中国原油期货与沥青期货价格关联性研究——基于产业链视角的分析

Research on the Price Correlation between China's Crude Oil Futures and Asphalt Futures——An Analysis Based on the Perspective of Industry Chain

中国原油期货上市交易,进一步完善了我国石油化工期货品种体系,其对于石油沥青在内的各类石油化工产品期货产生一定的影响。本文选取中国2018年3月26日至2019年5月15日沥青与原油期货主力合约价格连续数据,通过构建模型分析原油期货与沥青期货价格关联性,揭示中国原油期货对其他石油化工期货的影响。研究发现:原油期货与沥青期货间存在长期均衡关系,且沥青、原油期现货价格波动的影响存在时滞性;长期来看,虽然各自的价格波动受自身的影响最大,但也存在相互影响关系,其中原油期货价格对沥青期货价格影响贡献率达到36.19%。本文最后从提高期货交易市场活跃度、重视原油期货价格波动对沥青等期货品种价格的影响、推动沥青等石油化工期货品种国际化进程等方面提出政策建议。

China's crude oil futures trading on the market has further improved China's petrochemical futures system,which will have a certain impact on various petrochemical products futures including petroleum asphalt.The author of this paper is to determine such effects.We article selects the continuous data of China's main asphalt and crude oil futures contract prices from March 26,2018,to May 15,2019,and builds a model to analyze the correlation between crude oil futures and asphalt futures prices.This article reveals the impact of China's crude oil futures on other petrochemical futures.The study found a long-term equilibrium relationship between crude oil futures and asphalt futures,and there is a time lag in the impact of spot price fluctuations in asphalt and crude oil futures.In the long run,although their respective price fluctuations are most affected by themselves,they also have mutual influence.Among them,the contribution rate of crude oil futures prices to asphalt futures prices reached 36.19%.Finally,the article puts forward policy suggestions from the aspects of improving the activity of futures market,paying attention to the impact of crude oil futures price fluctuation on the prices of asphalt and other futures,and promoting the internationalization process of petrochemical futures such as asphalt.