电力期货市场效率分析的计算方法研究
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摘要
电力期货市场作为一种高级的电力市场交易形态,由于具有独特的运行机制和特有的价格发现与规避风险的功能,己被许多发达国家广泛采用。本文利用数理经济学中最新的模型和方法,以北欧电力期货市场为例,从期货市场的有效性、价格发现功能和套期保值功能三个方面研究了北欧电力期货市场的效率问题。
期货市场的有效性关系着期货市场吸收市场信息的速度与广度,是期货市场效率分析的基础和起点。考虑到电价波动存在的异方差和非正态分布的特性,提出了基于方差比的电力期货市场的有效性计算方法。
价格发现是期货市场的基本功能之一,它在期货市场的发挥程度直接反映了期货市场的效率。考虑到电价波动的非平稳特性,借助协整检验,误差修正模型等方法,从价格发现的“简单效率”、期货电价的主导作用和作用大小,对电力期货市场的价格发现效率进行了研究。
期货市场的另一重要功能是套期保值,即风险规避的投资者利用期货合约进行风险管理,降低或转移不利的价格波动风险。套期保值是期货市场生存与发展的基础。因此,套期保值的有效性成为了期货市场效率的重要体现。考虑到电价波动存在的异方差和非平稳的特性,提出了基于广义自回归条件异方差的电力期货套期保值比率和效绩的估算方法。
通过对北欧电力期货市场的研究,发现其运行是有效率的,满足市场弱式有效假设,期货与现货电价之间具有协整关系,期货电价是现货电价的无偏估计,期货市场在价格发现功能中处于主导作用,套期保值操作在一定程度上减少了交易的风险,并且2000-2003年间的运行效率要比1996-1999年间的运行效率高。虽然北欧电力期货市场还存在一些无效因素,但其正逐步走向成熟。
As a high-class of the market form, the electricity futures market has been widely adopted by the developed countries since its specially running mechanism, the price discovery and the function of hedge risk. By means of the new methods in Econometrics, the calculating models and methods of efficiency analysis in Nordic electricity futures market are proposed from the three points, i.e., the market efficiency, the price discovery function and the hedge function.
The theories of market efficiencies reflect the speed that the market price absorbs the market information, which is the base of the futures markets efficiencies. In view of the characteristics of heteroskedasticity and nonstationary in the electricity price fluctuation, this paper presents the efficiency test method of electricity futures market based on the variance ratio.
One of the most important functions of futures market is the price discovery. It has directly reflected the futures market efficiency in the futures market. Considering the nonstationary of the electricity price fluctuation, we use the cointergration theory and the error correction model to analyze the efficiency of price discovery function of electricity futures markets from the“simple efficiency”and the leading role of the futures price.
The other most important functions of futures markets is the hedge. i.e. Investors use a futures contract to manage risk and reduce or transfer the bad risk of the price fluctuation. The hedge is a basis of futures markets for existence and development. Therefore, the efficiency of the hedge is an important exemplify for the futures market efficiencies. The evaluation method of hedging ratio and performance of electricity futures markets based on the generalized autoregressive conditional heteroskedasticity are proposed.
By the research on the Nordic electricity futures market, it can be found that its operation is basically efficient, that is, it satisfies the weak form efficiency hypothesis, the futures price and spot price are cointegrated; the futures price is an unbiassed estimate of spot price; the futures market plays an important role in the price discovery function, the hedge reduces the risk of transaction on a certain extent, and the operation efficiency during year 2000-2003 is higher than that of year 1996-1999. Although there are some inefficient factors, the Nordic electricity futures market is gradually tending towards the mature.
期货市场的有效性关系着期货市场吸收市场信息的速度与广度,是期货市场效率分析的基础和起点。考虑到电价波动存在的异方差和非正态分布的特性,提出了基于方差比的电力期货市场的有效性计算方法。
价格发现是期货市场的基本功能之一,它在期货市场的发挥程度直接反映了期货市场的效率。考虑到电价波动的非平稳特性,借助协整检验,误差修正模型等方法,从价格发现的“简单效率”、期货电价的主导作用和作用大小,对电力期货市场的价格发现效率进行了研究。
期货市场的另一重要功能是套期保值,即风险规避的投资者利用期货合约进行风险管理,降低或转移不利的价格波动风险。套期保值是期货市场生存与发展的基础。因此,套期保值的有效性成为了期货市场效率的重要体现。考虑到电价波动存在的异方差和非平稳的特性,提出了基于广义自回归条件异方差的电力期货套期保值比率和效绩的估算方法。
通过对北欧电力期货市场的研究,发现其运行是有效率的,满足市场弱式有效假设,期货与现货电价之间具有协整关系,期货电价是现货电价的无偏估计,期货市场在价格发现功能中处于主导作用,套期保值操作在一定程度上减少了交易的风险,并且2000-2003年间的运行效率要比1996-1999年间的运行效率高。虽然北欧电力期货市场还存在一些无效因素,但其正逐步走向成熟。
As a high-class of the market form, the electricity futures market has been widely adopted by the developed countries since its specially running mechanism, the price discovery and the function of hedge risk. By means of the new methods in Econometrics, the calculating models and methods of efficiency analysis in Nordic electricity futures market are proposed from the three points, i.e., the market efficiency, the price discovery function and the hedge function.
The theories of market efficiencies reflect the speed that the market price absorbs the market information, which is the base of the futures markets efficiencies. In view of the characteristics of heteroskedasticity and nonstationary in the electricity price fluctuation, this paper presents the efficiency test method of electricity futures market based on the variance ratio.
One of the most important functions of futures market is the price discovery. It has directly reflected the futures market efficiency in the futures market. Considering the nonstationary of the electricity price fluctuation, we use the cointergration theory and the error correction model to analyze the efficiency of price discovery function of electricity futures markets from the“simple efficiency”and the leading role of the futures price.
The other most important functions of futures markets is the hedge. i.e. Investors use a futures contract to manage risk and reduce or transfer the bad risk of the price fluctuation. The hedge is a basis of futures markets for existence and development. Therefore, the efficiency of the hedge is an important exemplify for the futures market efficiencies. The evaluation method of hedging ratio and performance of electricity futures markets based on the generalized autoregressive conditional heteroskedasticity are proposed.
By the research on the Nordic electricity futures market, it can be found that its operation is basically efficient, that is, it satisfies the weak form efficiency hypothesis, the futures price and spot price are cointegrated; the futures price is an unbiassed estimate of spot price; the futures market plays an important role in the price discovery function, the hedge reduces the risk of transaction on a certain extent, and the operation efficiency during year 2000-2003 is higher than that of year 1996-1999. Although there are some inefficient factors, the Nordic electricity futures market is gradually tending towards the mature.
引文
[1] 张显, 王锡凡. 电力金融市场综述. 电力系统自动化, 2005, 29(20): 1-8.
[2] 刘莉娜. 电力期货市场理论研究: [华北电力大学硕士学位论文]. 北京: 华北电力大学技术经济及管理专业, 2006, 4-6.
[3] 江健健, 夏清, 祁达才. 基于期货的新型电力交易模式. 中国电机工程学报, 2003, 23(4): 31-37.
[4] 周浩, 陈建华. 关于发展电力期货市场的探讨. 中国电力, 2003, 36(6): 31-34.
[5] Bigman D., Goldfarb D. Schechtman E. Futures market efficiency and the time content of the information sets. The Journal of Futures Markets, 1983, 3: 321-334.
[6] Fortendery T. R., Zapata H. O. An examination of cointegration relations between futures and local grain markets. The Journal of Futures Markets, 1993, 13: 921-932.
[7] Wang H. H., Ke B. F. Efficiency tests of agricultural commodity futures markets in China. Australian Journal of Agricultural and Resource Economics, 2005, 49(2): 125-141.
[8] 王志强, 徐亚范, 朱丽红. 大连商品交易所市场有效性检验. 财经问题研究, 1998, 12: 54-56.
[9] 侯晓鸿, 曾继民, 李一智. 市场弱型有效实证检验方法研究. 管理工程学报, 2000, 1: 69-70.
[10] 张小艳, 张宗成. 期货市场有效性理论与实证检验. 中国管理科学, 2005, 13(6): 1-5.
[11] 王健, 陆文聪, 黄祖辉. 我国大豆期货价格协整关系与引导关系的实证研究.农业经济, 2006, 4: 56-58.
[12] 华仁海, 现货价格和期货价格之间的动态关系: 基于上海期货交易所的经验研究. 世界经济, 2005, 8: 32-39.
[13] Zhe L., Yang Y. D. Electricity future market efficiency testing: the characteristics of electricity prices. The 7th International Power Engineering Conference, 2005, 2: 868-873.
[14] Avsar S. G., Doss B. A. Forecast errors and efficiency in the US electricity futuresmarket. Australian Economic Papers , 2001, 40(4): 479-499.
[15] Bysterm H.The hedging performance of electricity future on the Nordic power exchange. Applied Economics, 2003, 9(1): 1-11.
[16] Shawky H. A., Marathe A. M. and Barrett C. L. A first look at the empirical relation between spot and futures electricity prices in the United States. The Journal of Futures Markets, 2003, 23(10): 931-955.
[17] Tavlapco E., Lawarree J. and Liu C. C. Hedging with futures contracts in a deregulated electricity industry. IEEE Trans. on Power Systems, 2002, 17(3): 577-582.
[18] 周浩, 林海峰. 美国的电力期货与电力期权. 证券市场导报, 2003, 4.
[19] Fama, Eugen. Efficient capital market: a review of theory and empirical work. Journal of Business, 1970, 5.
[20] Cornell B. The relationship between volume and price variability in futures market. The Journal of Futures Market, 2000, 20(1): 5-18.
[21] Yang J., Bessler D. A. and Leatham D. A. Asset storability and price discovery in commodity futures markets: A new look. Journal of Futures Market, 2001, 21(3), 279-300.
[22] 程瑜, 张粒子. 销售电价与用电需求的协整建模分析. 中国电机工程学报, 2006, 26(7): 118-122.
[23] 张世英, 樊智. 协整理论与波动模型:金融时间序列分析及应用. 北京:清华大学出版社, 2004.
[24] 周浩, 康建伟, 陈建华. 蒙特卡罗方法在电力市场短期金融风险评估中的应用. 中国电机工程学报, 2004, 24(12): 74-77.
[25] 周浩, 张权, 张富强. 考虑期货交易的电力市场金融风险分析. 电网技术, 2004, 24(12): 74-77.
[26] 马歆, 候志检, 蒋传文. 考虑需求不确定性的电力市场参与者套期保值策略研究. 中国电机工程学报, 2005, 25(2): 6-11.
[27] Moulton J. S. California electricity futures: the NYMEX experience. Energy Economics, 2005, 27: 181-194.
[28] Lo A. W., MacKinlay C. Stock market prices do not follow random walks:Evidence from a simple specification test. Review of Financial Studies, 1988, 1: 41-66.
[29] Dickey A.D., Fuller W. A. Likelihood ratio statistics for autoregressive time series with unit root. Econometric, 1981, 49: 1057-1072.
[30] Engel R. F., Granger C. W. Co-integration and error correction: representation estimation and testing. Econometric, 1987, 55(2): 251-276.
[31] Johansen S. Statistical analysis of co-integration vectors. Journal of Economic Dynamics and Control, 1988, 12: 231-254.
[32] Kellard N., Newbold P. and Rayner T. The relative efficiency of commodity futures markets. The Journal of Futures Markets, 1999, 19(4): 413-432.
[33] Hasbrouck J. One security, many markets: determining the contributions to price discovery. Journal of Finance, 1995, 50: 1175 -1199.
[34] Ederington L. H. The hedging performance of the new futures markets. Journal of Finance, 1979, 34: 157-170.
[35] Sioshansi F. P., Altman A. Wholesale power marketing in restructured electricity markets. Energy Policy, 1998, 26: 1099-1104.
[36] Aulton A. J., Ennew C. T. and Rayner A. J. Efficient tests of futures markets for UK agricultural commodities, Journal of Agricultural Economics, 1997, 48: 408-424.
[37] Aber J. W., Santini D. I. Hedging effectiveness using electricity futures. Derivatives Use, Trading & Regulation, 2003, 9(1): 7-27.
[38] Howard C. T., D’Antonio L. J. A risk-return measure of hedging effectiveness, Journal of Financial and Quantitative Analysis, 1984, 19: 101-112.
[39] Hsin C. W., Kuo J. and Lee C. F. A new measure to compare the hedging effectiveness of foreign currency futures versus options, Journal of Futures Markets. 1994, 14: 685-707.
[40] 易丹辉. 数据分析与 Eviews 应用. 北京: 中国统计出版, 2002.
[41] 李子奈, 叶阿忠. 高等计量经济学. 北京: 清华大学出版社, 2000.
[42] 张世英, 樊智. 协整理论与波动模型: 金融时间序列分析及应用. 北京: 清华大学出版社, 2000.
[43] 袁亚湘, 孙文瑜. 最优化理论与方法. 北京: 科学出版社, 1997.
[44] 李董辉, 童小娇, 万中. 数值最优化. 北京: 科学出版社, 2005.
[45] 曾鸣. 电力市场理论及应用. 北京: 中国电力出版社, 2000.
[2] 刘莉娜. 电力期货市场理论研究: [华北电力大学硕士学位论文]. 北京: 华北电力大学技术经济及管理专业, 2006, 4-6.
[3] 江健健, 夏清, 祁达才. 基于期货的新型电力交易模式. 中国电机工程学报, 2003, 23(4): 31-37.
[4] 周浩, 陈建华. 关于发展电力期货市场的探讨. 中国电力, 2003, 36(6): 31-34.
[5] Bigman D., Goldfarb D. Schechtman E. Futures market efficiency and the time content of the information sets. The Journal of Futures Markets, 1983, 3: 321-334.
[6] Fortendery T. R., Zapata H. O. An examination of cointegration relations between futures and local grain markets. The Journal of Futures Markets, 1993, 13: 921-932.
[7] Wang H. H., Ke B. F. Efficiency tests of agricultural commodity futures markets in China. Australian Journal of Agricultural and Resource Economics, 2005, 49(2): 125-141.
[8] 王志强, 徐亚范, 朱丽红. 大连商品交易所市场有效性检验. 财经问题研究, 1998, 12: 54-56.
[9] 侯晓鸿, 曾继民, 李一智. 市场弱型有效实证检验方法研究. 管理工程学报, 2000, 1: 69-70.
[10] 张小艳, 张宗成. 期货市场有效性理论与实证检验. 中国管理科学, 2005, 13(6): 1-5.
[11] 王健, 陆文聪, 黄祖辉. 我国大豆期货价格协整关系与引导关系的实证研究.农业经济, 2006, 4: 56-58.
[12] 华仁海, 现货价格和期货价格之间的动态关系: 基于上海期货交易所的经验研究. 世界经济, 2005, 8: 32-39.
[13] Zhe L., Yang Y. D. Electricity future market efficiency testing: the characteristics of electricity prices. The 7th International Power Engineering Conference, 2005, 2: 868-873.
[14] Avsar S. G., Doss B. A. Forecast errors and efficiency in the US electricity futuresmarket. Australian Economic Papers , 2001, 40(4): 479-499.
[15] Bysterm H.The hedging performance of electricity future on the Nordic power exchange. Applied Economics, 2003, 9(1): 1-11.
[16] Shawky H. A., Marathe A. M. and Barrett C. L. A first look at the empirical relation between spot and futures electricity prices in the United States. The Journal of Futures Markets, 2003, 23(10): 931-955.
[17] Tavlapco E., Lawarree J. and Liu C. C. Hedging with futures contracts in a deregulated electricity industry. IEEE Trans. on Power Systems, 2002, 17(3): 577-582.
[18] 周浩, 林海峰. 美国的电力期货与电力期权. 证券市场导报, 2003, 4.
[19] Fama, Eugen. Efficient capital market: a review of theory and empirical work. Journal of Business, 1970, 5.
[20] Cornell B. The relationship between volume and price variability in futures market. The Journal of Futures Market, 2000, 20(1): 5-18.
[21] Yang J., Bessler D. A. and Leatham D. A. Asset storability and price discovery in commodity futures markets: A new look. Journal of Futures Market, 2001, 21(3), 279-300.
[22] 程瑜, 张粒子. 销售电价与用电需求的协整建模分析. 中国电机工程学报, 2006, 26(7): 118-122.
[23] 张世英, 樊智. 协整理论与波动模型:金融时间序列分析及应用. 北京:清华大学出版社, 2004.
[24] 周浩, 康建伟, 陈建华. 蒙特卡罗方法在电力市场短期金融风险评估中的应用. 中国电机工程学报, 2004, 24(12): 74-77.
[25] 周浩, 张权, 张富强. 考虑期货交易的电力市场金融风险分析. 电网技术, 2004, 24(12): 74-77.
[26] 马歆, 候志检, 蒋传文. 考虑需求不确定性的电力市场参与者套期保值策略研究. 中国电机工程学报, 2005, 25(2): 6-11.
[27] Moulton J. S. California electricity futures: the NYMEX experience. Energy Economics, 2005, 27: 181-194.
[28] Lo A. W., MacKinlay C. Stock market prices do not follow random walks:Evidence from a simple specification test. Review of Financial Studies, 1988, 1: 41-66.
[29] Dickey A.D., Fuller W. A. Likelihood ratio statistics for autoregressive time series with unit root. Econometric, 1981, 49: 1057-1072.
[30] Engel R. F., Granger C. W. Co-integration and error correction: representation estimation and testing. Econometric, 1987, 55(2): 251-276.
[31] Johansen S. Statistical analysis of co-integration vectors. Journal of Economic Dynamics and Control, 1988, 12: 231-254.
[32] Kellard N., Newbold P. and Rayner T. The relative efficiency of commodity futures markets. The Journal of Futures Markets, 1999, 19(4): 413-432.
[33] Hasbrouck J. One security, many markets: determining the contributions to price discovery. Journal of Finance, 1995, 50: 1175 -1199.
[34] Ederington L. H. The hedging performance of the new futures markets. Journal of Finance, 1979, 34: 157-170.
[35] Sioshansi F. P., Altman A. Wholesale power marketing in restructured electricity markets. Energy Policy, 1998, 26: 1099-1104.
[36] Aulton A. J., Ennew C. T. and Rayner A. J. Efficient tests of futures markets for UK agricultural commodities, Journal of Agricultural Economics, 1997, 48: 408-424.
[37] Aber J. W., Santini D. I. Hedging effectiveness using electricity futures. Derivatives Use, Trading & Regulation, 2003, 9(1): 7-27.
[38] Howard C. T., D’Antonio L. J. A risk-return measure of hedging effectiveness, Journal of Financial and Quantitative Analysis, 1984, 19: 101-112.
[39] Hsin C. W., Kuo J. and Lee C. F. A new measure to compare the hedging effectiveness of foreign currency futures versus options, Journal of Futures Markets. 1994, 14: 685-707.
[40] 易丹辉. 数据分析与 Eviews 应用. 北京: 中国统计出版, 2002.
[41] 李子奈, 叶阿忠. 高等计量经济学. 北京: 清华大学出版社, 2000.
[42] 张世英, 樊智. 协整理论与波动模型: 金融时间序列分析及应用. 北京: 清华大学出版社, 2000.
[43] 袁亚湘, 孙文瑜. 最优化理论与方法. 北京: 科学出版社, 1997.
[44] 李董辉, 童小娇, 万中. 数值最优化. 北京: 科学出版社, 2005.
[45] 曾鸣. 电力市场理论及应用. 北京: 中国电力出版社, 2000.