The Shanghai crude oil futures market, known as INE, has achieved significant success in trading volume and is increasingly recognized as a nascent crucial oil futures contract. As INE aims to serve as a pivotal global pricing reference, evaluating the dynamic characteristics of its pricing capability is essential for comprehending the evolving market landscape. This study initiates with foundational insights from a time-varying perspective. We uncover the time-varying information transmission of INE within the crude oil futures system and reveal its time-varying predictive causality on crude oil spot prices. The empirical findings yield several significant observations. Firstly, the Shanghai crude oil futures consistently functioned as the net receiver of price information transmission from mainstream international crude oil futures. Secondly, during the initial months of post-INE listing, and amid the global spread of COVID-19, Shanghai crude oil futures displayed less information received. Thirdly, the significant predictive causal influence of INE on the crude oil spot markets is predominantly observed to be valid post-2021, with its predictive capabilities exhibiting an ongoing enhancement. Our findings indicate that INE is gradually solidifying and strengthening its role as an influential player in the global crude oil market as it matures.

中文翻译：

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重新评估上海原油期货的信息传递和定价影响：时变视角


上海原油期货市场（INE）在交易量方面取得了重大成功，并日益被认为是一种新兴的关键石油期货合约。由于 INE 旨在作为关键的全球定价参考，因此评估其定价能力的动态特征对于理解不断变化的市场格局至关重要。本研究从时变的角度开始提供基本见解。我们揭示了 INE 在原油期货系统内的时变信息传输，并揭示了其对原油现货价格的时变预测因果关系。实证研究结果得出了几个重要的观察结果。首先，上海原油期货始终是国际主流原油期货价格信息传输的净接收者。其次，在 INE 上市后的最初几个月，以及 COVID-19 的全球传播，上海原油期货收到的信息较少。第三，主要观察到 INE 对原油现货市场的重大预测因果影响在 2021 年后有效，其预测能力表现出持续增强。我们的研究结果表明，随着 INE 的成熟，它正在逐渐巩固和加强其在全球原油市场中具有影响力的角色。