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[2020-16] Shanghai Crude Oil Futures: Flagship or Burst?

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  • 날짜 2020.11.12
  • 조회수 569

[2020-16]

Shanghai Crude Oil Futures: Flagship or Burst?

 

Joo, Kyohun

Moon Soul Graduate School of Future Strategy, KAIST

 

Seo, Yongseok

Moon Soul Graduate School of Future Strategy, KAIST

 

Suh, Jong Hwan

Department of Management Information System, Gyeongsang National University

 

Ahn, Kwangwon

Department of Industrial Engineering, Yonsei University

 

Abstract
The present study examines the potential of Shanghai crude oil futures as a benchmark in the Asian market. Specifically, we investigate the market efficiency and long-term equilibrium of Shanghai crude oil futures in comparison with global benchmarks, such as West Texas Intermediate, Brent, and Dubai oil futures. Despite the notable difference in market integration between Shanghai crude oil futures and other international benchmarks, we find strong evidence that there is no significant difference between Shanghai crude oil futures and others with respect to market efficiency and long-term equilibrium. We further explain these results using an information flow that is unilateral from global benchmarks to Shanghai crude oil futures. Accordingly, we discuss the policy implications, namely, that regulators would implement open trading policies that would enable Shanghai crude oil futures to further integrate with global benchmarks once Shanghai crude oil futures achieve its initial growth goal.
 
Keywords: Shanghai crude oil; Market efficiency; Equilibrium; Information flow.


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