The pricing efficiency of crude oil futures in the Shanghai International Exchange

Yang, Chen; Lv, Fei; Fang, Libing; Shang, Xingxing

doi:10.1016/j.frl.2019.101329

Cited by 40 publications

(19 citation statements)

References 32 publications

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“…Both China's crude oil and Brent's crude oil comes mainly from the Middle East and North Africa, thus China's crude oil spot pricing mainly refers to the Brent crude oil price 4 . A previous study shows that China's crude oil market is more correlated with the Brent market compare with other major crude oil markets (Zhang and Ma, 2020), Yang et al (2020) shows that Brent markets have a unidirectional Granger causality relationship with the INE crude oil futures market. Furthermore, Antonakakis et al (2014) shows that there are spillover effects between oil prices changes and EPU index, Ma et al (2019) shows that the EPU from Europe, which including the United Kingdom., increases the volatility in Brent futures, which is the benchmark of the China's crude oil spot price.…”

Section: Out-of-sample Evaluationmentioning

confidence: 92%

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Yang

2021

Front. Environ. Sci.

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This paper investigates whether the macroeconomic uncertainty factors can explain and forecast China’s INE crude oil futures market volatility. We use the GARCH-MIDAS model to investigate the explaining and predicting power of the macroeconomic uncertainties. We considered various geopolitical risk (GPR) indices, economic policy uncertainty (EPU) indices, and infectious disease pandemic (IDEMV) indices in our model. The empirical results suggest that the geopolitical risk, the geopolitical act risk, the global economic policy uncertainty, the economic policy uncertainty from the United Kingdom, and the economic policy uncertainty from Japan comprehensively integrate the information contained in the rest factors, and have superior predictive powers for INE crude oil future volatility. These findings highlight the importance of the impact of macroeconomic uncertainty factors has on the crude oil futures market, and indicate that the macroeconomic uncertainties need to be considered when explaining and forecasting crude oil futures market volatility.

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Section: Out-of-sample Evaluationmentioning

confidence: 92%

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Yang

2021

Front. Environ. Sci.

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“… Ji and Zhang (2019) first analysed China's crude oil futures but only presented some stylized fact using three months of high-frequency data. Yang et al. (2019) and Li et al.…”

Section: Introductionmentioning

confidence: 99%

Extreme risk spillover between chinese and global crude oil futures

Yang

Yan

et al. 2021

Finance Research Letters

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Highlights The risk spillover between chinese and the global crude oil futures is studied. VaR connectedness networks are built to measure upside and downside risk spillover. China's crude oil futures behave as a net risk receiver in the global crude oil system. Brent and WTI play the leading roles in risk transmission in the system. Risk spillover presents time-varying feature and rises sharply by the COVID-19 pandemic.

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“…More recently, as a new market participant, INE crude oil futures receive trendy attention to study its co-movements and regional fractional effect with the global benchmark crude oil futures. The existed works mainly focused on the pricing rule and market efficiency of INE as a single market (Ji and Zhang 2019;Li et al 2020;Yang et al 2019;Wang et al 2019). Only a few works have been done to study the dynamic co-movements between INE and international crude oil futures to the best of our knowledge.…”

Section: Introductionmentioning

confidence: 99%

Intra-day co-movements of crude oil futures: China and the international benchmarks

Zhang

Zhao

2021

Ann Oper Res

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Investigating the co-movements between crude oil futures helps to understand the integration of the global markets. This paper focuses on Shanghai crude oil futures (INE) and study its comovements with the international benchmarks of WTI and Brent crude oil futures in intra-day day and night trading sessions. A complex network model framework is proposed to analyse the intra-day co-movement patterns labelled by a functional data clustering approach on intra-day return curves. Our findings indicate INE is more integrated with the global market during the night session, but it shows a regional fractional effect during the day session. Based on the revealed dynamics of co-movement patterns, we further design a pairs trading strategy between INE crude oil futures and the international benchmarks. The simulation results show that the pairs trading strategy can be promisingly profitable, even during market turmoil phases. KeywordsINE Crude oil futures • WTI and Brent • Intra-day co-movement patterns • Complex network model • Pairs trading JEL Classification C12 • C52 • G11 • G15 B Qiang Ji

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The pricing efficiency of crude oil futures in the Shanghai International Exchange

Cited by 40 publications

References 32 publications

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Macroeconomic Uncertainty and Crude Oil Futures Volatility–Evidence from China Crude Oil Futures Market

Extreme risk spillover between chinese and global crude oil futures

Intra-day co-movements of crude oil futures: China and the international benchmarks

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