摘要
从国际原油交易定价入手,回顾和述评了关于"持有成本套利"和"现货溢价"的两种理论脉络和实证结论,结合原油期货合约具有实物商品和金融投资工具双重属性,讨论了从交易者行为入手,研究原油期货定价机制的主要思路和成果。强调后续研究应该坚持从考察交易者行为的角度来发掘油价形成的原因,把资本市场的变化、实体市场和期货市场同时纳入原油期货价格形成的研究中,才可能真正创造性地揭示油价决定和变化的内在规律,而对交易者行为"理性化"或"非理性化"
Beginning with a discussion of pricing on the international crude oil exchange, this paper reviews and assesses the approaches and empirical conclusions of the 'Cost of Carry Arbitrage' and 'Normal Backwardation' theories. Noting the dual properties of crude oil futures contracts as both physical commodities and financial investment tools, the author proceeds to examine trader behavior. This becomes the basis for a discussion of the major schools of thought and research findings surrounding pricing mechanisms for crude oil futures. Subsequent research, it is argued, should focus on observing trader behavior in order to uncover the factors which shape oil prices; furthermore, studies of crude oil futures pricing should incorporate capital market shifts, spot markets and futures markets. This will offer a groundbreaking look at the intrinsic rules governing oil prices. Defining and debating the 'rationality' or 'irrationality' of trader behavior may also have an immediate impact on subsequent studies of oil prices.
出处
《国际石油经济》
2009年第1期36-42,共7页
International Petroleum Economics
