中国原油期货的国际定价能力研究

doi:10.16381/j.cnki.issn1003-207x.2022.0197

Abstract

Abstract:

The “Asian premium” phenomenon in crude oil trade is a long-term unfair treatment for the economic development of Asia-Pacific countries， and the launch of Shanghai crude oil futures is a crucial measure for China to compete for the pricing right of international crude oil market. The pricing powers and their dynamic features of China’s crude oil futures and other three developed crude oil futures are quantitatively compared from the perspective of dynamic information spillovers among global crude oil futures and Asian crude oil spot markets， using a spillover index method based on the time-varying parameter vector autoregressive （TVP-VAR） model. Meanwhile， the impacts of COVID-19 pandemic on the pricing powers of various crude oil futures are also focused on. In order to enhance the robustness of our conclusions， the asymmetric spillover behaviors of crude oil futures market in the correlation systems of positive and negative returns are further distinguished. The empirical results show that， first， the crude oil system is still dominated by WTI and Brent crude oil futures， and the pricing power of China’s crude oil futures is generally weaker than those of three developed crude oil futures. While， China’s crude oil futures becomes more crucial to Asian crude oil spot markets after the COVID-19 outbreak. Second， the price-leading role of China’s crude oil futures in Asian crude oil spot is more susceptible to the COVID-19 pandemic than those of three developed crude oil futures. Different from acting a net information receiver of other crude oil markets before the COVID-19 outbreak， China’s crude oil futures also became a net information transmitter of Asian crude oil spot markets for a short time after the outbreak. Finally， even though there are significant impacts of COVID-19 pandemic on the information spillover intensity of oil system and its asymmetric feature， the spillover directions among these crude oil markets have not changed. At the same time， the tremendous effects of the pandemic on crude oil system are gradually absorbed within five months.

Key words: China’s crude oil futures, pricing power, dynamic information spillover, spillover index, TVP-VAR

CLC Number:

F830

Kun Yang, Yu Wei, Qianting Ma, Jianmin He, Wenhua Yu. The International Pricing Power of China's Crude Oil Futures: Comparative Analyses from the Perspective of Dynamic Information Spillover[J]. Chinese Journal of Management Science, 2024, 32(11): 13-24.

Figures/Tables 7

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原油期现货市场	平均值	最小值	最大值	标准差	偏度	峰度	LM	ADF
Panel A：原油期货
WTI	0.001	-0.350	0.157	0.157	-3.663^***	49.887^***	109.100^***	-9.234^***
Brent	0.001	-0.203	0.151	0.151	-1.156^***	20.826^***	52.419^***	-6.079^***
Oman	0.001	-0.217	0.279	0.279	0.560^***	37.842^***	37.343^***	-6.595^***
SC	0.001	-0.105	0.072	0.072	-0.695^***	3.020^***	55.635^***	-8.079^***
Panel B：亚洲原油现货
Daqing	0.001	-0.310	0.257	0.257	-1.180^***	36.567^***	30.501^***	-6.283^***
Shengli	0.001	-0.223	0.190	0.190	-0.933^***	23.697^***	31.450^***	-6.137^***
Minas	0.001	-0.294	0.288	0.288	-0.677^***	40.889^***	33.420^***	-5.979^***
Cinta	0.000	-0.299	0.257	0.257	-1.053^***	33.331^***	29.590^***	-6.386^***
Duri	0.001	-0.193	0.170	0.170	-0.813^***	19.850^***	34.175^***	-6.041^***
Tapis	0.001	-0.253	0.228	0.228	-0.799^***	30.803^***	41.633^***	-6.511^***

指标	WTI	Brent	Oman	SC	Daqing	Shengli	Minas	Cinta	Duri	Tapis
Panel A：总样本区间（2018.3.26—2021.12.31）
溢出	97.2	119.0	62.9	37.4	86.5	85.9	85.4	86.8	84.0	85.4
溢入	72.7	74.5	82.2	74.4	87.9	88.1	87.5	87.7	88.0	87.6
净溢出	24.5	44.6	-19.2	-36.9	-1.5	-2.2	-2.1	-0.9	-4.0	-2.2
对其他期货市场的净溢出	7.3	17.3	-7.2	-17.4
对亚洲现货市场的净溢出	17.2	27.2	-12.0	-19.5
Panel B：COVID-19爆发前（2018.3.26—2019.12.30）
溢出	88.8	99.1	74.0	43.9	91.0	90.7	87.0	91.6	88.1	87.1
溢入	74.7	78.1	83.2	80.1	87.7	87.9	86.9	87.7	87.8	87.3
净溢出	14.1	21.0	-9.1	-36.2	3.3	2.8	0.1	4.0	0.3	-0.2
对其他期货市场的净溢出	3.8	8.7	0.2	-12.7
对亚洲现货市场的净溢出	10.3	12.3	-9.3	-23.5
Panel C：COVID-19爆发后（2019.12.31—2021.12.31）
溢出	103.7	134.7	54.2	32.4	82.9	82.2	84.0	83.0	80.9	84.0
溢入	71.1	71.7	81.4	69.9	88.1	88.3	87.9	87.7	88.2	87.8
净溢出	32.7	63.1	-27.2	-37.5	-5.2	-6.2	-3.8	-4.7	-7.3	-3.8
对其他期货市场的净溢出	10.1	24.1	-13.1	-21.1
对亚洲现货市场的净溢出	22.6	39.0	-14.1	-16.4

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The International Pricing Power of China's Crude Oil Futures: Comparative Analyses from the Perspective of Dynamic Information Spillover

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