上海原油期货对现货市场价格波动性影响研究  

Research on the Impact of Shanghai Crude Oil Futures on the Volatility of Domestic Crude Oil Spot Prices

作　　者：牛华伟 徐众 Niu Huawei;Xu Zhong

机构地区：[1]中国矿业大学经济管理学院 [2]南京审计大学金融学院

出　　处：《价格理论与实践》2020年第2期107-110,共4页Price:Theory & Practice

摘　　要：原油期货对现货价格波动性的影响一直深受国内外学者关注。本文以上海原油期货的推出为准自然实验,通过构建VAR模型和EGARCH模型,实证研究上海原油期货的推出对现货市场价格波动的影响。结果表明:上海原油期货上市在一定程度上增强了原油现货价格的波动性,但这种影响较为短暂。同时,上海原油期货上市一定程度上增强了原油现货市场价格波动的不对称性。对比成熟的布伦特原油期货市场,我国应完善上海原油期货市场的套期保值功能,放宽交易限制,以扩大上海原油期货的交易规模,并且警惕做空行为带来的利空消息冲击。The impact of crude oil futures on the volatility of crude oil spot price has been deeply concerned by scholars at home and abroad.The results show that the listing of Shanghai crude oil futures has enhanced the volatility of domestic crude oil spot price to a certain extent,but this effect is relatively short-lived.At the same time,the listing of Shanghai crude oil futures has enhanced the asymmetry of domestic crude oil spot price fluctuations to a certain extent.Compared with the mature Brent crude oil futures market,we should improve the hedging function of the Shanghai crude oil futures market,relax trading restrictions to expand the trading scale of Shanghai crude oil futures,and be alert to the impact of bad news brought about by short-selling behavior.

关 键 词：原油期货 原油现货 价格波动性 EGARCH模型 

分 类 号：F764.1[经济管理—产业经济] F724.5