| 上海燃料油期货市场运行效率实证研究 |
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| 引用本文： | 张宏民,廖肇黎. 上海燃料油期货市场运行效率实证研究[J]. 国际石油经济, 2009, 17(8): 30-34 |
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| 作者姓名： | 张宏民 廖肇黎 |
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| 作者单位： | 上海期货交易所能源化工部;中国银监会浙江监管局 |
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| 基金项目： | 国家自然科学基金项目(编号70303013)部分资助 |
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| 摘 要： | 应用协整检验、Granger因果检验、套保比率计算和套保绩效检验等方法,对上海燃料油期货与现货的长期相关关系以及价格发现和套期保值功能的发挥情况进行了定量研究。结果表明,上海燃料油期货与黄埔现货之间具有长期均衡关系,二者之间是相互引导的;上海燃料油期货市场具有良好的价格发现和套期保值功能,可以为企业利用期货市场进行套期保值规避风险提供有效的支持。
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| 关 键 词： | 燃料油期货 上海价格 黄埔价格 新加坡价格 价格发现 套期保值 协整 检验 实证研究 |
An empirical study about the run-efficiency of fuel oil futures market in SHFE |
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| Zhang Hongmin,Liao Zhaoli. An empirical study about the run-efficiency of fuel oil futures market in SHFE[J]. International Petroleum Economics Monthly, 2009, 17(8): 30-34 |
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| Authors: | Zhang Hongmin Liao Zhaoli |
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| Affiliation: | Zhang Hongmin,Energy & Chemical Department of Shanghai Futures Exchange,Liao Zhaoli,Zhejiang Department of CBRC |
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| Abstract: | In this paper,cointegration tests,Granger causality tests,hedge ratios,hedging performance test are used to make an empirical study on the long-run relationship between the Shanghai fuel oil futures and Huangpu spot,price discovery,and hedging functions carrying out.The results show that Shanghai fuel oil futures price and Huangpu spot price have an equilibrium relationship in a long run,and two prices are mutually guidance;Shanghai fuel oil futures market has a good price discovery and hedging functions,pr... |
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