中国原油期货市场效率国际比较  

Analysis and International Comparison on Market Efficiency of China's Crude Oil Futures

作　　者：仇欢 Qiu Huan(Sinopec Economics&Development Research Institute Company Limited,Beijing 100029,China)

机构地区：[1]中国石化集团经济技术研究院有限公司,北京100029

出　　处：《当代石油石化》2021年第3期26-30,共5页Petroleum & Petrochemical Today

摘　　要：中国原油期货经过近3年的发展,在交易规模上已经成为全球第三大原油期货品种,但其市场效率有待深入研究。本文对中国原油期货的价格发现功能、套期保值效率进行了实证检验,并与WTI、Brent原油期货进行了对比分析。结果显示,中国原油期货价格与现货价格联动性较好,价格发现功能初步显现;而套期保值效率明显低于WTI、Brent原油期货,避险功能有待加强。为提升中国原油期货的定价话语权、有效发挥套期保值功能,建议进一步丰富能源期货品种,加大衍生品创新力度,扩大期货市场对外开放以及完善期货市场制度建设。After nearly three years of development,China's crude oil futures have become the third largest crude oil futures variety in the world in terms of transaction scale,but its market efficiency still needs to be further studied.This paper conducts an empirical study on the price discovery function and hedging efficiency of China's crude oil futures,which is compared with WTI and Brent crude oil futures.The results show that China's crude oil futures prices and spot prices have a good linkage,which means the price discovery function is initially shown.Besides,the hedging efficiency of China's crude oil futures is obviously lower than that of WTI and Brent futures,so the risk-management function needs to be strengthened.In order to enhance the pricing power of China's crude oil futures and effectively play the hedging function,it is suggested to further enrich the variety of energy futures,strengthen innovations in derivatives,expand opening of futures market to the outside world and improve the construction of futures market system.

关 键 词：原油期货 价格发现 套期保值 

分 类 号：F764.2[经济管理—产业经济] F724.5