Research On The Relationship Between Shanghai Crude Oil Futures And International Crude Oil Futures Price

As the first open futures product,Shanghai crude oil futures have received wide attention since its operation.As of the end of March 2019,the Shanghai crude oil futures market has reached its first anniversary.During the period,the trading volume,positions and other indicators have increased significantly,becoming the third largest crude oil after West Texas Intermediate crude oil futures and Brent crude oil futures.futures.In this context,studying the volatility of Shanghai crude oil futures prices and their linkage with existing international crude oil pricing benchmarks will have important reference value for understanding Shanghai crude oil futures.This paper takes the linkage relationship between Shanghai crude oil futures price and international representative crude oil futures price as the research object.First,compare the key terms of domestic and foreign crude oil futures contracts,analyze the uniqueness,innovation and overall performance of Shanghai crude oil futures.Secondly,study the volatility characteristics of Shanghai crude oil futures prices,and construct GARCH model,consider the volume,The explicit indicators such as positions are used to deeply describe the volume-price relationship of price fluctuations.Then,the VAR model of the linkage analysis between Shanghai crude oil futures price and the world's major crude oil futures prices is established,and the correlation and guidance between the two are analyzed from a static perspective.And from the dynamic perspective to study the phase changes of the price relationship,the domestic and international crude oil futures price linkage relationship differences are summarized;finally combined with empirical analysis and cause analysis to draw conclusions and implications.The results show that: 1.The yield of Shanghai crude oil futures has a sharp tail and a short-term agglomeration,does not obey the normal distribution,and has no significant relationship with the current and lag periods of the volume,and has an inverse relationship with the current position.2.Shanghai crude oil futures have differences and uniqueness,good performance after listing,high correlation withinternational crude oil futures prices and a long-term equilibrium relationship between the two,indicating that it has a certain international influence;3.Foreign crude oil Futures prices have a leading relationship with Shanghai crude oil futures prices,and have different impact on Shanghai crude oil futures prices.4.There is a difference in the linkage between Shanghai crude oil futures prices and international crude oil futures prices,and there are dynamic changes in the time period.On the whole,the domestic and international crude oil futures market has a good linkage,but the empirical results show that Shanghai crude oil futures are still subordinated,and there is still much room for development in Asia and even international benchmark pricing.