This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil...This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices.Through event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some degree.Moreover,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)models.The results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk matter.This study's results coincide with the following lawsuit evidence of market manipulation.展开更多
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 exp...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.展开更多
基金supported by Dr.Lu’s grants from the National Natural Science Foundation of China under Grant No.71871213Prof.Bu’s grants from the National Natural Science Foundation of China under Grant Nos.71671012 and 91846108。
文摘This study investigates and compares the effects of the Coronavirus disease 2019(COVID-19)pandemic,the Chicago mercantile exchange(CME)'s negative price suggestion on prices and trading activities in the crude oil futures market to discuss the cause of negative crude oil futures prices.Through event studies,the empirical results show that the COVID-19 pandemic no longer impacts crude oil futures prices in April,2020 after controlled market risk,while the CME's negative prices suggestion can explain the crude oil futures price changes around and even after April 8,2020 to some degree.Moreover,this study uncovers anomalies in prices and trading activities by analyzing returns,trading volume,open interest,and illiquidity measures using vector autoregressive(VAR)models.The results imply that CME's allowing negative prices strengthens the price impact on trading volume and makes illiquidity risk matter.This study's results coincide with the following lawsuit evidence of market manipulation.
基金This work was financially supported by the National Social Science Fundof China(Grant No.21&ZD110).
文摘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.
