| 上海燃料油期货价格发现功能研究——基于GS模型的实证分析 |
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| 引用本文： | 李海英,马卫锋,罗婷.上海燃料油期货价格发现功能研究——基于GS模型的实证分析[J].财贸研究,2007,18(2):104-108,115. |
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| 作者姓名： | 李海英 马卫锋 罗婷 |
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| 作者单位： | 1. 同济大学,经济与管理学院,上海,200092
2. 青岛大学,经济学院,山东,青岛,266071 |
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| 摘 要： | 本文选择相关系数、协整检验、误差修正模型、Granger因果检验、Garbade-Silber模型对上海燃料油期货市场价格发现功能发挥和价格引导情况进行递进、全面的分析,实证结果显示上海燃料油期货价格与国内现货价格之间存在协整关系,燃料油期货价格发现功能得到一定程度发挥,但仅存在现货价格对期货价格的单向引导关系,且在价格发现功能中,现货价格起着决定性的作用。
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| 关 键 词： | 燃料油期货 现货价格 期货价格 价格发现 |
| 收稿时间： | 2006-11-02 |
| 修稿时间： | 2006-11-02 |
Study on Price Discovery Function of Shanghai Fuel Oil Futures Based GS Model |
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| LI Hai-ying,MA Wei-feng,LUO Ting.Study on Price Discovery Function of Shanghai Fuel Oil Futures Based GS Model[J].Finance and Trade Research,2007,18(2):104-108,115. |
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| Authors: | LI Hai-ying MA Wei-feng LUO Ting |
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| Institution: | 1. School of Economics and Management, Tongji University, Shanghai 200092; 2. Qingdao University, Qingdao 266071 |
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| Abstract: | By adopting the “correlation factor”, “cointegration theory”,“Granger Causality Test”,“GS Model” and “Vector Error Correction Model”, this article analyzes the price discovery and price leading function of Shanghai fuel oil futures market. Tests reveal that there is a cointegration relation between Shanghai fuel oil futures price and spot price. As for the Shanghai fuel oil futures, its function of price discovery has achieved a measure of success. But there is only a one-way leading function from spot price to futures price and the spot price has played an important role in the function of price discovery. |
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| Keywords: | fuel oil futures spot price futures price price discovery |
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