A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures
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 pe...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2022-05-01
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| Series: | Frontiers in Environmental Science |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fenvs.2022.901236/full |
| _version_ | 1818202075591344128 |
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| author | Hongxia Wang Shushu Qiu Ho Yin Yick Yuhu Dai |
| author_facet | Hongxia Wang Shushu Qiu Ho Yin Yick Yuhu Dai |
| author_sort | Hongxia Wang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-12T03:03:41Z |
| format | Article |
| id | doaj.art-4fee286ec27c40a5bfcdba17dc49faa2 |
| institution | Directory Open Access Journal |
| issn | 2296-665X |
| language | English |
| last_indexed | 2024-12-12T03:03:41Z |
| publishDate | 2022-05-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Environmental Science |
| spelling | doaj.art-4fee286ec27c40a5bfcdba17dc49faa22022-12-22T00:40:34ZengFrontiers Media S.A.Frontiers in Environmental Science2296-665X2022-05-011010.3389/fenvs.2022.901236901236A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil FuturesHongxia Wang0Shushu Qiu1Ho Yin Yick2Yuhu Dai3College of Economics and Management, Nanjing Forestry University, Nanjing, ChinaCollege of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing, ChinaDepartment of Finance and Insurance, Lingnan University, Hong Kong, ChinaSchool of Information Engineering, Wuhan University of Engineering Science, Wuhan, ChinaThis 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.https://www.frontiersin.org/articles/10.3389/fenvs.2022.901236/fullshanghai crude oil futuresgranger causalityspot marketprice discoveryprice cointegration |
| spellingShingle | Hongxia Wang Shushu Qiu Ho Yin Yick Yuhu Dai A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures Frontiers in Environmental Science shanghai crude oil futures granger causality spot market price discovery price cointegration |
| title | A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures |
| title_full | A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures |
| title_fullStr | A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures |
| title_full_unstemmed | A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures |
| title_short | A Study on the Oil Price Cointegration Dynamic Process: Evidence From the Shanghai Crude Oil Futures |
| title_sort | study on the oil price cointegration dynamic process evidence from the shanghai crude oil futures |
| topic | shanghai crude oil futures granger causality spot market price discovery price cointegration |
| url | https://www.frontiersin.org/articles/10.3389/fenvs.2022.901236/full |
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