An Empirical Analysis of the Price Discovery Function of Shanghai Fuel Oil Futures Market

被引：0
|
作者：
Wang Zhen1
机构：
来源：
Petroleum Science | 2007年 / 03期
关键词：
Price discovery; fuel oil futures; causality; Shanghai Futures Exchange;
D O I：
暂无
中图分类号：
F426.22 [];
学科分类号：
0202 ; 020205 ;
摘要：
This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response function and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.
引用
收藏
页码：97 / 102
页数：6
相关论文
共 50 条
  • [1] An empirical analysis of the price discovery function of Shanghai fuel oil futures market
    Wang Zhen
    Liu Zhenhai
    Chen Chao
    [J]. PETROLEUM SCIENCE, 2007, 4 (03) : 97 - 102
  • [2] The Price Discovery Function of Shanghai Copper Futures Market
    Song, Dongwei
    Liu, Dehong
    [J]. INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT (EBM2011), VOLS 1-6, 2011, : 1851 - 1853
  • [3] An Empirical Analysis of the Price Discovery Function of Dalian Soybean Futures Market
    Xiang Yi
    Sun Qiming
    Sun Yin
    Li Kai
    [J]. PROCEEDINGS OF THE 2015 3D INTERNATIONAL CONFERENCE ON ADVANCED INFORMATION AND COMMUNICATION TECHNOLOGY FOR EDUCATION, 2015, 11 : 308 - 312
  • [4] Empirical analysis on price discovery function of wheat and early rice futures market
    Yao, Yuan
    Ma, Lei
    [J]. BIOTECHNOLOGY, AGRICULTURE, ENVIRONMENT AND ENERGY, 2015, : 111 - 116
  • [5] Implementing Three-factor Model: Empirical Analysis of the Fuel Oil Futures Price at Shanghai Futures Exchange
    Song, Bin
    Liu, Zhidong
    Li, Wenbin
    Li, Bin
    [J]. 2007 INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-15, 2007, : 3959 - 3963
  • [6] Price discovery efficiency of China's crude oil futures: Evidence from the Shanghai crude oil futures market
    Shao, Mingao
    Hua, Yongjun
    [J]. ENERGY ECONOMICS, 2022, 112
  • [7] An Empirical Analysis of Price Discovery in Spot and Futures Market of Gold in India
    Joshy, K. J.
    Ganesh, L.
    [J]. PACIFIC BUSINESS REVIEW INTERNATIONAL, 2015, 7 (10): : 80 - 88
  • [8] The Empirical Research on the Economic Function of Chinese Fuel Oil Futures Market
    Sun Xiaosu
    [J]. PROCEEDINGS OF THE 2011 INTERNATIONAL SYMPOSIUM - TECHNICAL INNOVATION OF INDUSTRIAL TRANSFORMATION AND STRUCTURAL ADJUSTMENT, 2011, : 211 - 217
  • [9] Price Discovery Analysis of Oil Futures Market: A View of Interaction Effect
    Zeng, Yong
    Chen, Lei
    [J]. MATERIALS SCIENCE AND INFORMATION TECHNOLOGY, PTS 1-8, 2012, 433-440 : 4366 - 4376
  • [10] The Analysis on the Economic Function of Chinese Fuel Oil Futures Market
    Liu Yunxia
    He Jinbing
    [J]. STATISTIC APPLICATION IN MACROECONOMY AND INDUSTRY SECTORS, 2010, : 255 - 261
12345