중국 중유 선물시장의 효율성 분석

Efficiency Analysis of China s Fuel Oil Futures Market

China, the world s No. 2 oil consumer, rolled out fuel oil futures on August 25, 2004. While Chinese fuel oil market has not been sufficiently competitive yet, the existence of fuel oil futures is expected to make it much more competitive by providing price indicator other than spot market price. This paper examines efficiency of the Chinese fuel oil market using data from Shanghai Futures Exchange (SHFE) fuel oil futures closing prices and Singapore 180-CST fuel oil spot prices by making use of Johansen Cointegration Procedure and Error Correction Model. The test results show that the Chinese fuel oil market is efficient.