Inspection Analysis Of Price Discovery Function Of Shanghai Crude Oil Futures

Accompanying the rapid economic development is a large demand for crude oil.In 2020,my country's crude oil dependence on foreign sources is as high as 73%.In order to increase the right to speak in the international crude oil market and establish a benchmark for Asian crude oil pricing,the Shanghai Futures Exchange launched a crude oil futures trading contract on March 26,2018.As China's first crude oil futures denominated in renminbi that can be converted into gold,Shanghai crude oil futures received a good response as soon as they were launched.It has been three years since the launch of Shanghai crude oil futures.Whether it has a good price discovery and price guidance relationship with the crude oil spot,and how far it is from becoming the Asian crude oil futures pricing standard is the subject of this article.This research select three crude oil spot,Shengli,Daqing and Nanhai crude oil,and analyze the price relationship between Shanghai crude oil futures and spot prices through cointegration test,Granger causality test and GS model;select Shanghai crude oil futures,Japanese crude oil futures,and Indian crude oil futures as samples to study The price linkage between Shanghai crude oil futures and the futures markets in the Asia-Pacific region and even the world's top energy-consuming countries is examined,and the influence of Shanghai crude oil futures on crude oil prices in the Asian market is tested by constructing a DCC-GARCH model.Frist,the results show that in terms of the price relationship with the spot,the three groups of research samples all show that there is a long-term equilibrium relationship between the two markets.The changes in spot prices will be largely affected by futures prices,indicating that my country's crude oil futures prices unidirectionally guide crude oil futures The price is mainly due to the underdeveloped crude oil spot market in my country.Compared with the Brent crude oil benchmark market system,my country has not yet formed a crude oil quotation system that complements the three of futures,forward and spot.Second,in terms of price connection,although the dynamic correlation coefficient between Shanghai crude oil futures and Indian crude oil futures has a small change,the dynamic correlation is not close;the dynamic correlation with Japanese crude oil futures is strong,and it exhibits time-varying within the sample interval However,the dynamic correlation coefficient has a relatively large change.Generally speaking,although Shanghai crude oil futures have a certain price discovery function,their influence in the Asian region needs to be improved.The depth of participation of foreign investors is not enough,and the goal of establishing a benchmark crude oil price in the Asia-Pacific region is still greatly increased.space.