Research On Spillover Effects Between Domestic And Foreign Crude Oil Markets

Oil can be said to be the lifeblood of modern industrial society,with the name of "black gold" and "industrial blood".The gasoline and diesel used in daily driving,as well as the lubricating oil used in machines,are all made from petroleum.In addition,the various plastic products currently used are also derivatives of petrochemical industry products,so petroleum is very important to us.Nowadays,crude oil pricing is mainly based on the price of crude oil futures as the reference standard,while the pricing of crude oil in the Asia Pacific region where China is located is relatively chaotic,and there has been no unified pricing standard,usually using the form of origin pricing.Therefore,in the context of the launch of INE crude oil futures contracts,it is necessary to study the spillover effects of domestic and foreign crude oil markets.This article elaborates on the formation mechanism of spillover effects based on relevant concepts.On this basis,based on VAR model and multivariate GARCH model,this paper explores the spillover effect between INE crude oil futures and Daqing crude oil spot market and foreign crude oil markets,to judge whether the price discovery function of China’s crude oil futures market on the spot market is realized and whether China’s crude oil market has international influence.The results show that: 1.INE crude oil and Daqing crude oil have price guidance function each other,and China’s crude oil market has a certain influence on foreign crude oil market,but it is more affected by foreign crude oil market prices.2、The one-way spillover effect of Chinese INE crude oil on Daqing spot crude oil indicates that the price discovery of domestic crude oil futures market has been initially reflected.And China’s crude oil has a certain impact on foreign crude oil,with a slightly weaker impact than WTI crude oil and a slightly stronger impact than Oman crude oil.3、The crude oil yield series all have the characteristics of sharp peaks and thick tails,and the use of symmetric t-distribution fitting has a good effect.Through comparison,it was found that the GO-GACRH model is more convenient in parameter estimation,and the dynamic correlation coefficient trend graph depicted is more accurate,which is more prominent in characterizing volatility.4、The outbreak of the COVID-19 epidemic at the beginning of the epidemic brought some fluctuations to the correlation coefficient of the dynamic conditions of crude oil prices.However,with the easing of the epidemic and investors’ optimistic attitude towards crude oil,the correlation coefficient has returned to a relatively stable level.On the whole,the correlation coefficient between domestic crude oil and WTI crude oil is low,and the correlation coefficient with Oman crude oil is relatively high.