Study on the impacts of Shanghai crude oil futures on global oil market and oil industry based on VECM and DAG models

In the present study, daily settlement data of Shanghai crude oil futures and world’s major oils are selected. The role is studied regarding its pricing power hedging risk. dynamic relation analysis between international market conducted by using rolling window causality test. vector error correction model (VECM) directed acyclic graph (DAG) used to explore long-term relationship identify contemporaneous structure respectively. Then futures’ impacts on other price fluctuations analyzed variance decomposition method. obtained results show that limited compared with benchmark price, but it has begun have a influence in Asian transmission better reflect supply demand. Moreover, Shengli stronger impact mechanism after listing futures. Furthermore, also establishes an effective tool for importers refineries. Therefore, although still initial development stage at present, provides important basis becoming regional Asia useful instrument energy participants, influencing China’s industry import consumption.