石油期貨與石油ＥＴＦ價格發現能力之比較

Abstract

本研究使用每五分鐘之日內資料，探討次級房貸前，對於CL石油期貨和USO石油基金間是否存在共整合關係，並利用向量誤差修正模型分析兩資產間長期均衡與短期變數關係，進而利用訊息比例模型分析並判斷兩資產間之價格發現效率性，並藉由此模型解釋兩市場在價格發現上的主導地位強弱關係。

This study uses five minute intraday-day data and finds the cointegration relationship existed between Light, Sweet Crude Oil futures and United States Oil Fund. Vector error correction model was used to analyze two assets relationship between the long term equipment and short term variable. Information share model was used to analyze and judge that the efficiency of price discovery. This model explains the dominant position relationship between the strong and weak in two markets.