| 基于延期交割费的我国燃料油期现货价格关系辨析 |
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| 引用本文： | 孟磊,郭菊娥,郭广涛.基于延期交割费的我国燃料油期现货价格关系辨析[J].管理评论,2011(6). |
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| 作者姓名： | 孟磊 郭菊娥 郭广涛 |
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| 作者单位： | 西安交通大学管理学院; |
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| 基金项目： | 国家自然科学基金项目(70773091) |
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| 摘 要： | 本文基于延期交割费的描述性统计分析,发现国内燃料油期现货市场间存在延期交割费。利用经验模态分解(EMD)方法,本文将延期交割费的影响因素分为短期市场波动、中期经济自然环境影响及长期趋势,分别对应EMD结果中的高频、低频和趋势分量。在此基础上,本文通过ARMA-GARCH模型度量燃料油市场价格风险,检验了延期交割费与燃料油市场价格风险之间的关系。结果显示延期交割费一定程度体现了市场价格风险,反映出上海燃料油期货市场的有效性。
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| 关 键 词： | 期现货价格 EMD 延期交割费 价格风险 ARMA-GARCH模型 |
The Relationship between Spot and Futures Prices of Fuel Oil Market in China:A Perspective of Backwardation |
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| Meng Lei,Guo Ju-e , Guo Guangtao.The Relationship between Spot and Futures Prices of Fuel Oil Market in China:A Perspective of Backwardation[J].Management Review,2011(6). |
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| Authors: | Meng Lei Guo Ju-e Guo Guangtao |
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| Institution: | Meng Lei,Guo Ju-e and Guo Guangtao (School of Management,Xi'an Jiaotong University,Xi'an 710049) |
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| Abstract: | The fluctuation of oil prices and the relationship between spot and futures oil have led to a widespread risk aversion sentiment among enterprises.Based on the perspective of backwardation,this paper examines the relationship between spot and futures prices of fuel oil market in China.The results of the empirical research show that there is significant backwardation in the market.Empirical Mode Decomposition method is used to analyze factors that influence backwardation.Three factors are found: trend,low-fr... |
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| Keywords: | futures & spot prices EMD method backwardation price risk ARMA-GARCH model |
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