期货市场、对冲基金与国际原油价格波动

Futures market, hedge fund and price fluctuation of world oil

关于对冲基金投机活动对国际石油期货价格的影响存在广泛的争议。基于VAR模型的实证研究表明:国际原油价格、套期保值净头寸、对冲基金净头寸和商业石油库存之间不存在长期协整关系,说明对冲基金的投机活动不是推动原油价格长期上涨的原因;短期内,套期保值净头寸增加使原油期货价格升高,对冲基金净头寸和商业石油库存量增加使原油价格下降,而原油价格升高使套期保值净头寸减少,对冲基金净头寸增加。这说明套期保值者是期货市场上的策略交易者,对冲基金投机是价格跟随者;国际石油期货市场运行机制良好,对冲基金的投机活动既不是国际原油价格长期上涨的原因,也没有放大国际油价的短期波动。

There are lots of controversies over the influence of hedge funds speculation to the world oil futures price. The empirical study based on VAR model demonstrates: there is no co-integration relation between world oil price, hedging net positions, speculative net positions and the commercial petroleum inventory. This indicates speculation of hedge funds is not a long-term driver for oil price growth. In short term, the increase of hedging net positions will push oil futures price up while increase of speculative net positions and commercial oil inventory pull it down; rising oil price will reduce hedging net positions and increase speculative net positions. This indicates the hedgers are strategic traders on futures market, while fund speculators are price followers. World oil futures market works well, and speculation activity of speculation funds neither causes long-term increase of world oil, nor magnifies short-term fluctuation.