The pricing efficiency of crude oil futures in the Shanghai International Exchange

被引：52

作者：

Yang Chen ^{[1
]}

Lv Fei ^{[1
]}

Fang Libing ^{[1
]}

Shang Xingxing ^{[1
]}

机构：

[1] Nanjing Univ, Sch Management & Engn, 22 Hankou Rd, Nanjing 210093, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2020年 / 36卷

基金：

中国国家自然科学基金;

关键词：

Pricing efficiency; Crude oil market; Granger causality; Cointegration; COMMODITY FUTURES; ASIAN PREMIUM; MARKETS; SPOT; DISCOVERY; PRICES; TESTS; WTI; COINTEGRATION; MODELS;

D O I：

10.1016/j.frl.2019.101329

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the pricing efficiency of the newly emerged crude oil futures market of the Shanghai International Exchange (INE) from the perspective of cointegration and Granger causality between the returns on INE crude oil futures and some representative spot markets. With a limited sample period, we employ a series of robust statistics and find that the INE crude oil futures' returns have an equilibrium relationship with the spot returns on the Daqing, Shengli, Oman, WTI, and Brent spot markets. Both imply that the INE crude oil futures price can reflect the fundamental information of spot markets effectively. The evidence of Granger causality is mixed but supports the efficiency of the INE in the Asia-Pacific region.

引用

页数：8

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