Research On The Relationship Of Price Between China's Crude Oil Futures And International Crude Oil Futures

China has become the world's largest crude oil importer,and its dependence on foreign crude oil remains high.Therefore,China is facing the "Asian premium" of crude oil exporting countries to Asian crude oil importing countries,and suffering the supply risk of crude oil and the financial risk from the international crude oil market.In this context,China officially launched the Shanghai(INE)crude oil futures contract in Shanghai international energy trading center on March 26,2018.In order to understand the participation of China's crude oil futures in the pricing system of the international crude oil market and its influence on the international crude oil market,improve the discourse power of China's crude oil futures in the international crude oil market,accelerate to become the pricing benchmark of crude oil in the Asia Pacific region,so as to effectively help domestic petroleum enterprises avoid risks and achieve hedging,and better serve China's development of real economy,so it is necessary to study the price relationship between China's crude oil futures and international crude oil futures.In this paper,the price relationship between China's crude oil futures and international crude oil futures is analyzed theoretically and empirically.In terms of theoretical analysis,the influential factors of futures market price linkage and crude oil futures price fluctuation are firstly explained,and there are three theories:market integration theory,"market contagion" theory and spillover effect theory are used as the theoretical basis for futures market price linkage.The path of price linkage between China's crude oil futures and international crude oil futures: the real economy transmission path and the financial market behavior transmission path.In terms of empirical analysis,China's INE crude oil futures,U.S.WTI crude oil futures and British Brent crude oil futures were chosen as research variables,grouped in pairs,and select their daily logarithmic closing price and logarithmic yield series as sample data,using the ADF test and cointegration test,granger causality test to study the cointegration relationship between the variables and guide the direction of the price.The next step is to establish copula function model.,the copula function with the highest fitting degree is selected by Kendall rank correlation coefficient,Spearman rank correlation coefficient and squareEuclidean distance.then the positive and negative correlation and tail correlation coefficient between each group of variables are calculated.The study found that: China's crude oil futures market has a long-term equilibrium relationship with the WTI crude oil futures market and the Brent crude oil futures market,but the prices of China's crude oil futures and Brent crude oil futures are guided unidirectionally by the prices of WTI crude oil futures;China's crude oil futures market has been in line with the international crude oil futures market,but its participation in the current international crude oil market's pricing system is low and its influence is weak;WTI crude oil futures has the largest power in pricing,Brent crude oil futures also has a great influence,and WTI crude oil futures market is highly related to Brent crude oil futures market.