An ARDL approach to study the cointegration relations between the Shanghai crude oil futures and global markets

Hongxia Wang, Shushu Qiu, Jianli Wang and Ho Yin Yick

Applied Economics, 2024, vol. 56, issue 10, 1208-1219

Abstract: The Shanghai crude oil futures market, as the largest crude oil market in the Asia-Pacific region, is an important complement to the global crude oil market. We use the autoregressive distributed lag model (ARDL) to examine long-term and short-term cointegration relations between the Shanghai crude oil futures market and China’s crude oil spot market (Daqing), international (WTI and Brent) benchmarks. Based on the price data of the Shanghai crude oil futures contract covering a long period, we find that, in the long run, the Shanghai crude oil futures price is greatly affected by international crude oil markets. In the short run, both international and China’s crude oil spot markets have a significant influence on the Shanghai crude oil futures prices. Moreover, our dynamic simulation results show that there is a significant time lag for the Shanghai crude oil futures market to respond to the shocks from the domestic and international markets.

Date: 2024
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DOI: 10.1080/00036846.2023.2175774

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