价格联动与价格发现:上海原油期货市场运行的研究
|
摘要
上海原油期货作为我国第一个对外开放的期货品种,其平稳运行对于我国期货市场的发展和国际石油定价体系的重塑意义重大。通过建立SVAR模型和运用GRANGER检验,对上海原油期货价格与BRENT和WTI等国际原油期货价格的联动性进行了分析,并运用GS模型对上海原油期货价格和大庆原油现货价格之间的引导关系进行估计,研究发现上海原油期货与BRENT和WTI原油期货之间存在非对称的均值溢出效应,BRENT和WTI期货收益率变动对上海原油期货收益率变动有单向溢出影响;上海原油期货价格对大庆原油现货价格具有微弱的引导关系,表明上海原油期货市场已初步具备价格发现功能。
Shanghai crude oil futures is the first open futures product in China. Its stable operation is of great significance to the development of China's futures market and the reshaping of the international petroleum pricing system. Through the establishment of SVAR model and the use of GRANGER test, the linkage between Shanghai crude oil futures price and international crude oil futures prices such as BRRENT and WTI was analyzed, and the guiding relationship between Shanghai crude oil futures price and Daqing crude oil spot price was evaluated by using GS model.The study found that there is an asymmetric mean spillover effect between Shanghai crude oil futures and BRENT and WTI crude oil futures, and BRENT and WTI futures yield changes have a one-way spillover effect on Shanghai crude oil futures yield changes; Shanghai crude oil futures price has a weak guiding relationship with the spot price of Daqing crude oil, indicating that the Shanghai crude oil futures market has initially established price discovery function.
Shanghai crude oil futures is the first open futures product in China. Its stable operation is of great significance to the development of China's futures market and the reshaping of the international petroleum pricing system. Through the establishment of SVAR model and the use of GRANGER test, the linkage between Shanghai crude oil futures price and international crude oil futures prices such as BRRENT and WTI was analyzed, and the guiding relationship between Shanghai crude oil futures price and Daqing crude oil spot price was evaluated by using GS model.The study found that there is an asymmetric mean spillover effect between Shanghai crude oil futures and BRENT and WTI crude oil futures, and BRENT and WTI futures yield changes have a one-way spillover effect on Shanghai crude oil futures yield changes; Shanghai crude oil futures price has a weak guiding relationship with the spot price of Daqing crude oil, indicating that the Shanghai crude oil futures market has initially established price discovery function.
引文
[1]KingMA, WadhwaniS. Transmission of Volatility Between Stock Markets[J]. Review of Financial Studies,1990(3):5-33.
[2]Lin S X, Tamvakis M N. Spillover Effects in Energy Futures Markets[J]. Energy Economics, 2001(1):43-56.
[3]LinSX, TamvakisMN. Effects of NYMEX trading on IPE Brent Crude Futures Markets:A Duration Analysis[J]. Energy Policy,2004(1):77-82.
[4]Lu F B,Li Y, Wang S H, Wang S Y. Information Spillovers Among International Crude Oil Markets—An Empirical Analysis Based on CCF Method and ECM[J].Systems Engineering-Theory&Practice, 2008(3):25-34.
[5] Schwartz TV, Szakmary AC. Price Discovery in Petroleum Markets:Arbitrage, Co-integration and the Time Interval of Analysis[J].Journal of Futures Markets,1994(4):147-167.
[6]Silvapulle P, MoosaIA.The Relationship Between Spot and Futures Prices:Evidence From the Crude Oil Market[J].Journal of Futures Markets. 1999(4):175-193.
[7]Quan Jing.Two-step Testing Procedure for Price Discovery Role of Futures Prices[J].Journal of Futures Markets, 1992(4):139-149.
[8]Moosa IA, Al-Loughani NE. Unbiasedness and Time Varying Risk Premia in the Crude Oil Futures Market[J]. Energy Economics,1994(2):99-105.
[9]宋玉华,林治乾.国际石油期货价格与现货价格动态关系的实证研究[J].中国石油大学学报,2007(5):1-5.
[10]陈志英.我国燃料油期货与现货市场价格发现和波动溢出效应研究[J].金融理论与实践,2013(10):84-89.
[11]董莹,李素梅.我国石油期货市场价格发现功能及波动溢出效应研究[J].价格月刊,2017(7):19-24.
[12]Garbade K D,Silber W L. Price Movements and Price Discovery in Futures and Cash Markets[J]. Review of Economics and Statistics.1983(5):289-297.
[2]Lin S X, Tamvakis M N. Spillover Effects in Energy Futures Markets[J]. Energy Economics, 2001(1):43-56.
[3]LinSX, TamvakisMN. Effects of NYMEX trading on IPE Brent Crude Futures Markets:A Duration Analysis[J]. Energy Policy,2004(1):77-82.
[4]Lu F B,Li Y, Wang S H, Wang S Y. Information Spillovers Among International Crude Oil Markets—An Empirical Analysis Based on CCF Method and ECM[J].Systems Engineering-Theory&Practice, 2008(3):25-34.
[5] Schwartz TV, Szakmary AC. Price Discovery in Petroleum Markets:Arbitrage, Co-integration and the Time Interval of Analysis[J].Journal of Futures Markets,1994(4):147-167.
[6]Silvapulle P, MoosaIA.The Relationship Between Spot and Futures Prices:Evidence From the Crude Oil Market[J].Journal of Futures Markets. 1999(4):175-193.
[7]Quan Jing.Two-step Testing Procedure for Price Discovery Role of Futures Prices[J].Journal of Futures Markets, 1992(4):139-149.
[8]Moosa IA, Al-Loughani NE. Unbiasedness and Time Varying Risk Premia in the Crude Oil Futures Market[J]. Energy Economics,1994(2):99-105.
[9]宋玉华,林治乾.国际石油期货价格与现货价格动态关系的实证研究[J].中国石油大学学报,2007(5):1-5.
[10]陈志英.我国燃料油期货与现货市场价格发现和波动溢出效应研究[J].金融理论与实践,2013(10):84-89.
[11]董莹,李素梅.我国石油期货市场价格发现功能及波动溢出效应研究[J].价格月刊,2017(7):19-24.
[12]Garbade K D,Silber W L. Price Movements and Price Discovery in Futures and Cash Markets[J]. Review of Economics and Statistics.1983(5):289-297.