| 我国燃料油期货市场、现货市场价格的相互引导关系研究 |
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| 引用本文： | 罗思哲,陈远方.我国燃料油期货市场、现货市场价格的相互引导关系研究[J].湖南第一师范学报,2009,9(3):117-118,153. |
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| 作者姓名： | 罗思哲 陈远方 |
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| 作者单位： | 1. 湖南师范大学商学院,湖南,长沙,410081
2. 湖州师范学院图书馆,浙江,湖州,313000 |
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| 摘 要： | 利用格兰杰因果检验方法对2008年7月至2009年1月上海期货交易所燃料油期货市场和黄埔现货市场的价格数据进行分析。结果表明：期货价格是现货价格的GRANGER原因，而现货价格不是期货价格的GRANGER原因。这与燃料油期货与现货市场双向影响的已有研究结论不同。由此可知，在期货价格连续剧烈下跌时，我国燃料油期货市场是弱市有效的市场；产生这种现象是因为现货市场具有价格刚性。
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| 关 键 词： | 期货价格 现货价格 GRANGER因果检验 价格刚性 |
On the Mutual Guidance Relationship between Fuel Oil Futures and Fuel Oil Spot Price in China |
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| LUO Si-zhe,CHEN Yuan-fang.On the Mutual Guidance Relationship between Fuel Oil Futures and Fuel Oil Spot Price in China[J].Journal of First Teachers College of Hunan,2009,9(3):117-118,153. |
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| Authors: | LUO Si-zhe CHEN Yuan-fang |
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| Institution: | LUO Si-zhe1,CHEN Yuan-fang2(1.College of Economics and Management,Hunan Normal University,Changsha,Hunan 410081,2.Library of Huzhou Normal College,Huzhou,Zhejiang 313000) |
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| Abstract: | In this paper,we analyze the price data from July 2008 to January 2009 of SHFE(Shanghai Futures Exchange) fuel oil futures market and Huangpu fuel oil spot market by using the method of GRANGER Causality Test.The results show that the relationship between fuel oil futures price and spot price is that futures price is the Granger cause of spot price,but spot price is not the Granger cause of futures price.Contrast to the previous related research of China's fuel oil futures market and the selected data in th... |
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| Keywords: | futures price spot price GRANGER causality test price rigidity |
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