The pricing efficiency of crude oil futures in the Shanghai International Exchange

Chen Yang, Fei Lv, Libing Fang and Xingxing Shang

Finance Research Letters, 2020, vol. 36, issue C

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 futures’ 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.

Keywords: Pricing efficiency; Crude oil market; Granger causality; Cointegration (search for similar items in EconPapers)
JEL-codes: C22 G14 O16 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319305598

DOI: 10.1016/j.frl.2019.101329

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