An Empirical Research On The Performance Of Domestic Fuel Oil Future Market Based On Comparison

With China's sustained and rapid economic growth, the demand for energy, especially for petroleum products, is increasing dramatically. Although China consumes a huge quantity every year, it still makes little voice on pricing. This brings great difficulties for relative enterprises on avoiding price risk. It can also be a substantial thread for the contrary security. The oil fuel futures contract has been listed in SHFE for nearly 6 years. The performance of this market is concerned by many researchers. Does it influence the domestic spot market significantly? Is it effective in hedging?This article is focus on the price influence on domestic fuel oil spot market from both Shanghai future market and Singapore fuel oil market. After testing and verifying the cointegration relationship among the price of the above three markets, a VEC model has been set. Based on the model, the impact, which is from Shanghai and Singapore market, on the price of domestic fuel oil spot market in the long and short term is given by using Granger Causality Test, Impulse Response Function and Variance decomposition. The results illustrate that comparing with Singapore market, Shanghai fuel oil future market plays the leading role on price discover of the domestic spot market. However Singapore market still makes considerable influence especially in the short term. The hedging performance has also been tested, that the SHFE is superior when against domestic fuel spot market. But the fuel futures of SHFE cannot make a significant influence on the import and export price.