关键词: 原油期货市场, 大宗商品市场, 关联网络, 溢出

Abstract: China is the world’s largest importer and second largest consumer of crude oil, but its influence on global crude oil pricing is insufficient and disproportionate to its position in the market. Obtaining crude oil pricing power is strategically important for ensuring China’s energy stability and enhancing its international status. Moreover, as the world’s largest producer, consumer, and importer of commodities, China has established spot and futures markets for major commodities such as agriculture, metals, and energy. It also launched the RMB-denominated China crude oil futures (INE) in March 2018. Currently, INE is the third largest crude oil futures variety in the world, next to WTI crude oil futures from the New York Mercantile Exchange and Brent crude oil futures from the London Exchange. The establishment of China’s crude oil futures market can safeguard national strategic security, improve the pricing mechanism of refined oil products, and take a crucial step toward gaining pricing power in the global crude oil market. In this context, exploring how domestic and foreign crude oil futures prices affect domestic commodity futures can help understand the status and influence of domestic crude oil futures in the global market, formulate risk prevention and control strategies for China’s crude oil futures market, and prevent systemic financial risks. This has significant theoretical and practical implications for hedgers, arbitrageurs, and policy makers in China’s commodity futures market.
A review of relevant literature reveals that current research on the linkage between crude oil futures market and commodity market mainly focuses on yield and volatility spillover. However, the COVID-19 pandemic and geopolitical conflicts have caused frequent black swan events in the crude oil futures market and large fluctuations in domestic commodity prices. Thus, it is crucial to examine the correlation of extreme risks between domestic and foreign crude oil futures markets and domestic commodity markets. Moreover, most existing studies on the correlation of China’s crude oil futures focus on its price discovery, price fluctuation, and risk spillover with major international crude oil futures markets, while few investigates its risk linkage with other domestic and foreign markets. In fact, changes in commodity prices not only affect other financial markets by influencing the fundamental factors of the real economy, but also increase the information transmission and capital flow between them and crude oil futures markets as commodities become more financialized. This leads to more cross-market risk contagion and higher likelihood of financial crises. Therefore, this paper explores the spillover effect of domestic and foreign crude oil futures on domestic commodities.
This paper constructs a two-step model to measure the correlation between domestic and foreign crude oil futures markets and domestic commodity markets: 1)It calculates the return series of each market and uses the AR(1)-GARCH(1,1) model and an appropriate GARCH family model to estimate the conditional volatility series and the extreme risk value VaR series for each market. 2)It applies the DY spillover index method proposed by Diebold and Yilmaz to compute the spillover indicators of different types of spillovers among various markets based on the returns, volatilities, and extreme risks (VaR) values obtained in the first step. The domestic and foreign crude oil futures include China’s crude oil futures (INE) and the major international crude oil futures varieties Brent crude oil futures and WTI crude oil futures. The Chinese commodities consist of the commodity futures general index (CCFI) and six commodity sector futures indexes. The six commodity sectors are chemical (CIFI), grain (CRFI), energy (ENFI), non-ferrous (NFFI), oils (OOFI), and soft commodities (SOFI). The sample data period ranges from March 26th 2018 to May 14th 2021, which covers the initial trading date of China’s crude oil futures listing, totaling 751 trading days of price index data. The data in this paper are all from Wind Financial Database (http://www.wind.com.cn/En).
Using the DY spillover index model to model and quantify the spillovers of returns, volatilities, and extreme risks among domestic and foreign crude oil futures markets and Chinese commodity markets, and analyzing their dynamic spillover effects, the research results reveal that there is a high risk correlation between crude oil futures markets and Chinese commodity markets. China’s crude oil futures market has become a significant information receiver and transmitter in this spillover system, different types of spillovers have different features. Among them, return spillover has the strongest correlation, volatility spillover has the widest fluctuation range, extreme risk spillover has weaker correlation. Moreover, different commodity sectors have different reactions to changes in domestic and foreign crude oil futures markets. Chemicals, grains, and non-ferrous metals have stronger reactions, while energy, oils, and soft commodities have weaker reactions. This suggests that these commodity futures can have some risk hedging effects. Furthermore, in the short term, the risk correlation between commodity markets and crude oil futures markets has remained high, with evident time-varying characteristics. At the same time, due to the frequent occurrence of black swan events in the international crude oil futures market in recent years, the extreme changes in international crude oil prices will also cause extreme changes in China’s futures market and commodity market. Finally, China’s crude oil futures have increased their status and influence in the global crude oil market, and gradually dominate the impact on China’s commodity market.

Key words: crude oil futures markets, commodity markets, correlation networks, spillovers