The tail risk safe haven property of China's energy futures against US market implied volatility

This paper analyses the tail risk contagion of US market implied volatility(USIV)on China's energy futures(CEF)markets,exploring how to utilize operations in the CEF to achieve a safe haven.Leveraging CEF characteristics to simultaneously take both long-/short-positions and engage in long-/short-run investment horizons,this paper defines eight different CEF safe haven attributes to counteract the tail risk of extreme increases in USIV.Using trading data from March 27,2018,to October 30,2023,the empirical results show that,first,in the analysis of the entire sample period,China's coking coal futures can serve as a weak safe haven,aiding long-position investors in mitigating the tail risks associated with US gold and stock market implied volatility.Coking coal futures also assist short-position investors in countering US stock market implied volatility tail risk.Second,in the sub-period analysis,the safe haven attributes of CEF exhibit strong heterogeneity and asymmetry across different periods.Finally,the time span during which CEF exhibits a particular safe haven attribute does not persist for an extended period.

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

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.