布崙特原油期貨與現貨價格領先落後關係及其波動性外溢效果之研究

A Study on the Return and Volatility Dynamic Relationship between Brent Crude oil Futures and Spot Markets

謝申章(Shen-Jang Shieh)

《石油季刊》 39卷2期 (2003/06) Pp. 9-18

https://doi.org/10.30128/JP.200306.0002

摘要

本研究利用1994年11月1日至2002年5月31日期間，倫敦國際石油交易所（International Petroleum Exchange, IPE）布崙特（Brent）原油期貨與其標的現貨價格共計1,869日資料。在考慮市場波動性外溢效果之前題下，於原油現貨與期貨市場價格數列之間，配適雙變量指數一般化自我迴歸變異數模型（BIEGARCH），包括平均數方程式與變異數方程式，以探討原油期貨與現貨價格領先落後關係及其波動性外溢效果。　
以ADF單根檢定結果發現現貨與期貨價格均為非恆定數列，經過取對數並以一次差分後之現貨與期貨價格數列則為恆定數列，且均為常態分配，同時亦存在線性跨時相依性。由BIEGARCH實證結果可以歸納出下列結論。在原油現貨與期貨價格領先落後關係方面，發現前一期現貨之價格變動會影響當期現貨與期貨之價格變動、前一期期貨之價格變動也會影響當期現貨與期貨之價變動；在價格波動性外溢效果部分，發現除了前一期期貨價格變動衝擊會影響當期現貨價格波動性之外，其餘現貨與期貨價之衝擊及波動性之間的關聯效果則均不顯著。

關鍵字

原油期貨 ； 領先落後關係 ； 波動性外溢

並列摘要

To capture the lead-Lag relationship and volatility spillovers between crude oil spot and futures markets on Brent, A bivariate EGARCH model was applied. The augmented Dickey-Fuller test revealed that the price series of both spot and futures Brent crude oil markets were found to be non-stationary with unit roots. After transformed, the differences of log price series of both spot and futures Brent crude oil markets were found to be stationary. The latter series were adopted for further investigation and statistic analysis. This study found that there was a GARCH process in volatility behavior between Brent crude oil spot and futures markets, and the price change of spot and futures can be predicted by the price change of past spot and futures. In addition, the volatility of futures price change can only be influenced by past impact of futures price change.

並列關鍵字

Crude oil futures ； Lead-lag relationship ； Volatility spillover