Quantitative Analysis Of The Oil Futures Market And Spot Oil Market

Taking the monthly data of spot and futures oil price from 1987 to 2005, weanalyze the relationship between spot market and future market of international crudeoil in two parts. In the first part, we use Engle-Granger Cointegration method andError Correction Model to study the long term relationship and short term relationshipbetween spot oil price and futures oil price. In the second part, we shed lights on theprediction of the volatile of futures market and spot market by using ARCH model,and on the relationship between the volatile of spot market and that of the futuremarket by using OLS. We can see from the two parts that no matter from long term orshort term and no matter in price or volatile, the future market of oil has greatinfluence on the spot oil market, and conducts the performance of spot oil market.Thus, we conclude that China should establish its own future oil market, manipulatethe pricing right of oil and change its situation from a receiver to a manipulator. In theend, we also give suggestion to enterprises on the method of using the volatile offuture oil market well.