Publication date: Available online 14 October 2019
Source: Finance Research Letters
Author(s): Chen Yang, Fei Lv, Libing Fang, Xingxing Shang
Abstract
We investigate the pricing efficiency of the newly emerged crude oil futures market of the Shanghai International Exchange (INE) from the perspective of cointegration and Granger causality between the returns on INE crude oil futures and some representative spot markets. With a limited sample period, we employ a series of robust statistics and find that the INE crude oil futuresâ returns have an equilibrium relationship with the spot returns on the Daqing, Shengli, Oman, WTI, and Brent spot markets. Both imply that the INE crude oil futures price can reflect the fundamental information of spot markets effectively. The evidence of Granger causality is mixed but supports the efficiency of the INE in the Asia-Pacific region.