Toward energy finance market transition:Does China's oil futures shake up global spots market?

Xingyu DAI; Ling XIAO; Matthew C.LI; Qunwei WANG

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Toward energy finance market transition:Does China's oil futures shake up global spots market?

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China is breaking through the petrodollar system,establishing RMB-dominating crude oil futures market.The country is achieving a milestone in its transition to energy finance market internationalization.This study explores the price leadership of China's crude oil futures and identifies its price co-movement to uncover whether it truly shakes up the global oil spots market.First,we find that for oil spots under different gravities,China's oil futures is only a net price information receiver from light-,medium-,and heavy-gravity oil spots,but it has a relatively stronger price co-movement with these three spots.Second,for oil spots under different sulfur contents,China's oil futures still has weak price leadership in sweet,neutral,and sour oil spots,but it has strong co-movement with them.Third,for oil spots under different geographical origins,China's oil futures shows price leadership in East Asian and Australian oil spots at the medium-and longrun time scales and strong price co-movement with East Asian,Middle Eastern,Latin American and Australian oil spots.China's oil futures may not have good price leadership in global spots market,but it features favorable price co-movement.

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来源
《工程管理前沿：英文版》 |2022年第3期|409-424|共16页
作者
Xingyu DAI; Ling XIAO; Matthew C.LI; Qunwei WANG;
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作者单位

College of Economics and Management;

Nanjing University of Aeronautics and Astronautics;

Nanjing 211106;

China;

Research Center for Soft Energy Science;

Nanjing University of Aeronautics and Astronautics;

Nanjing 211106;

China;

Royal Holloway University of London;

Egham TW20 0EX;

United Kingdom;

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原文格式 PDF
正文语种 chi
中图分类中国工业经济;
关键词
China's oil futures; price information spillover; price co-movement; BK spillover index; BDECO model;

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Toward energy finance market transition:Does China's oil futures shake up global spots market?

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