Empirical Research Of The Forming Mechanism Of The Forward Price Of Fuel In SHFE

The paper attempts to study the forming mechanism of the forward price of fuel in SHFE through empirical research, and analyzes the major factors by establishing multiple linear regression model, then carries on the contrast analysis to the major factors, and investigates the price formation mechanism by carrying on correlation and the granger casuality analysis, finally forecasts the closing price of fuel in Shanghai futures exchange by utilizing the short-term dynamic equalization model.Through the analysis of the basic situation of fuel futures and spot goods in SHFE, the paper discusses the price formation mechanism of the forward price of fuel in SHFE, and thinks that the forward price of fuel in SHFE is mainly influenced by the supply-demand relations, the crude oil price trend as well as the future stocks and position and so on. In this foundation, the paper further utilized the simple linear regression analysis and the casuality analysis studies the forward price discovery function of fuel in SHFE, meanwhile selects nine variables with emphasis including the Brandt crude oil forward price, the NYMEX crude oil forward price, the Singapore bunker oil spot price, the Chinese bunker oil spot price and the Chinese bunker oil reserve and so on, utilizes the method of multiple linear regression to establish and improve SHFE forward price formation model.For quantifying the influence of above variables on forward price formation in SHFE, the paper first carries on the analysis to the correlation table of the initial multiple linear regression model, confirming the influence of American crude oil storage on forward price and spot price of majority main transaction varieties of crude oil and fuel in the world, and the correlation between the fuel storage in Shanghai and the forward and spot price of the world each main crude oil and fuel. Then, the paper has carried on the casuality analysis to the improvement multiple linear regression model, and has mainly analyzed the relationship between fuel storage and the forward price in China and America. As a result, the spot price of Chinese and Singapore fuel has the quite obvious guidance to the forward price of fuel in Shanghai. The forward price of crude oil in Brunt has the extremely obvious guidance function to the spot price of fuel in South China and Singapore and the forward price of fuel in Shanghai. The forward price of crude oil in New York has the extremely obvious guidance function to the spot price of fuel in South China and Singapore, the forward price of crude oil in Brunt and the forward price of fuel in Shanghai. The spot price of fuel in...