A Study on the Oil Price Cointegration Dynamic Process : Evidence From the Shanghai Crude Oil Futures

Hongxia WANG, Shushu QIU, Ho Yin YICK, Yuhu DAI*

*Corresponding author for this work

Research output: Journal PublicationsJournal Article (refereed)peer-review

Abstract

This work studies the integration process of the Shanghai crude oil futures market in pricing discovery mechanism of global crude oil markets by conducting cointegration analysis and lead–lag causality tests. Using the representative samples of several futures contracts covering different listing periods, we conclude a significant and gradual change of the relations between the Shanghai crude oil futures market and international benchmarks, from unidirectional Granger causality to bidirectional Granger causality. The cointegration relationships become stable after about 2 years’ market development. Moreover, the Shanghai crude oil futures market always leads domestic (Daqing) crude oil spot market since 2019. Our evidences support that it has the increasing influence on domestic crude oil market and international benchmarks.

Original languageEnglish
Article number901236
Number of pages6
JournalFrontiers in Environmental Science
Volume10
Early online date16 May 2022
DOIs
Publication statusPublished - 16 May 2022

Bibliographical note

Funding Information:
This work is supported by MOE (Ministry of Education in China) Project of Humanities and Social Sciences under Research Project 19YJC790125, Philosophy and Social Science Grant of Jiangsu Province, China under Research Project No. 2020SJZDA070 and the National Natural Science Foundation of China with Grant Number. 71901123.

Publisher Copyright:
Copyright © 2022 Wang, Qiu, Yick and Dai.

Keywords

  • granger causality
  • price cointegration
  • price discovery
  • shanghai crude oil futures
  • spot market

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