国际原油期货市场的价格发现和套期保值——兼论中国推出原油期货的意义和时机被引量：6

Price Discovery and Value Maintaining of Futures Market of International Crude Oil

下载PDF

导出

摘要国际原油期货市场的发展与世界经济对原油需求的高度依赖和油价剧烈波动有关。国际原油期货市场具有价格发现功能和套期保值功能。在中国推出原油期货具有重要的现实意义而且已被提上议事日程。

作者陈大恩王震

机构地区中国石油大学(北京)

出处《石油大学学报（社会科学版）》 2005年第3期1-3,共3页 Journal of the University of Petroleum，China(Edition of Social Science)

关键词原油期货价格发现套期保值中国

参考文献8

1Green, S.L., and Mock, K.A., 1991, toward Efficiency in the Crude Oil Market[J]. Journal of Applied Econometrics, 6.
2Serletis, A. and Banack, D., 1990, Market Efficiency and Cointegration: An application to Petroleum Markets[J]. The Review of Futures Markets, 9.
3Quan, J., 1992, Two-step Testing Procedure for Price Discovery Role of Future Prices[J]. The Journal of Future Markets, 12.
4Moosa, I.A., and Al-Loughani, N.E., 1994, Unbiasedness and Time Varying Risk Premia in the Crude oil Futures Market[J]. Energy Economics, 16.
5Gulen S. Gurcan, 1998, Efficiency in the Crude Oil Futures Market[J]. Journal of Energy Finance & Development, Vol 3, No 1.
6Bodnar, G. M, Hayt, G. S., Marston, R.C., and Smithson, C. W., 1995, Wharton Survey of Derivatives Usage by U.S Non-Financial Firms[J]. Financial Management, Vol 24, No.2.
7Geczy, C.C., Minton, B.A., and Schrand c., 1999, Choices Among Alternative Risk Management Strategies: Evidence from Natural Gas Industry, White Center for Financial Research, Wharton School of Management[J]. University of Pennsylvania, Working Paper.
8褚诀海,庄青. 2003,石油期货对中国的战略作用与发展前景展望[OB/CD]. http://www.sfe.com.cn .

1汪建.关于我国开展石油期货的几点思考[J].世界经济与政治论坛,2004(4):20-22. 被引量：6
2李韫,张丰胜.石油期货市场套期保值与风险规避[J].国际石油经济,2005,13(1):42-44. 被引量：5
3王耀中,刘志忠,夏飞.石油价格与产出波动关系研究综述[J].经济学动态,2005(8):110-113. 被引量：4
4Granger C.W.J.Some properties of time series data and theirs in econometric modet specification[J]. Journal of Econometrics,1981,50: 121-130.
5Engle R.F. and Granger C.W.J. Cointegration and error correction representation estimation and testing [J]. Econometrica, 1987,55:251-276.
6Chen, K.C., Sears, R. Stephen and Tzang, Dah-Nein. Oil Prices and Energy Futures [J]. The Journal of Futures Markets, 1987,7:501-518.
7Baillie, Richard,T. and Myers, Robert, J. Bivariate Garch Estimation of The Optimal Commodity Futures Hedge[J]. Journal of Applied Econometrics, 1991,6: 109-124.
8Energy Information Administration.Derivatives and Risk Management in the Petroleum,Natural Gas,and Electricity Industries.Technical Repot of US Department of Energy,SR/SMG/2002-01,Washington (DC):2002.
9[美]贝利·理查德.国际石油合作管理[M](辛俊和,等译).北京:中国石油大学出版社,2003.
10Ingmar Mattus.Application of Derivative Instrunents in Hedging of Crude Oil Price Risks[D].Bachelor Thesis,Estonian Business School,2005.

石油大学学报（社会科学版）

2005年第3期

内容加载中请稍等...