has good interaction with spot prices of crude oil in Asia and the Middle East and has certain price guidance ability.The time-varying correlation coefficient diagram described by the time-varying SJC-Copula function shows that the overall correlation between Shanghai crude oil futures and international crude oil spot prices is weak.And the correlation between Shanghai crude oil futures and domestic and Middle East crude oil spot prices is close.After the occurrence of extreme events,the variation frequency of time-varying correlation coefficient between markets accelerated,indicating that the correlation between markets was strengthened.To sum up,in a sense,the effectiveness of Shanghai crude oil futures market can be realized,but its influence in the international crude oil pricing system is limited.We can further improve the efficiency of the market by enriching the crude oil deliverable spot oil,crude oil futures and related financial derivatives;Improve and optimize TAS instruction;Establish efficient and timely information release platform and risk isolation wall mechanism;Strengthen the publicity and education of investors and other policy suggestions.