Can the Shanghai LNG Price Index indicate Chinese market? An econometric investigation using price discovery theory
Can the Shanghai LNG Price Index indicate Chinese market? An econometric investigation using price discovery theory
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DOI：
10.1007/s11708-020-0701-4
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发表时间：
2020-10
影响因子：
2.9
通讯作者：
Yeli Zeng;Cong Dong;M. Höök;Jinhua Sun;Danyang Shi
中科院分区：
文献类型：
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作者：
Yeli Zeng;Cong Dong;M. Höök;Jinhua Sun;Danyang Shi
中国在2018年成为全球第二大液化天然气（LNG）进口国，但由于缺乏议价能力，进口成本极高。对2015年首次发布的上海LNG价格指数的评估对于提高对这些成本动态的理解至关重要。本文利用2015年7月1日至2018年12月31日上海石油天然气交易所（SHPGX）的LNG价格指数数据，结合国内外LNG价格，估计了几个计量经济模型，以评估上海LNG价格指数的长期和短期均衡，对市场信息冲击的反应以及与其他机构的LNG和替代能源价格的领先或滞后关系。研究结果表明，SHPGX的LNG价格指数已经表现出长期均衡和短期调整机制，能够反映平均价格水平和市场走势，但市场信息透明度和价格发现效率仍显不足。中国的LNG市场相对于其他天然气市场仍具有相对独立性，市场化改革正在中国进行。SHPGX LNG价格指数对市场参与者交易决策的影响力预计将随着中国LNG改革的进一步发展，天然气进出系统的形成以及枢纽流动性的增加而改善。
China became the world’s second largest liquefied natural gas (LNG) importer in 2018 but has faced extremely high import costs due to a lack of bargaining power. Assessments of the Shanghai LNG Price Index, first released in 2015, are vital for improving the understanding of these cost dynamics. This paper, using the LNG price index data from the Shanghai Petroleum and Gas Exchange (SHPGX) coupled with domestic and international LNG prices from July 1, 2015 to December 31, 2018, estimates several econometric models to evaluate the long-term and short-term equilibriums of the Shanghai LNG Price Index, the responses to market information shocks and the leading or lagging relationships with LNG and alternative energy prices from other agencies. The results show that the LNG price index of the SHPGX has already exhibited a long-term equilibrium and short-term adjustment mechanisms to reflect the average price level and market movements, but the market information transparency and price discovery efficiency of the index are still inadequate. China’s LNG market is still relatively independent of other natural gas markets, and marketization reforms are under way in China. The influence of the SHPGX LNG price index on the trading decisions of market participants is expected to improve with further development of China’s LNG reforms, the formation of a natural gas entry-exit system, and the increasing liquidity of the hub.