Abstract
The Shanghai crude oil futures market, as the largest crude oil market in the Asia-Pacific region, is an important complement to the global crude oil market. We use the autoregressive distributed lag model (ARDL) to examine long-term and short-term cointegration relations between the Shanghai crude oil futures market and China’s crude oil spot market (Daqing), international (WTI and Brent) benchmarks. Based on the price data of the Shanghai crude oil futures contract covering a long period, we find that, in the long run, the Shanghai crude oil futures price is greatly affected by international crude oil markets. In the short run, both international and China’s crude oil spot markets have a significant influence on the Shanghai crude oil futures prices. Moreover, our dynamic simulation results show that there is a significant time lag for the Shanghai crude oil futures market to respond to the shocks from the domestic and international markets.
| Original language | English |
|---|---|
| Pages (from-to) | 1208-1219 |
| Number of pages | 12 |
| Journal | Applied Economics |
| Volume | 56 |
| Issue number | 10 |
| Early online date | 14 Feb 2023 |
| DOIs | |
| Publication status | Published - Feb 2024 |
Bibliographical note
Funding Information:The authors would like to thank the editor and anonymous referee for providing valuable suggestions which have led to significant improvement of this article. This work was 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 Numbers 71901123, 72071109, 72141304.
Publisher Copyright:
© 2023 Informa UK Limited, trading as Taylor & Francis Group.
Keywords
- Shanghai crude oil futures
- price cointegration
- market efficiency
- ARDL model