| 中美燃料油期货价格引导研究 |
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| 引用本文： | 戴毓,葛金田,周德群. 中美燃料油期货价格引导研究[J]. 数理统计与管理, 2011, 30(2): 206-217 |
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| 作者姓名： | 戴毓 葛金田 周德群 |
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| 作者单位： | 1. 济南大学经济学院,山东济南,250022
2. 南京航空航天大学经济与管理学院,江苏南京,210016 |
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| 基金项目： | 国家社科基金重大项目(编号:08&ZD046); 国家自然科学基金项目(编号:70873058); 教育部人文社会科学研究一般项目(编号:08JA630041) |
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| 摘 要： | 本文利用ADF单整检验、EG协整检验、误差修正模型、引导关系检验等方法研究中美燃料油期货价格之间的互动关系,结果表明:我国燃料油期货在价格和价格收益方面均与国际燃料油市场存在明显的即时引导关系;国际燃料油期货市场上的价格变动对国内燃料油期货价格以及价格收益的变动具有单向的滞后引导作用;我国燃料油期货市场的价格和收益方面的信息对于国际市场几乎不产生影响,我国尚不具备制定价格的话语权。
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| 关 键 词： | 燃料油 期货 价格 引导关系 |
Study on Leading Relations of Fuel Oil Futures Prices between China and USA |
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| DAI Yu,GE Jin-tian,ZHOU De-qun. Study on Leading Relations of Fuel Oil Futures Prices between China and USA[J]. Application of Statistics and Management, 2011, 30(2): 206-217 |
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| Authors: | DAI Yu GE Jin-tian ZHOU De-qun |
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| Affiliation: | DAI Yu~(1,2) GE Jin-tian~1 ZHOU De-qun~2 (1.School of Economics,University of Jinan,Shandong Jinan 250022,China,2.College of Economics and Management,Nanjing University of Aeronautics & Astronautics,Jiangsu Nanjing 210016,China) |
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| Abstract: | In this paper,leading relations between SHFE and NYMEX fuel oil futures prices are studied through ADF integration test,EG co-integration test,ECM,leading relations test and so on.The results suggest that there exist current leading relations between internal and external fuel oil futures markets considering price and interest.The volatility of price in external fuel oil futures markets caused the price and interest in internal fuel oil futures markets in hysteresis.The information of our fuel oil futures m... |
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| Keywords: | fuel oil futures price leading relations |
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