ABSTRACT
We examine the price discovery performance of China's crude oil futures traded on the Shanghai International Energy Exchange (INE) for the spot prices of 19 types of deliverable and nondeliverable Asian crude oil. We find evidence for the INE crude oil futures price discovery function even at the early stage for almost all the deliverable crudes and some nondeliverable crudes. Both the INE crude oil futures price and the spot price significantly contribute to the price discovery process, with substantially time‐varying informational roles. While the price discovery performance was severely damaged around the period of COVID‐19 pandemic shock intensification in China with the temporary cancellation of nighttime trading, it improved to some extent after China started the recovery from the shock. But such improvement deteriorated drastically and disappeared since early 2021. Further analysis reveals that both economic fundamentals (e.g., the warehouse inventory) and trading‐related characteristics of the futures market are significant determinants of the price discovery performance. The overall findings imply that the INE crude oil futures market has evolved into a useful and important information source in pricing Asian crudes, and is on the path to emerge as an Asian benchmark.
ABSTRACT
The volatility and cross-correlations of the energy market and the stock market during the COVID-19 pandemic have been paid close attention by scholars and investors. In this paper, we use the asymmetric multifractal analysis methods to study the fluctuation characteristics, market risks and cross-correlations of the Chinese energy futures market (EFM) and two energy stock markets before and after the COVID-19 outbreak, while the return series of Shanghai fuel oil futures, CSI Energy Index and CSI Mainland New Energy Theme Index are considered. The empirical evidences indicate that the auto- and cross-correlations of the three markets have the asymmetric multifractality, and that the multifractality of the cross-correlations is mainly caused by the fat-tailed distribution of the original series. After the COVID-19 outbreak, the risks of both the traditional energy stock market in the uptrend and the entire new energy stock market become larger, while those of the entire EFM become smaller. In addition, the COVID-19 pandemic has increased the multifractality of the cross-correlations between the energy futures and energy stock markets when the EFM is in downward trend.
ABSTRACT
Based on the multifractal method, this paper studies the dynamic characteristics of the cross-correlation between Sino-US corn futures markets after 2020 in the context of a series of exogenous shocks, and the impact of international crude oil prices on this relationship. We find that the cross-correlation significantly strengthened after 2020 at multi-time scales, but its uncertainty and complexity reduced. Besides, shocks of the crude oil market increase the cross-correlation at multi-time scales, which notably weakened after 2020. This suggests the Chinese government's interventions and regulations on the domestic grain market were effective.