Can International Crude Oil Futures Stabilize the Crude Oil Spot Price Fluctuations in China?

DOI

10.2991/iemetc-17.2017.3How to use a DOI?

Keywords

Crude Oil Futures, Crude Oil Spot, Spillover Effect, Cointegration Analysis

Abstract

Based on the international crude oil futures price and the spot price of crude oil in China from January 4, 2006 to August 20, 2014, the VEC-BEKK-GARCH (1, 1) model was used to analyze the international crude oil futures prices and the crude oil Fluctuation relationship between spot prices. (1) There is a two-way causal relationship between the international crude oil futures price and the fluctuation of the spot price of crude oil in China. (2) The cointegration coefficient between the international crude oil futures price and the spot price of crude oil in China is (1, -1.0928) (3) At the same time, the international crude oil futures prices show a significant price on Chinese crude oil spot price guide function, but the contrary is not established. (3) At the same time, the international crude oil futures prices show a significant price of Chinese crude oil spot price guide function, but the contrary is not established.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yan Ge
AU  - Haixia Wu
PY  - 2017/07
DA  - 2017/07
TI  - Can International Crude Oil Futures Stabilize the Crude Oil Spot Price Fluctuations in China?
BT  - Proceedings of the 2017 9th International Economics, Management and Education Technology Conference (IEMETC 2017)
PB  - Atlantis Press
SP  - 10
EP  - 17
SN  - 2352-5428
UR  - https://doi.org/10.2991/iemetc-17.2017.3
DO  - 10.2991/iemetc-17.2017.3
ID  - Ge2017/07
ER  -