Research On The Impact Of China's Crude Oil Futures On The Spot Market And The Function Of Price Discovery

On March 26,2018,Shanghai International Energy Exchange launched Medium Sour Crude Oil Futures.The listing of crude oil futures was a re-attempt after the failure of the futures market chaos in the 1990 s,and it was entrusted with various hope such as competing for pricing power of crude oil and optimizing oil resource allocation as well as promoting the internationalization of China's financial markets.This paper attempts to use the combination of qualitative analysis and empirical research to explore how the function of China's crude oil futures market has been operating so far,whether it has a positive impact on crude oil spot price fluctuations and whether it has realized the price discovery function of the futures market.This paper firstly introduces the development of the international crude oil spot and futures market,as well as the development of China's crude oil futures.Then compare the domestic and major international crude oil futures contracts,select WTI light sweet crude oil Futures of New York Mercantile Exchange,Brent crude oil futures of ICE Futures Europe and Medium Sour Crude Oil Futures of Shanghai International Energy Exchange as the research object,explain its contract content and operation,cite the difference between Medium Sour Crude Oil Futures contract of Shanghai International Energy Exchange and the above two international mainstream crude oil futures contracts in design.In the empirical research section,the changes in the volatility of the spot market before and after the listing of crude oil futures and the price discovery function of crude oil futures are studied and demonstrated.The market volatility study used the spot price of Daqing crude oil as the research data,and used the GARCH and TGARCH models to conduct an empirical study on the daily yield of Daqing crude oil before and after the listing of Medium Sour Crude Oil Futures.The results show that the information transfer efficiency of the Daqing crude oil spot market increases after the listing of Medium Sour Crude Oil Futures while the volatility increases,and the market has an asymmetric effect,the bad news has a greater impact.The price discovery function study uses Daqing crude oil spot price,WTI crude oil futures,Brent crude oil futures and Medium Sour Crude Oil Futures prices as research data.The Granger Causality Test,Vector Error Correction Model,Impulse Response Analysis and Variance Decomposition Technique are used to empirically study the relationship between futures and spot prices before and after Medium Sour Crude Oil Futures was listed.The results show that Medium Sour Crude Oil Futures has a guiding effect on the spot price of Daqing crude oil,but did not change the dominant position of Brent crude oil futures and WTI crude oil futures to guide the spot price of Daqing crude oil.Finally,the results of empirical research are summarized,and some policy suggestions on how to develop China's crude oil futures market and how to improve the efficiency of crude oil futures are put forward.