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本文利用ADF单整检验、EG协整检验、误差修正模型、引导关系检验等方法研究中美燃料油期货价格之间的互动关系,结果表明:我国燃料油期货在价格和价格收益方面均与国际燃料油市场存在明显的即时引导关系;国际燃料油期货市场上的价格变动对国内燃料油期货价格以及价格收益的变动具有单向的滞后引导作用;我国燃料油期货市场的价格和收益方面的信息对于国际市场几乎不产生影响,我国尚不具备制定价格的话语权。
In this paper, the interaction between fuel oil futures prices in China and the United States is studied by means of ADF integral test, EG cointegration test, error correction model and bootstrap test. The results show that both the price and the price return of fuel oil futures in China are in line with international Fuel oil market there is a clear immediate guidance; the international fuel oil futures market price fluctuations on the domestic fuel oil futures prices and the return of one-way lagging guidance; China’s fuel oil futures market price and earnings information For the international market has almost no impact, our country still does not have the right to develop the price of the speech.