中国原油期货与国际基准原油间信息传导研究

Information Spillover among China's and International Crude Oil Futures

中国原油期货的正式推出对我国争取原油定价话语权具有关键性意义,正确认识中国原油期货在国际市场中所处的地位,有助于我国原油期货市场稳定发展。采用信息溢出指数构建方法,对中国原油期货与国际原油期货日收益率之间的静态和动态信息传导情况进行研究,结果显示:原油期货系统内日收益率之间存在高度信息整合,且系统内依旧以WTI原油期货和Brent原油期货为主导,而Oman原油期货和中国原油期货表现为信息的净接收者;短期内,中国原油期货的影响力虽逐步提升,但仍然敏感于国际原油期货的信息冲击。

The launch of China's crude oil future contract is of crucial significance for China to strive for pricing crude oil.A proper understanding of the international status of China's crude oil futures is conducive to the stable development of China's crude oil futures market.Using information spillover index approach,this paper explores the static and dynamic information spillover among the returns of China's crude oil future and international crude oil futures.The results demonstrate a high information integration among the returns of crude oil futures.The crude oil futures system is still dominated by WTI and Brent crude oil futures,while Oman and China's crude oil futures are net information receivers.In the short term,although the influence of China's crude oil futures is gradually increasing,it is still sensitive to information shocks from international crude oil futures.