基于广义谱的石油市场弱式有效检验

中国管理科学 ›› 2009, Vol. 17 ›› Issue (6): 51-56.

基于广义谱的石油市场弱式有效检验

吕文栋¹, 潘慧峰²

1. 对外经济贸易大学国际商学院, 北京 100029;
2. 对外经济贸易大学金融学院, 北京 100029

收稿日期:2009-02-10 修回日期:2009-09-20 出版日期:2009-12-30 发布日期:2009-12-30
作者简介:吕文栋(1967- ), 男(汉族), 山东人, 对外经贸大学国际商学院教授, 博士生导师, 研究方向:风险管理.
基金资助:
国家自然科学基金资助项目(70871023)

Weak Form Market Efficiency Test of Oil Markets Based on Generalized Spectrum Method

LV Wen-dong¹, PAN Hui-feng²

1. School of Business, University of International Business and Economics, Beijing 100029, China;
2. School of Banking and Finance, University of International Business and Economics, Beijing 100029, China

Received:2009-02-10 Revised:2009-09-20 Online:2009-12-30 Published:2009-12-30

摘要/Abstract

摘要： 对市场有效性的认识在市场分析中处于基础地位,石油市场有效性检验不仅可以为油价预测提供理论上的支持,也为比较不同石油市场的信息效率提供了依据.本文采用2001年1月到2008年7月的日度数据,运用广义谱方法检验了世界主要石油市场的弱式有效市场假说,这种方法考虑了高频时间序列的特征事实,可以检测出序列存在的线性和非线性序列依赖,允许存在未知形式的条件异方差,并且可以检验所有的滞后阶数.检验结果表明,欧美石油市场达到了弱式有效,OPEC和国内石油市场尚未达到弱式有效.文章从市场的交易制度、市场参与者结构分析了成因.

关键词: 石油市场, 弱式有效, 广义谱

Abstract: Understanding of market efficiency is the cornerstone of market analysis.Oil market efficiency test can not only provide the theoretical foundation for oil price forecast but offer evidence of comparing the information efficiency of different markets.The generalized spectrum method is applied on the daily data from January 2001 to July 2008 to test the weak form efficiency of main crude oil markets in the world Allowing for the stylized facts of high frequency data, this method can capture linear and nonlinear serial dependence while being robust to unknown form of conditional heteroskedasticity and checking all the lags.The results indicate that WTI of US and Brent of Europe have reached weak form efficiency, however, OPEC's and China's oil markets do not.The main cause is analyzedfrom the angles of market trading systerns and market participants structure.

Key words: oil markets, weak form efficiency, generalized spectrum

中图分类号:

F224.0

吕文栋, 潘慧峰. 基于广义谱的石油市场弱式有效检验[J]. 中国管理科学, 2009, 17(6): 51-56.

LV Wen-dong, PAN Hui-feng. Weak Form Market Efficiency Test of Oil Markets Based on Generalized Spectrum Method[J]. Chinese Journal of Management Science, 2009, 17(6): 51-56.

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