Research On Price Discovering And Hedging Effects Of China’s Crude Oil Futures

China’s crude oil futures came into the market on March 26^th last year,raising highly attention on its development all over the world.Based on this background,this paper researches on the performance and influences of INE crude oil futures by qualitive and quantitative analysis.At first,the paper focuses on this brand new contract itself.After qualitative and quantitative analysis,we find some stylized facts of China’s crude oil futures,including intraday volume appears significantly high at night,logarithm return is the granger cause to volume,and volatility has asymmetric influence.In addition,the paper mainly analyses the basic function and influence of INE oil futures by empirical analysis.As for price discovering,the paper conducts Granger Causality test on INE future price with Daqing,Shengli,Nanhai spot oil price and figures out that till now the INE crude oil future has insignificant influence in price discovering.As for INE’s hedge effects,the paper incorporates the optimal hedging ratio and utilizes both static hedging and dynamic hedging method on domestic market.It figures out that INE’s hedge effect is significantly observed.And for international influence,the paper builds VAR model using INE、WTI and Brent constant settlement price and figures out that INE has certain influence on the world oil future market but is still limited comparing to the influence of Brent and WTI.In conclusion,this research provides a general outlook of China’s brand new INE crude oil futures from contract itself to the influence it brought to domestic and overseas market,and the paper holds an optimistic expectation towards INE’s further influences.