Correlation Analysis between Domestic and Foreign Fuel Oil Prices
中国燃料油价格国际市场相关性的实证研究

After the establishment of the Shanghai fuel oil futures in China,the futures' price discovery functions have achieved a measure of success.Not only referring to the price of Singapore,but also referring to the world oil price,Shanghai Fuel oil market has reversed the tide that Singapore market had put a great deal of effect on the domestic fuel oil.Shanghai fuel oil price has been the result of Shanghai,Singapore and NYMEX.By adopting the "Cointegration Theory","Granger Causality Test" and "Vector Error Correction Model"-based on VAR,this article analyzed the correlation of domestic and foreign fuel oil markets before and after the establishment of the fuel oil futures in Shanghai from a multi-vector viewpoint,which could help to provide a theoretical support for avoidance of trading risks.The "Cointegration Equation" shows that after the establishment of the fuel oil futures in Shanghai,the influence of Singapore to domestic fuel oil market began to shrink considerably.The elastic coefficient of Singapore price to Shanghai fuel oil prices decreased from 0.68 which was before the establishment of the fuel oil futures to 0.57.At the same time,the NYMEX oil futures brought some impact on domestic fuel oil price,whose elastic coefficients was 0.22.But the effect of NYMEX oil futures on Shanghai futures oil market is much less than that of Singapore market.The result shows that after the establishment of the fuel oil,Shanghai's pricing system of fuel oil has improved a lot,but can't get rid of the effect of the international market.We must build up China's soft power and improve the price discovery system continuously.Only in this way,could China's market run independently.Finally this article set a VEC model based on the Shanghai futures oil price.With featuring desirable forecast accuracy and precision,this model can accurately forecast the daily and weekly fluctuations and trends of Shanghai future fuel oil prices,thus providing a reference for future domestic fuel oil trading.Especially for equivocation operations by the spot enterprises to avoid the production and trading risks which result from the vast fluctuations in the future fuel oil prices.Based on this model,China's enterprises can make a more effective combination of fuel oil futures and spot according to their funds and productions,which will be helpful to reduce the risks and unnecessary losses caused by price fluctuations.