上海燃料油期货市场价格发现功能的实证研究被引量：8

Empirical Analysis of Price Discovery in Shanghai Futures Exchange's Fuel Markets

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摘要本文利用协整检验、Granger因果检验、误差修正模型和Garbade-Silber模型对上海燃料油期货的价格发现功能进行了探讨,分析了期货与现货价格之间的相互关系,刻画了期货与现货市场在价格发现功能中作用的大小,并由此说明上海燃料油期货市场的效率。结果表明,燃料油的期货价格与现货价格之间存在协整关系,期货市场具有良好的价格发现功能,这对我国建设完整的石油期货市场具有指导意义。 This paper focuses on the function of price discovery of futures prices in Shanghai Futures Exchange＇s fuel markets with eointegration tests, Granger causality test, error correction model and Garbade-Silber model. The results indicate that the futures price and spot price have feedback effects, and the futures market dominates the spot markets.

作者赵茜王书平

机构地区中国人民大学经济学院北方工业大学经济管理学院

出处《运筹与管理》 CSCD 2007年第2期98-101,153,共5页 Operations Research and Management Science

基金国家"十五"科技攻关资助项目(2004BA616A-01-16) 国家自然科学基金重点资助项目(70531040)

关键词能源经济学价格发现误差修正模型燃料油期货 energy economics price discovery error correction model fuel futures markets

分类号 F224.0 [经济管理—国民经济]

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