Empirical Study Based On The Relationship Of Futures Prices And Spot Prices Of WTI

Long-run equilibrium equation and short-run error correction model are built on the basis of ADF unit root test,co-integration test for the futures prices and spot prices' data series of international crude oil WTI.The result shows that although the futures prices and spot prices of WTI have short-run dynamic differentia because of particular influential factors,in the long run,there is equilibrium relationship between futures prices and spot prices,and futures prices are regressed to spot prices.So studying the dynamic relationship between futures prices and spot prices is propitious to hold the changes and bring into play the effects of the two in commodity market and money market.This can help investors find out the running efficiency of futures market,set investing strategy,at the same time,it can help regulate and perfect futures market.The whole thesis falls into five chapters:Chapter 1 acts as the general introduction to the background,significance,aim,conte nt and current situation in the study of futures market.Chapter 2 states the engendering,development,current situation,business traits and function,and price generative mechanism of futures.Chapter 3 gives the basic theory,analyzing method and testing mathematics model in this paper.Chapter 4 choices the futures prices and spot prices series of WTI from September lst,2004 to December,12th,2006.By ADF unit root test,we can find futures prices series and spot prices series are incointegrated,but {D(F_t))å'Œ{D(P_t)} are cointegrated.Then we can conclude that futures prices is Granger reason of spot prices,but spot prices isnot Granger reason of futures prices by Granger test model.Chapter 5 makes comments about futures prices and spot prices.