我国石油期货市场价格发现功能及波动溢出效应研究  

Research on Price Discovery Function and Volatility Spillover Effect of Oil Future Market of China

作　　者：董莹[1] 李素梅[1] 

机构地区：[1]天津财经大学经济学院,天津300222

出　　处：《价格月刊》2017年第7期19-24,共6页

基　　金：天津市2015年度哲学社会科学规划课题"天津市新能源汽车产业发展与能源金融价值共创战略研究"(编号:TJLJ15-006)阶段性研究成果

摘　　要：有效的期货市场对现货市场具有明显的价格预期作用,投资者凭借此能够规避现货市场价格风险,实现石油产品套期保值。为探究我国石油期货市场是否已达弱势有效,借助协整分析、双变量EGARCH模型、GarbadeSilber模型等计量方法 ,对我国石油期货市场价格发现功能进行分析,研究结果表明:我国石油期货市场与现货市场之间存在协整、双向格兰杰因果关系及波动溢出效应,期货市场价格发现贡献度低于现货市场,期货价格参考性较低,难以发挥规避风险等作用,同时也无力争夺国际定价权。基于此,提出了构建有效的石油期货市场运行机制的对策建议。Effect future market has significant price prediction effect on spot market, by which the investors can avoid the spot market price risk and meet the oil products hedging. In order to explore whether China＇s oil future market reaches weak form efficiency, this paper analyzes the price discovery function of China＇s future market by co-integration analysis, dual- variable EGARCH model and Garbade-Silber model, the results indicate that： There exist co-integration effect, dual direc- tional Granger causality and volatility spillover effect between China＇s oil future market and spot market, the price discovery contribution degree of future market is lower than that of spot market, and the reference of future price is lower, which is hard to play the risk-avoidance effect, and it is weak to compete for international pricing rights. Based on the above, this paper puts forward the countermeasure to build effective the operation mechanism of oil future market.

关 键 词：石油期货市场 价格发现功能 波动溢出效应 贡献度测度 

分 类 号：F726[经济管理—产业经济]