Linkages Between Shanghai and Global Crude Oil Futures Markets
研究了2018年3月至2024年1月上海原油期货与布伦特、WTI、阿曼原油期货的关系，发现上海期货在周度频率上对均衡偏离有独特反应，且与其他期货的相关性较低，基于上海与阿曼的套利策略年化收益达22.89%。
ABSTRACT This study investigates the relationships between Shanghai crude oil futures (International Exchange [INE]) and Brent, West Texas Intermediate (WTI), and Oman crude oil futures from March 26, 2018, to January 16, 2024. We identify three long‐term equilibrium relationships among the four oil futures at a daily frequency, while a unique equilibrium exists at a weekly frequency. Notably, only INE reacts to deviations from this unique equilibrium on a weekly basis. In terms of volatility, both daily and weekly, INE engages in mutual risk transfer with Brent, WTI, and Oman. However, INE exhibits lower correlations with the other three futures compared with their high correlations with each other. This aligns with the observation that INE is less volatile under extreme shocks, which leads to an arbitrage strategy based on INE and Oman, yielding an annualized return of 22.89% with a maximum drawdown of 18.85%.