Reassessing the information transmission and pricing influence of Shanghai crude oil futures: A time-varying perspective

IF 13.6 2区经济学 Q1 ECONOMICS

Energy Economics Pub Date : 2024-10-23 DOI:10.1016/j.eneco.2024.107977

Tong Su , Boqiang Lin

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引用次数: 0

Abstract

The Shanghai crude oil futures market, known as INE, has achieved significant success in trading volume and is increasingly recognized as a nascent crucial oil futures contract. As INE aims to serve as a pivotal global pricing reference, evaluating the dynamic characteristics of its pricing capability is essential for comprehending the evolving market landscape. This study initiates with foundational insights from a time-varying perspective. We uncover the time-varying information transmission of INE within the crude oil futures system and reveal its time-varying predictive causality on crude oil spot prices. The empirical findings yield several significant observations. Firstly, the Shanghai crude oil futures consistently functioned as the net receiver of price information transmission from mainstream international crude oil futures. Secondly, during the initial months of post-INE listing, and amid the global spread of COVID-19, Shanghai crude oil futures displayed less information received. Thirdly, the significant predictive causal influence of INE on the crude oil spot markets is predominantly observed to be valid post-2021, with its predictive capabilities exhibiting an ongoing enhancement. Our findings indicate that INE is gradually solidifying and strengthening its role as an influential player in the global crude oil market as it matures.

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重新评估上海原油期货的信息传递和定价影响：时变视角

被称为 INE 的上海原油期货市场在交易量方面取得了巨大成功，并日益被视为新兴的重要石油期货合约。由于 INE 的目标是成为全球定价的重要参考，评估其定价能力的动态特征对于理解不断变化的市场格局至关重要。本研究首先从时变的角度提出了基本见解。我们揭示了 INE 在原油期货系统中的时变信息传递，并揭示了其对原油现货价格的时变预测因果关系。实证研究结果得出了几个重要结论。首先，上海原油期货始终是国际主流原油期货价格信息传递的净接收者。其次，在INE上市后的最初几个月，在COVID-19全球蔓延的过程中，上海原油期货显示出较少的信息接收。第三，INE对原油现货市场的重要预测因果影响主要在2021年后有效，其预测能力呈现持续增强的趋势。我们的研究结果表明，随着INE的不断成熟，其在全球原油市场中的影响力正在逐步巩固和加强。

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来源期刊

Energy Economics ECONOMICS-

CiteScore

18.60

自引率

12.50%

发文量

524

期刊介绍： Energy Economics is a field journal that focuses on energy economics and energy finance. It covers various themes including the exploitation, conversion, and use of energy, markets for energy commodities and derivatives, regulation and taxation, forecasting, environment and climate, international trade, development, and monetary policy. The journal welcomes contributions that utilize diverse methods such as experiments, surveys, econometrics, decomposition, simulation models, equilibrium models, optimization models, and analytical models. It publishes a combination of papers employing different methods to explore a wide range of topics. The journal's replication policy encourages the submission of replication studies, wherein researchers reproduce and extend the key results of original studies while explaining any differences. Energy Economics is indexed and abstracted in several databases including Environmental Abstracts, Fuel and Energy Abstracts, Social Sciences Citation Index, GEOBASE, Social & Behavioral Sciences, Journal of Economic Literature, INSPEC, and more.