Research on Price Discovery in Major International Crude Oil Futures and Spot Markets

Abstract

This paper focuses on the price discovery function of the international crude oil futures and spot markets. Against the backdrop of intensified volatility in the global energy market and the gradual rise of Shanghai crude oil futures' influence, it aims to explore the price discovery efficiency and structural breakpoint impact effect of crude oil futures and spot markets in different countries and regions. Selecting data from Shanghai crude oil futures and gasoline, diesel spot markets in 5 countries/regions (China, Singapore, the Netherlands, the United States, and the Mediterranean) from 2018 to 2024, the study employs methods such as dynamic Copula, Bayesian structural breakpoint test, and dynamic Granger causality test. The results show that the price discovery function of crude oil futures is significantly stronger than that of spot markets; the price discovery efficiency of European and American markets (the Netherlands, the United States, the Mediterranean) is far higher than that of Asian markets (China, Singapore); and the intensity of price discovery is highly consistent with structural breakpoints. This research reveals the temporal and spatial characteristics of price discovery in international crude oil futures and spot markets, provides arbitrage references for market participants, and offers a basis for policymakers to optimize the regulatory mechanism of the Asian crude oil market.