The Interaction Between China's And International Crude Oil Futures Prices Based On The Time Lag Effect

China's crude oil futures(INE)has now become the world's third largest crude oil futures,and one of the purposes of its listing is to become a crude oil pricing benchmark in the Asia-Pacific region.Studying the interaction between China's and international crude oil futures prices can not only understand the similarities and differences between China's crude oil futures and international crude oil benchmarks,but also explore the pricing mechanism of China's crude oil futures price.The interaction between variables has complex characteristics such as time lag,time-varying and multi-scale transmission.Previous studies on the interaction between variables did not fully consider the above-mentioned complex characteristics.This study analyzes the characteristics of the interaction between China's and international crude oil futures prices based on the time lag effect and a time-frequency perspective by using multi-domain research methods.This article mainly has the following research contents and contributions:(1)This article uses wavelet coherence and phase angle methods to analyze the co-movement characteristics between China's and international crude oil futures at multiple time scales from three aspects: co-movement strength,co-movement direction,and lead-lag relationship of price fluctuations.The study found that the co-movement between China's and international crude oil futures is extremely different from that between other international crude oil futures.Besides,the co-movement between crude oil futures at different time scales is also different.(2)This paper constructs a model to study the interaction between China's and international crude oil futures at different time scales,and explores the reasons for the co-movement between China's and international crude oil futures prices.This model separately studies the dynamic time lag interaction characteristics between China's and international crude oil futures prices in the short-term,medium-term and long-term based on EEMD decomposition,IMF reconstruction algorithm,sliding window,GENIE3 algorithm and complex network.The study found that in the short term and medium term,the influence of China's crude oil futures prices has shown an increasing trend over time,and there is a clear time lag effect between China's and international crude oil futures prices.And in the short term,the main lag period of the time lag effect is 0?2days,and in the medium term it is 0?12 days.In the long term,the mutual influence of China's and international crude oil futures prices is random and does not have a time lag effect.(3)This paper also builds another model to deeply explore the cross-time-scale interaction characteristics between China's and international crude oil futures prices.The study found that the mid-term price fluctuation of WTI will have a strong cross-time-scale impact on the long-term price trend of INE,WTI,and Brent,especially the long-term price trend of INE.Besides,in the interaction of crude oil futures prices across time scales,the cross-time-scale influence of midterm price fluctuations of crude oil futures is greater than that of long-term price trends,and the cross-time-scale influence of long-term price trends is greater than that of short-term price fluctuations.This research has enriched the models in the field of time series analysis,and its research results provide more references for the decision-making of crude oil market managers and investors.