Experts Say: China Crude Oil Futures Show International Influence
Three months after China crude oil futures was listed and traded, the Xiamen University School of Economics and the Wang Yanan Institute of Economics held a seminar on China's crude oil futures and energy markets. Experts believe that the international impact of China's crude oil futures has already emerged.
Yang Jian, director of research at JP Morgan Chase Commodity Research Center at the University of Colorado (Denver Campus), believes that crude oil futures is the first international futures variety introduced by China. Therefore, a very important issue is how much the price change and volatility of the Chinese crude oil market are. To an extent, there is international interaction with the current two major international crude oil futures markets. After empirical analysis, Yang Jian and Zhou Yinggang, a professor at Xiamen University, found the following:
First, in a short period of three months, on average, changes in the price of Chinese crude oil futures have been highly correlated with the two major international crude oil futures, with a correlation coefficient of at least 0.7; at the same time, the price changes of Chinese crude oil futures have been unanimously The price changes of international crude oil futures have a significant positive (raising) effect, while not all of the two major international crude oil futures have a positive effect. Texas light crude oil seems to have more influence than Brent. This is an empirical evidence of the success of China's crude oil futures.
Secondly, from the perspective of volatility, there is a two-way spillover effect between China's crude oil futures and the two major international crude oil futures, and good information transmission between the markets indicates that China's crude oil futures have had a significant impact in the international crude oil futures market. This is China's crude oil futures. Another empirical evidence of successful operation. At the same time, China's crude oil futures, like the two major international crude oil futures, will have greater volatility when prices fall (when the price of the same magnitude increases), but this asymmetry of volatility changes in China's crude oil futures market. obvious. This side reflects the potential risks of price volatility when the price of the just-started Chinese crude oil futures market declines, which is much larger than the two major international crude oil futures markets that have been operating for several decades.
Third, in the three major international crude oil futures and China crude oil futures markets, the prices of the two markets will both increase, no matter which two markets both prices fall, and the relevant coefficients indicate that the prices are basically comparable. This further reflects that China's crude oil futures market has been highly integrated with the two major international crude oil futures markets, reflecting that China's crude oil futures have a certain degree of influence and status in the international market. Specifically, after the first few days of exploration in China's crude oil futures trading, it quickly became highly integrated with the Texas crude oil market. In the first month of trading, the correlation coefficient was stable at 0.7 or more, and it basically rose to 0.8 in two months. Under the circumstances, the Chinese crude oil futures market spent relatively more time exploring the initial integration with the Brent crude oil market, but after one month of trading, the correlation coefficient was stable at 0.7 or more. After more than two months, the market correlation level remained. The more obvious fluctuations occurred, and the correlation coefficient fell below 0.6 once.