The Empirical Research On The Price Discovery Function Of China's Petroleum Futures Market

According to the promises of acceding to the WTO, the opening of Sinic petroleum market and financial market has been some time, to a certain extent, the operation of the market mechanism has been improved on, but its core mechanism that is the price mechanism has not been fundamentally ameliorated. Sinic petroleum security has essentially transformed into"Trade–Finance"pattern. Petroleum market finance's development has become the key to Sinic current reformation of petroleum market. The absence of developed petroleum futures market has a serious impact on the role of the market price mechanism and it has hampered Sinic petroleum market finance's development. On August 25, 2004, the launch of the Shanghai fuel oil futures was a landmark in the process of Sinic petroleum market finance's development. Consulting the experience from the overseas mature markets, improving the price discovery function of Sinic petroleum futures market as soon as possible to reflect the supply-demand relations of the domestic petroleum market, and then form a reasonable market-oriented petroleum price mechanism, it play an important role in the development of petroleum market finance and the continuable development of the petroleum industry and the national petroleum security.In this paper, based on the petroleum market finance trend and the normative analysis of the effect mechanism of the main influencing factor of the price discovery function of the petroleum futures market, exploring the effect mechanism of the main influencing factor of the price discovery function of the Sinic petroleum futures market and the shortage and the reasons, thus has the conclusion that the price discovery function of the Sinic petroleum futures market works but is unperfect, it provide an academic analytical framework to improve the price discovery function of the Sinic petroleum futures market. Then, through building a vector autoregressive (VAR) model, using HS integration test, Granger causality test and impulse response function and other methods to study how the domestic spot market's supply-demand relationship, external prices and the fluctuation of capital market's fund influence the price of fuel oil futures. The comparative analysis and the econometric empirical analysis of the data have proved the qualitative conclusions. Finally, on how to improve the price discovery function of the Sinic petroleum futures market, it proposes some advice such as the reformation of the government regulation and the amelioration of the petroleum futures market's transaction mechanism and the betterment of the finance system where the capital market as the main factor etc. These policy recommendations aim at exert the petroleum financial system's resource allocation function and strengthen the "Right to Speak" on international petroleum finance market, so as to protect the stable operation of the national economy.