Empirical study of the functional changes in price discovery in the Brent crude oil market
Empirical study of the functional changes in price discovery in the Brent crude oil market
复制标题
DOI：
10.1016/j.egypro.2017.12.417
复制
发表时间：
2017-12
期刊：
影响因子：
--
通讯作者：
Lu-Tao Zhao;Jing Yan;Lei Cheng;Yi Wang
中科院分区：
文献类型：
--
作者：
Lu-Tao Zhao;Jing Yan;Lei Cheng;Yi Wang
石油是能源和战略物资的重要来源。了解期货市场的价格发现功能，可以更好地发挥期货市场的作用，对保障能源供应安全具有重要意义。本文运用计量经济学的方法，对期货价格与现货价格之间的关系进行研究，研究期货市场的价格发现模式。研究中使用的是布伦特原油（2007 - 2016）期货价格和现货价格数据。研究发现，在GS、is和PT模型中，is和PT模型各有优势，可以结合两个模型计算价格发现水平，而GS模型无效。对比2007 - 2016年的价格发现水平，大部分石油期货市场的价格发现水平较高。同时，价格的波动并不是价格发现背后的主要原因。导致价格发现率下降的主要因素是宏观经济的发展和价格波动的程度
Oil is an important source of energy and strategic materials. Understanding the function of price discovery in the futures market, the role of the futures market can be better played, and it is of great significance to ensure the security of energy supply. In this paper, the relationship between futures price and spot price is investigated by means of econometrics, to study price discovery modes on the futures market. The Brent crude oil (2007 to 2016) future price and spot price data were used in the study. It is found that, in GS, IS and PT models, the IS and PT model have their own advantages, which can be combined with two models to calculate the level of price discovery while the GS model is invalid. Comparing the price discovery level from 2007 to 2016, most of the price discovery of the oil futures market is higher. At the same time, the volatility of price is not the main reason behind price discovery. The main factors leading to the decrease of price discovery are the development of the macroeconomy and the degree of price volatility.a