The price of Middle East crude oil exported to Asian countries has been higher than that to Europe and America for a long period, and this price differential made Asian countries pay more than European and American co...The price of Middle East crude oil exported to Asian countries has been higher than that to Europe and America for a long period, and this price differential made Asian countries pay more than European and American countries. Prior investigations found that ＂Asian Crude Oil Premium＂ did exist at a relatively low oil price level. However, world oil price soared after 2003, making the price of Middle East crude oil exported to European countries or America rise quickly, sometimes even higher than that to Asia. Under this situation, this paper uses the price of Middle East crude oil sold to Europe or America or Asia to test if the premium exists at a high oil price level and concludes that the crude oil price premium of Asia against America does not exist, but the premium of Asia against Europe still exists.展开更多
The market’s decisive role in allocating resources requires us to construct a sound,efficient,modernized and internationalized energy market system as well as to safeguard the national economic interests and energy s...The market’s decisive role in allocating resources requires us to construct a sound,efficient,modernized and internationalized energy market system as well as to safeguard the national economic interests and energy security,promote economic restructuring and upgrading,and improve corporate展开更多
In this paper, we examine the price discovery process and volatility spillover effects in informationally linked futures markets. Using synchronous trading information from the Shanghai Futures Exchange （SHFE）, the ...In this paper, we examine the price discovery process and volatility spillover effects in informationally linked futures markets. Using synchronous trading information from the Shanghai Futures Exchange （SHFE）, the New York Mercantile Exchange （NYMEX）, and the London Metal Exchange （LME） for copper futures from 2000 to 2012, we show that the cointegration relationships of these futures markets changed during 2006-2008. The results indicate that there is a bidirectional relationship in terms of price and volatility spillovers between the LME and NYMEX and the SHFE, with a stronger effect from the LME and NYMEX to the SHFE （versus the effect from the SHFE to the LME and NYMEX） prior to 2006. Our results also highlight the increasingly prominent role of the SHFE in the price formation process and cross-volatility spillover effects since 2008. Finally, we show that volatility spillover has important implications for constructing optimized portfolios for copper investors.展开更多
文摘The price of Middle East crude oil exported to Asian countries has been higher than that to Europe and America for a long period, and this price differential made Asian countries pay more than European and American countries. Prior investigations found that ＂Asian Crude Oil Premium＂ did exist at a relatively low oil price level. However, world oil price soared after 2003, making the price of Middle East crude oil exported to European countries or America rise quickly, sometimes even higher than that to Asia. Under this situation, this paper uses the price of Middle East crude oil sold to Europe or America or Asia to test if the premium exists at a high oil price level and concludes that the crude oil price premium of Asia against America does not exist, but the premium of Asia against Europe still exists.
文摘The market’s decisive role in allocating resources requires us to construct a sound,efficient,modernized and internationalized energy market system as well as to safeguard the national economic interests and energy security,promote economic restructuring and upgrading,and improve corporate
文摘In this paper, we examine the price discovery process and volatility spillover effects in informationally linked futures markets. Using synchronous trading information from the Shanghai Futures Exchange （SHFE）, the New York Mercantile Exchange （NYMEX）, and the London Metal Exchange （LME） for copper futures from 2000 to 2012, we show that the cointegration relationships of these futures markets changed during 2006-2008. The results indicate that there is a bidirectional relationship in terms of price and volatility spillovers between the LME and NYMEX and the SHFE, with a stronger effect from the LME and NYMEX to the SHFE （versus the effect from the SHFE to the LME and NYMEX） prior to 2006. Our results also highlight the increasingly prominent role of the SHFE in the price formation process and cross-volatility spillover effects since 2008. Finally, we show that volatility spillover has important implications for constructing optimized portfolios for copper investors.
