A Study On The Efficiency Of China Fuel Oil Futures Market

Oil is an important natural resource, which plays an important role in the modern economic and social development. Oil as a commodity traded in the market, formed two markets:the spot market and the future market. In the international market, the there are several major future markets:the New York Mercantile Exchange, the London International Petroleum Exchange and the Tokyo Commodity Exchange. These three fuel exchange future markets are all developed. Their market maturity is higher. The correlation degree between futures prices and spot prices are also more obvious and strong. And their futures price mechanism is relatively perfect. As the level of development of oil futures markets is often associated with the pricing of fuel, so that several major oil future markets have a more significant impact on the oil spot price. In contrast, the Chinese oil futures market started late. But until now, in China, Shanghai fuel oil futures market has been established for nearly 10 years. During this period, Shanghai fuel oil futures market matures, the role of futures prices playing in guiding the spot price has gradually improved.In this paper, we studied Shanghai fuel oil futures market. The effectiveness of Shanghai fuel oil futures markets was mainly analyzed. First, we use the closing price each day from August 25,2004 to February 28,2014 in Shanghai fuel oil futures to examine the movement of the yield of Shanghai fuel oil futures price index. The results showed that the sensitivity of the yield Shanghai fuel oil futures price index to the market reaction is not very high, but the fluctuation could last a long time. Then, we use the Shanghai fuel oil futures price index and the spot price of fuel Platts Singapore index to analyze the effectiveness of Shanghai fuel oil futures market. Our approach is mainly Granger causality test method. The results show that Shanghai Futures prices are not caused by Platts fuel oil spot prices in Singapore, but Singapore Platts spot price can lead to Shanghai fuel oil futures prices, which showed that the effectiveness of Shanghai fuel oil futures market is not strong.