This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimct...This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimction and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.展开更多
文摘This paper analyzes the role of price discovery of Shanghai fuel oil futures market by using methods, such as unit root test, co-integration test, error correction model, Granger causality test, impulse-response fimction and variance decomposition. The results showed that there exists a strong relationship between the spot price of Huangpu fuel oil spot market and the futures price of Shanghai fuel oil futures market. In addition, the Shanghai fuel oil futures market exhibits a highly effective price discovery function.
