摘要
为了应对石油价格的剧烈波动,融入国际石油定价体系,上海期货交易所于2004年8月推出了燃料油期货交易,为建立我国石油期货市场迈出了第一步。然而,对于我国燃料油期货市场的理论和实证研究较为匮乏,要进一步发展和完善我国石油期货市场,必须全面认识和把握燃料油期货市场的发展现状及其内在特征。为此,本文针对我国燃料油期货市场的价格波动问题和风险管理问题展开研究。
首先对燃料油期货市场价格波动现象进行实证研究,分析我国燃料油期货市场价格波动在不同时期的基本特征,总结我国燃料油期货市场的风险变化趋势。然后,通过建立动态计量模型、含有交易行为变量的GARCH模型,研究成交量、持仓量与燃料油期货市场价格波动之间的关系,挖掘市场行为变量与市场波动之间的内在联系,揭示燃料油期货市场的微观结构、价格形成机制与信息传递方式。进一步,研究我国燃料油期货市场与国际石油期货市场在价格、价格收益、价格波动以及市场总体波动方面的动态关系,分析我国燃料油期货市场在国际石油期货市场上所处的地位以及与国外发达市场之间的差距。
针对我国燃料油期货市场风险较大的客观事实,构建基于风险价值的VaR-GARCH族动态测量模型,对我国燃料油期货市场进行风险测量;结合燃料油期货市场的风险特征,运用风险价值,提出一种新的交易保证金比例设定模型;基于粗糙集理论对期货市场的风险识别问题展开研究,在基于优势关系的粗糙集理论的基础上,构造风险识别模型,并对期货市场中的风险识别问题进行实证研究。最后,讨论我国燃料油期货市场的风险管理问题,根据已有研究结果,提出具有针对性的对策建议。
总之,本文从理论分析和实证研究相结合的角度对我国燃料油期货市场的波动性和风险管理问题进行了深入、系统地研究,对期货市场监管部门和市场参与者,都将具有积极的理论价值与实践意义。
To deal with the violent volatility of intenational oil price and be merged into intenational pricing system, fuel oil futures were promoted in Shanghai Futures Exchange, August, 2004. However, the theoretical and empirical researches on our fuel oil futures market were deficient. To improve and develop our petroleum futures market, it is indispensable to know and master the actuality of development and the intrinsic characteristics in fuel oil futures market. Concerning this question, volatility and risk management were studied in this thesis.
Firstly, the characteristic volatility in China fuel oil futures market was studied empirically, basic features in different periods were analyzed and the variation trend in our fuel oil futures was summarized. Secondly, the relations among volume, open interest and volatility were studied by dynamic econometrics models and GARCH models with market behaviors, through which, the inherent relations between market behaviors and volatility were discovered, the microstructure, mechanism of price formation and information transfer mode were revealed. Then, the dynamic relations home and aboard in price, return, price volatility and market overall volatility were studied, the position of our fuel oil futures market in the world and the distance between our fuel oil futures market and world’s developed markets were analyzed.
As there were huge risks in our fuel oil futures market, a dynamic VaR-GARCHs evaluation model based on value at risk was given, through which the risks of our fuel oil futures market were evaluated. Considering the actual characteristics of risk in our fuel oil futures market, a new rate setting model of trade margin was constructed with VaR. Based on rough set theory, a risk identification model was constructed and the problem of risk identification was studied empirically. In the end, the problem of risk management in our fuel oil futures market was discussed; several solutions and suggestions were brought forward in a well-targeted manner based on results obtained in this thesis.
In conclusion, the volatility and risk management were systematically studied through academic and empirical methods in our fuel oil futures market. There will be positive theoretic worth and practical significance for supervisory departments and market participants.
引文
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