上海原油期货的推出是否稳定了现货市场？金融周期视角

IF 0.9 Q3 ECONOMICS

INTERNATIONAL ECONOMIC JOURNAL Pub Date : 2021-11-19 DOI:10.1080/10168737.2021.2001027

Dan Zhang, Arash Farnoosh, Zhengwei Ma

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引用次数: 1

摘要

基于对上海原油期货与现货市场价格发现的考察，本文探讨了上海原油期货的推出能否在现货市场发挥稳定作用，缓解2018年3月至2019年12月金融周期风险对原油市场的影响。结果表明，现货价格和期货价格之间只有单向关系，现货在价格发现中起主导作用。金融周期的风险会增加现货价格的波动性，原油期货市场的引入会增加金融周期对现货市场的影响。对上海原油期货微观机制的进一步研究表明，原油期货市场主要通过交易者的行为来影响现货市场的波动：投机行为增加了现货市场的价格波动，与套期保值交易相比，在金融周期的高波动性中更为明显。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Does the Launch of Shanghai Crude Oil Futures Stabilize the Spot Market? A Financial Cycle Perspective

Based on the examination of price discovery between Shanghai crude oil futures and the spot market, this paper explores whether the introduction of Shanghai crude oil futures can play a stabilizing role in the spot market, alleviating the impact of the financial cycle risk on the crude oil market from March 2018 to December 2019. The results show that there is only a uni-directional relationship of the spot price to futures price, and spot plays a leading role in price discovery. The risk of the financial cycle will increase the volatility of spot price, and the introduction of crude oil futures market can increase the impact of the financial cycle on the spot market. The additional research on the microcosmic mechanism of Shanghai crude oil futures indicates that crude oil futures market mainly influences the spot market fluctuation through the behaviour of traders: speculation increases price volatility in the spot market, which is more pronounced in the high volatility of the financial cycle as oppose to hedging transaction.

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来源期刊

INTERNATIONAL ECONOMIC JOURNAL Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

2.10

自引率

0.00%

发文量

期刊介绍： International Economic Journal is a peer-reviewed, scholarly journal devoted to publishing high-quality papers and sharing original economics research worldwide. We invite theoretical and empirical papers in the broadly-defined development and international economics areas. Papers in other sub-disciplines of economics (e.g., labor, public, money, macro, industrial organizations, health, environment and history) are also welcome if they contain international or cross-national dimensions in their scope and/or implications.