Research On Price Discovery And Volatility Spillover Effect Of China’s Crude Oil Futures

Chinese enterprises suffer from the price risks brought by international crude oil price fluctuations.China’s crude oil futures shoulders an important task,and the effective play of its market function is the focus of attention at present.This paper extends the research perspective to the information transmission between the futures market and multiple markets,and studies the price discovery and volatility spillover effect of China’s crude oil futures on Shengli crude oil spot by comparing the price discovery and volatility spillover effect of Brent crude oil futures in the North Sea,The research perspective is extended to the price discovery and volatility spillover effect of China’s crude oil futures on Brent crude oil futures.The daily transaction data from March 26,2018 to August 31,2021 are selected to construct the VAR model,and the linear and nonlinear Granger causality test,impulse response and variance decomposition are selected to qualitatively analyze the price guidance relationship between markets,and quantitatively analyze the size of price discovery function in combination with GS model.Then,the spillover index method of Diebold and Yilmaz(2012)and rolling window technology are used to analyze the direction and size of volatility spillover from static and dynamic perspectives respectively.Based on the comparison between price discovery and volatility spillover effect,multiple linear regression is used to analyze the influencing factors of China’s crude oil futures on Shengli crude oil spot volatility spillover effect.The study found that in terms of guiding the spot market price,China’s crude oil futures are not as good as Brent crude oil futures,and its net volatility spillover effect is not significant.Among the crude oil futures markets,Brent crude oil futures market has significant price discovery function and fluctuation spillover effect on China’s crude oil futures price with its excellent international influence.China’s crude oil futures market has not yet formed a significant impact on Brent crude oil futures market.However,this paper finds that with the development of China’s crude oil futures market,its price discovery function and volatility spillover effect are gradually improving.In addition,this paper finds that the factors that can explain the volatility spillover effect of China’s crude oil futures market are crude oil supply and demand,price basis and exchange rate,but the market activity and speculative atmosphere have not had a significant impact on it.China’s crude oil futures market also needs to be gradually improved by improving the market supporting system,optimizing market subjects and rationalizing contract design.