• ISSN: 2301-3567 (Print)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly (2013-2014); Monthly (2015-2017); Quarterly (Since 2018)
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms. Mia Hu
    • Abstracting/ Indexing:  CNKIElectronic Journals Library, Ulrich's Periodicals Directory, MESLibrary, Google Scholar, and Crossref.
    • E-mail: joebm@ejournal.net
JOEBM 2021 Vol.9(3): 52-55 ISSN: 2301-3567
DOI: 10.18178/joebm.2021.9.3.654

Research on the Correlation between China's Crude Oil Futures Market and Spot Market

Yin Duan
Abstract—The oil crisis in the first half of 2020 has had a huge impact on the international crude oil spot and futures markets. "Yuanyoubao", a Chinese crude oil financial product based on US WTI crude oil futures, has always been favored by investors. However, in this oil price crisis, the product has also suffered huge losses. This accident has focused the eyes of Chinese investors on China's own crude oil futures market. Since this market was established in 2018, there is not much research and analysis on it. Thus, this article applies time series analysis methods such as Johansen test, Granger causality test, and establish a bivariate autoregressive model to analyze the relationship between China's crude oil futures market and the spot market. The final results show that there is a long-term stable relationship between the two markets and that the Chinese crude oil futures market has a predictive effect on the future price of the spot.

Index Terms—Chinese oil futures, Johansen test, Granger causality test, autoregressive model.

Yin Duan is with Wuhan University, Wuhan, China (e-mail: duan_yin1998@163.com).

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Cite:Yin Duan, "Research on the Correlation between China's Crude Oil Futures Market and Spot Market," Journal of Economics, Business and Management vol. 9, no. 3, pp. 52-55, 2021.

Copyright © 2021 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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