Research On Shanghai Fuel Oil Futures Market

The futures market is an important component of the capital market. The participants trade in this market to evade risk by hedging. The futures price can reflect the price in actual market on certain base and can influence the trend of actual market.Oil is important strategic materials and safety dependence of a country. It is also a critical factor which influences economy, political, military and diplomacy of the country. In latest years, huge consume of oil has made China become the second oil consuming country in the world. We have to import a great deal of crude oil and oil production. Because of the lack of hedging product and market we suffered huge economic lost. For evading risk and protecting oil safety, the fuel futures contract was authorized by China Securities Regulatory Commission and went to the market in August 2004.For obtaining the price making right in international oil market, it is necessary to deeply research the latest situation of Shanghai fuel oil futures market, especially to test the efficiency of the futures market. Because obtaining the price making right is on base of the efficiency of the market.In this paper, first, it briefly introduces the function of oil futures market which stands for it of fuel oil futures market. Then it summarizes fuel market of our country to describe the background when fuel oil futures went to the market and the objective of it. Next it generalizes the methods and models which are used to test the efficiency of futures market, and does the test using latest data of Shanghai fuel oil futures market. The result is that Shanghai fuel oil futures market is not efficient. At last, it analysis the reason of the result and provides some proposals to solute the problems. At the same time it takes Enron as an example to describe the negative influence of oil futures with the hope of finding balance way in the future.