上海原油期货市场价格发现功能实证研究

An empirical study on the price discovery function of Shanghai crude oil futures market

上海原油期货上市4年以来,市场规模持续扩大;市场结构持续优化,机构客户参与度大幅提升;境外客户参与度持续提高,认可度进一步增强。上海原油期货整体与全球原油市场保持高度相关性,对全球原油市场亚洲时段交易活跃度起到了积极作用。中国市场数据对上海原油期货价格的影响不断增强,上海原油期货对亚洲时段突发事件更敏感,上海原油期货价格对区域内资源配置起到引导作用。近两年,受新冠肺炎疫情、国际地缘政治等因素影响,全球原油价格出现大幅波动,上海原油期货在面临极端行情考验下,保持了稳中有进的态势,价格发现功能逐步显现。本文从实证研究的角度,通过统计学方法,发现上海原油期货上市4年来,对完善全球原油定价体系起到了积极的作用,其价格走势在体现全球供需、与全球油价高度相关的同时,逐渐显现出反映中国供求关系的“独立性”,为全球客户实现在亚太时区风险管理的需求提供更多的机会和可能。

Since the listing of Shanghai crude oil futures(SC)four years ago,the market scale continues to expand,the market structure continues to optimize,both institutional customers and overseas customers’participation continue to enhance,and its recognition is further enhanced.SC are highly correlated with the global crude oil market as a whole and plays a positive role in the trading activity of the global crude oil market during Asian hours.The impact of Chinese market data on SC price is increasing,it is more sensitive to the unexpected events during Asian hours,and it also plays a guiding role in regional resource allocation.Over the past two years,affected by COVID-19 pandemic,international geopolitics,and other factors,global crude oil prices have fluctuated greatly.SC have maintained a steady progress and the function of price discovery has gradually emerged in the face of extreme market tests.From the perspective of empirical research,this paper finds that SC has played a positive role in improving the global crude oil pricing system in the past four years,the price trend reflects the global supply and demand and is highly correlated with the global oil price,and it gradually appears to reflect the“independence”of China’s supply and demand,providing more opportunities and possibilities for global customers to realize the risk management needs in the Asia-Pacific time zone through statistical approach.