中国上海燃料油期货市场信息溢出研究  

Information spillovers towards fuel-oil futures market in Shanghai

作　　者：马超群[1] 佘升翔[1] 陈彦玲[2] 王振全[2] 

机构地区：[1]湖南大学工商管理学院,长沙410082 [2]北京石油化工学院经济管理学院,北京102617

出　　处：《管理科学学报》2009年第3期92-101,共10页Journal of Management Sciences in China

基　　金：国家社科基金资助项目(06BJY044);国家杰出青年基金资助项目(70825006);北京市属市管高校人才强校计划资助项目

摘　　要：运用改进的信息溢出模型,对上海燃料油期货市场与国际石油市场的信息溢出关系进行了系统深入的研究.实证结果表明,WTI石油期货市场、迪拜原油期货市场对亚洲燃料油市场存在稳定的信息溢出,上海燃料油期货市场与新加坡燃料油现货市场有双向的均值溢出,从主要国际石油市场至上海燃料油期货市场还存在显著的波动溢出.上海燃料油期货市场的影响力正在增强,但尚不能替代新加坡燃料油市场的主导地位.mong the Using improved information spills-over model, this paper investigated the information spillover aleading international crude markets and fuel oil markets with Shanghai fuel oil futures market in the context of market structures. The results showed stable information spillover from WTI oil market as well as Dubai crude oil futures market to the fuel oil markets located in Asia. There is bi-directional mean spillover between Shanghai fuel oil market and Singapore fuel oil spot market. Further, volatility spills-over from international markets to Shanghai there is a far distance before was found. The power of Shanghai fuel oil futures market is increasing, though Singapore fuel market.

关 键 词：上海燃料油期货 协整 均值溢出 波动溢出 

分 类 号：F7[经济管理—产业经济]