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 language | English |
|---|---|
| Article number | 901236 |
| Number of pages | 6 |
| Journal | Frontiers in Environmental Science |
| Volume | 10 |
| Early online date | 16 May 2022 |
| DOIs | |
| Publication status | Published - 16 May 2022 |
Bibliographical note
Publisher Copyright:Copyright © 2022 Wang, Qiu, Yick and Dai.
Funding
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.
Keywords
- granger causality
- price cointegration
- price discovery
- shanghai crude oil futures
- spot market