Abstract：
On March 26, 2018, China crude oil futures were listed on the Shanghai Futures Exchange. Eight months after listing,
it became the third largest crude oil futures market in the world. WTI crude oil futures on the New York Mercantile Exchange
is the largest crude oil futures market in the world, and Brent crude oil futures on the London Intercontinental Exchange is the
second largest. The Shanghai listing improves the futures market system of China's oil industry, and it plays an important role in
promoting the internationalization of the RMB. The successful listing of Shanghai crude oil futures will have a significant impact
on the petrochemical futures market with crude oil as raw material. In this paper, the authors focus on polyvinyl chloride (PVC),
which is the one of the three major synthetic materials made from oil. The paper studied the polyvinyl chloride (PVC) futures
price, and how the Shanghai crude oil futures after listing affect the price of PVC futures. The production chain of PVC with
crude oil as raw material is as follows: crude oil, naphtha, ethylene, vinyl chloride, polyvinyl chloride. The fluctuation of crude
oil price is bound to affect the spot price of PVC with crude oil as its raw material. There is a strong correlation between the
crude oil price and crude oil futures prices. Similarly, there is a strong correlation between the PVC spot price and PVC futures
prices. This paper studies the price relationship between crude oil spot, crude oil futures, PVC spot and PVC futures prices. This
paper hopes to clarify the correlation between crude oil futures prices and PVC futures prices. It is of great significance for petro
leum and petrochemical enterprises to study the correlation between crude oil futures and PVC futures prices, so they can make
better use of them to hedge and avoid the risk of price fluctuation. This paper selects the prices of China's crude oil futures and
PVC futures from March 26, 2018 to September 25, 2019 as continuous data, and uses the smooth transition regression (STR)
model to study the price correlation between crude oil futures and PVC futures. The results show that there is not only a linear
relationship between crude oil futures and PVC futures prices, but also a nonlinear relationship. Based on the perspective of an
industrial chain, crude oil futures and PVC futures failed to achieve long-term equilibrium. It is suggested that China's crude oil
futures market and PVC futures market should speed up its development and improvement.
Key words：oil futures; polyvinyl chloride futures; price relevance; STR model; industrial chain
Corresponding Authors： ma_zhengwei@163.com
Cite this article：MA Zhengwei, MA Yiqun. Research into the price relationship between oil futures and polyvinyl chloride futures. Petroleum Science Bulletin, 2021, 01: 158-166.
