Pricing Efficiency and Price Discovery of International Crude Oil Futures Prices on China's Crude Oil Spot Prices

Based on the daily data of international crude oil futures prices and China's crude oil spot prices between January 1, 2006 and May 20, 2016, this paper systematically analyzes the pricing efficiency and lead-lag relationship between international crude oil futures prices and China's crude oil spot prices employing cointegration theory, error correlation, permanent instantaneous model as well as quantified regression method.The empirical results show that : (1)The cointegration coefficient of international crude oil futures prices and China's crude oil spot prices is (1,-1.0928),which illustrates higher pricing efficiency of international crude oil futures prices to China's crude oil spot prices; (2) international crude oil futures prices and China's crude oil spot prices exhibit mutual lead-lag relations, although the impact of futures prices to spot prices is more obvious; (3) the rate of new information to be integrated into the market is up to 84.33%, with the future market playing a dominant role in the transmission of information, and serving as the major driving force in the process of price discovery; (4) the interaction between crude oil future prices and China's crude oil spot prices shows on asymmetric features which illustrates a leverage effect on market volatility.