Study On Comparison Of Hedge Performance Of Fuel Oil Between Domestic And Abroad

Hedging is one of basic functions of futures market. Through futures contracts, hedgers can make risk management, decline or convert disadvantages price risk. It is hedging performance that reflects the efficiency of the futures market. As one of the oil products in China, the China's fuel oil futures market plays an important role in the national economy although it was born just for a short time. So it is necessary for us to analyze the efficiency of China's fuel oil futures market from the aspect of hedging performance. Meanwhile with the way of comparative analysis, research on different efficiency of the futures market between China, America and Singapore can offer empirical evidence for the government who can make policy for the futures market's standard development and for the enterprise and individual who can make tactics for hedging.In order to research hedge performance of Chinese, American and Singaporean fuel oil markets, this paper will select daily datas of futures and spot markets from l^st December,2005 to 31^st March,2008,28 months in total,and make use of ordinary least square, error correction mechanism and generalized autoregressive conditional three models and measurement index to empirically research the hedge ratio and performance of the three fuel oil futures markets. The main contents are as follows:First,we review the international development of hedge performance and summarize the main research aspets and conclucions.Taking the development of China's fuel oil market into consideration, we point out the necessity and importance of research on hedge performance at this time.Second, with the data concerning we do unit-root test and cointegration test, make use of OLS,ECM and GARCH to estimate the optimal hedge ratio and calculate the hedge performance. We learn the realization degrees of hedging in different markets.The main points are that:By using the three models, hedgers can all reduce the variance of return and avoid risk of the fluctuation of spot price to some extent, comparing with that on not hedging.The levels of hedge performance in Singapore,America and China are 98.867%,76.975% and 21.713% respectively. The results suggest that hedging function in China's fuel oil futures market have been realized, but still on a low level when compared with other two markets.Last,through analysis on Singaporean and Amecican markets,we find out the main reasons to impel the realization of hedge function and put forward some advice to improve the hedge performancein China,during which,the most important at present is to reform unreasonable pricing system.