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Investigating the price discovery and risk transfer functions in the crude oil and gasoline futures markets: Some empirical evidence

机译：调查原油和汽油期货市场中的价格发现和风险转移功能：一些经验证据

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摘要

This paper empirically investigates the functions of price discovery and risk transfer in crude oil and gasoline futures markets using some econometric models. And the results indicate that, first, 95.71% and 59.41% of the price discovery function is performed by futures in crude oil and gasoline markets respectively during the sample period, implying the greater contribution of the futures markets compared with that of the spot markets. Meanwhile, the gasoline futures price makes 85.71% contribution to price discovery in its interaction with crude oil futures price. Second, crude oil futures price performs the risk transfer function much better than gasoline futures price in interactions with their respective spot prices. And the risk transfer function between crude oil and gasoline futures markets is not well performed. Finally, the recent financial crisis has not significantly influenced the price discovery and risk transfer functions between crude oil and gasoline futures markets.
机译：本文使用一些计量经济学模型，对原油和汽油期货市场中价格发现和风险转移的功能进行了实证研究。结果表明，首先，在样本期内，原油和汽油市场的期货分别执行了价格发现功能的95.71％和59.41％，这意味着期货市场相对于现货市场的贡献更大。同时，汽油期货价格与原油期货价格的相互作用对价格发现的贡献率为85.71％。其次，原油期货价格在与它们各自的现货价格相互作用时，其风险转移功能要比汽油期货价格好得多。原油和汽油期货市场之间的风险转移功能执行不力。最后，最近的金融危机并未显着影响原油和汽油期货市场之间的价格发现和风险转移功能。

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  • 来源
    《Applied Energy》 |2013年第4期|220-228|共9页
  • 作者

    Yue-Jun Zhang; Zi-Yi Wang;

  • 作者单位

    School of Management and Economics, Beijing Institute of Technology, Beijing 100081, China Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing 100081, China;

    School of Management and Economics, Beijing Institute of Technology, Beijing 100081, China Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing 100081, China;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    crude oil market; gasoline market; price discovery; risk transfer;

    机译：原油市场;汽油市场;价格发现;风险转移;

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