中国石油期货市场的价格发现功能研究

摘要

As the basic function of futures market, price discovery is the premise of risk transfer and core indicator of the futures market efficiency. China’s oil futures currently consist of fuel oil futures and bitumen futures. China’s crude oil futures postponed being listed once and again. And natural gas futures are still at the discussion stage. From the perspective of price discovery, this paper suggests the spot price dominates both in China’s fuel oil and bitumen markets by Garbade-Silber model. Besides, fuel oil market has been extremely weak in liquidity. On the evaluation of market efficiency, proposals for the development of China’s crude oil futures market are offered.%价格发现作为期货市场的基本功能，是实现风险转移的前提，更是衡量期货市场效率的重要指标。中国石油期货品种目前只有燃料油和石油沥青，而原油期货的上市一推再推，天然气期货尚处于概念讨论阶段。本文从价格发现的视角，基于Garbade-Silber模型研究认为现货价格主导着中国燃料油和石油沥青市场的价格发现；并以流动性区间判定燃料油期货市场的活跃程度，显示自2011年后处于极度缺乏流动性的状态。在评价市场运行效率的基础上，为中国原油期货市场的建设发展提出措施建议。