Research On The Volatility Spillover Effect Of WTI Spot Price On Shanghai Crude Oil Futures Price

At the beginning of the new year in 2020,the new crown epidemic swept the world,causing the stock market and commodity prices to plummet,and the crude oil market was unable to survive alone.On April 20,the world's most representative WTI crude oil futures market even saw a "negative oil price" for the first time.At the same time,the price of China's crude oil futures market has also been subject to public innovations,and even the "crude oil treasure" futures derivatives "break-through" event has erupted,which has cast a haze on my country's oil security and established my country's oil pricing system.The task is on the agenda.The INE contract launched on the Shanghai crude oil futures market in March 2018 can reflect the status and influence of China's crude oil futures in the international oil price system to a certain extent,and help to enhance my country's crude oil pricing power in the international arena.This article takes this as an opportunity to start from the perspective of fluctuations in international crude oil prices,focusing on the impact of the WTI spot market on my country's crude oil futures market,and further providing useful references and policy recommendations for Shanghai crude oil futures to gain a greater voice in international crude oil pricing.The article first sorts out and summarizes the development status of the crude oil futures spot market,and analyzes the information transmission mechanism between crude oil futures and the spot market from three different perspectives of theory.The empirical results are analyzed on the basis of empirical design.The selected sample data is the logarithmic closing price and logarithmic return sequence of WTI crude oil spot and Shanghai crude oil futures.First,use Eviews to perform ADF test,use Johansen test to study the long-term equilibrium relationship between domestic and foreign spot market prices,and Grander causality test to study the direction of price guidance,and finally establish a vector error correction model.Finally,a BEKK-GARCH model between the two markets is constructed to study the degree of volatility spillover.At the same time,this article introduces the domestic spot market for comparison and conducts robustness analysis.The empirical results show that the WTI spot market has a volatility spillover effect on the Shanghai crude oil futures market and the domestic spot market.Based on this,this article puts forward three suggestions to help the development of my country's crude oil futures market: mainly including improving my country's crude oil futures market trading mechanism and building a rich and diverse crude oil derivatives system;improving crude oil market infrastructure and building a complete petroleum enterprise chain;expanding the market Participate in measures to ensure the safety of oil delivery.Further improve the risk resistance and price guidance capabilities of my country's crude oil futures market,and increase the international voice of crude oil pricing in the Asia-Pacific region.