国内外燃料油期货市场不完善程度测度和实证检验

Imperfection measuring and empirical study on domestic and international heating oil futures market

论文使用一个包含了价格期望因素以及套利机制不完全性的期货市场不完善程度测度模型,分别对上海和新加坡燃料油期货市场的不完善程度进行了检验。检验结果发现上海燃料油期货市场的不完善程度要比新加坡高很多,可见上海燃料油期货市场有待于进一步完善。最后,论文通过上海与新加坡燃料油期货市场的不同点进行分析,探讨了上海燃料油期货市场不完善程度的可能原因,对实证结果作了进一步解释,并提出了相应的政策建议。

In this paper we test the imperfection degree of Shanghai and Singapore heating oil futures market sepa- rately by using a pricing model of futures in imperfect mar- kets, which model covers both price expectation factor and imperfection of arbitrage mechanism. We find the imperfec- tion degree of Shanghai heating oil futures market is much higher than that of Singapore. It shows that Shanghai heat- ing oil futures market needs to be improved. Finally, through analyzing the difference between Shanghai and Sin- gapore heating oil futures market, we discuss the possible reasons that cause the imperfection of Shanghai heating oil futures market and give some explanations to our empirical results. In addition, we also bring forward the correspond- ing policy recommendations.