上海原油期货价格发现功能研究  

Research on the price discovery function of Shanghai crude oil futures

作　　者：徐晓莉[1] 任芳 

机构地区：[1]新疆大学经济与管理学院

出　　处：《价格理论与实践》2020年第9期85-88,179,共5页Price:Theory & Practice

摘　　要：上海原油期货自2018年3月在上海国际能源交易中心上市以来,在优化原油资源配置和争取国际原油定价权方面发挥重要作用。本文在分析布伦特原油期货、上海原油期货和大庆原油现货两年来的价格趋势及相关性之后,选取2018年6月-2020年8月的日度价格数据分析上海原油期货价格发现功能的强弱。结果表明:上海原油期货对我国原油现货具有较强的价格发现功能,强于布伦特原油期货对我国原油现货的影响。最后,从投资者比例、参与主体、原油储备和市场流动性四方面对上海原油期货市场提出政策建议。since its listing in Shanghai International Energy Trading Center in March 2018, Shanghai crude oil futures has played an important role in optimizing crude oil resource allocation and striving for international crude oil pricing power. After analyzing the price trend and correlation of Brent crude oil futures, Shanghai crude oil futures and Daqing crude oil spot in the past two years, this paper selects the daily price data from June 2018 to August 2020 to analyze the strength of Shanghai crude oil futures price discovery function. The results show that Shanghai crude oil futures has a stronger price discovery function than Brent crude oil futures. Finally, the paper puts forward policy suggestions for Shanghai crude oil futures market from four aspects: the proportion of investors, participants, crude oil reserves and market liquidity.

关 键 词：原油期货 GS模型 布伦特原油 价格发现 方差分解 

分 类 号：F764.1[经济管理—产业经济] F724.5