Abstract: The “Asian premium” phenomenon in crude oil trade is a long-term unfair treatment for the economic development of Asia-Pacific countries, and the launch of Shanghai crude oil futures is a crucial measure for China to compete for the pricing right of international crude oil market. This paper quantitatively compares the pricing powers and their dynamic features of China’s crude oil futures and other three developed crude oil futures from the perspective of dynamic information spillovers among global crude oil futures and Asian crude oil spot markets, using a spillover index method based on the time-varying parameter vector autoregressive (TVP-VAR) model. Meanwhile, the impacts of COVID-19 pandemic on the pricing powers of various crude oil futures are also focused on. In order to enhance the robustness of our conclusions, the asymmetric spillover behaviors of crude oil futures market in the correlation systems of positive and negative returns are further distinguished. The empirical results show that, first, the crude oil system is still dominated by WTI and Brent crude oil futures, and the pricing power of China’s crude oil futures is generally weaker than those of three developed crude oil futures. While, China’s crude oil futures becomes more crucial to Asian crude oil spot markets after the COVID-19 outbreak. Second, the price-leading role of China’s crude oil futures in Asian crude oil spot is more susceptible to the COVID-19 pandemic than those of three developed crude oil futures. Different from acting a net information receiver of other crude oil markets before the COVID-19 outbreak, China’s crude oil futures also became a net information transmitter of Asian crude oil spot markets for a short time after the outbreak. Finally, even though there are significant impacts of COVID-19 pandemic on the information spillover intensity of oil system and its asymmetric feature, the spillover directions among these crude oil markets have not changed. At the same time, the tremendous effects of the pandemic on crude oil system are gradually absorbed within five months.

Key words: China’s crude oil futures, pricing power, dynamic information spillover, spillover index, TVP-VAR