Research On Price Discovery Of Crude Oil Futures Under The Epidemi

Crude oil is an important strategic energy source.With the continuous development of my country’s economy and oil industry,the demand for crude oil in China is getting higher and higher,and the voice of crude oil futures is naturally getting higher and higher.On March 26,2018,INE crude oil futures finally went online,but due to the short time to market,its price discovery function is not as complete as that of foreign crude oil futures.With the outbreak of the new crown epidemic in 2020,the global financial market is turbulent,commodity prices fluctuate wildly,and the crude oil market plummets,making a large number of professional investors and industrial hedgers use financial derivatives to avoid and transfer risks.As a guiding tool for crude oil spot prices,crude oil futures are not well understood by investors.Whether crude oil futures can play a role in important risk events,whether they can play a role in risk aversion for small and medium-sized enterprises in this event,and whether the price discovery function still exists,these are issues of great concern to industry players and investors.Especially when the epidemic is still raging and the volatility of commodities is still violent,studying the price discovery function of crude oil futures at home and abroad under the epidemic can give industry players and investors a deeper understanding of crude oil futures.This paper focuses on how the price discovery function of crude oil futures at home and abroad changes in the face of major public health events,namely the new crown pneumonia epidemic,whether the price discovery function of domestic and foreign crude oil futures is stronger or weaker,which is the focus of this study.Therefore,theoretically,this paper summarizes the domestic and foreign studies on mean spillover effects and volatility spillover effects,and finds that most of the literature on mean spillover effects adopts the VAR model or VECM model;the research on volatility spillover effects mainly uses the GARCH family.Models,such as the BEKK-GARCH model or the DCC-GARCH model,are used for empirical research.In addition,most studies in the academic community show that the price of the commodity futures market has a price-leading role in the corresponding spot market.Of course,due to the unilateral effect analysis,there are also different views in the academic community.Regarding the discovery function of crude oil futures prices at home and abroad due to the epidemic Influence mechanism,this paper studies the impact mechanism of the epidemic from two aspects of transaction restriction theory and market information contagion theory by studying the impact of major risk events on the financial market by previous scholars.Discovery features for empirical design.In practice,this paper firstly introduces the supply and demand of the international crude oil spot market and the trend of price changes under the background of the epidemic.At the same time,it compares the four major international crude oil futures contracts and gives the crude oil pricing mechanism,so as to fundamentally analyze domestic and foreign crude oil futures.and the impact of the epidemic on the fundamentals of international crude oil spot.Then this paper finds that the trading volume of the futures market began to surge under the epidemic,especially crude oil futures.Due to its special political and financial attributes,the trading of crude oil futures has surged,which is also in line with the trading restriction theory.It is speculated that the epidemic will enhance the price discovery ability of crude oil futures at home and abroad.From the empirical point of view,this paper will observe the price discovery function of domestic and foreign crude oil futures under the epidemic from the perspectives of the mean spillover effect and the volatility spillover effect.Therefore,regarding the mean spillover effect,this paper uses the stationarity test to establish a VAR model and Granger causality test.,impulse response,variance analysis,the empirical results show that the epidemic has enhanced the price discovery function of the domestic crude oil futures market and the spot market,and the epidemic has catalyzed the impact of domestic and foreign crude oil futures on the domestic spot market volatility transmission;Regarding the volatility spillover effect,this paper uses The BEKK-GARCH model and WALD test conducted an empirical analysis on WTI futures,Shanghai crude oil futures and Shengli crude oil spot.The empirical research results show that the epidemic has changed the transmission direction of domestic and foreign crude oil futures markets and domestic crude oil spot markets.Finally,this paper proposes to expand the delivery varieties of INE crude oil futures,enrich the types of oil varieties,and make the connection between spot and futures more closely;strengthen investor education,so that futures are more recognized by industrial customers and investors,so as to expand crude oil futures At the same time,strengthen the laws and regulations of the futures market,improve the risk management system,and create a fair and just environment for futures market transactions.