摘要
金融市场由相对独立的各个子市场构成，期货市场（属衍生品市
场）即为其中之一，期货市场的典型特征主要表现在价格响应快、信
息反映强、交易便利等方面，其价格能够准确灵敏地反映相关信息，
期货市场由于其价格发现优势从而能够引领、引导现货市场价格。为
了更好的应对国内有关产业可能会受到原油价格变化而带来的风险，
保证我国石油安全，2018年3月，中国证监会在上海期货交易所成
功上线了原油期货。自原油期货开市以来，上海原油期货交易活动非
常频繁，很快上海原油期货已经成为全球第三大原油期货，前两位是
西德克萨斯原油期货和布伦特原油期货。在这样的大环境中，研究探
析上海原油期货市场的现状以及其运行效率和国际定价能力，对促进
上海原油期货市场稳定发展、国内投资者制定投资战略、经济主体管
理油价波动风险具有非常重要的意义。
本文首先论述了原油期货市场的背景、功能及现状，并对国内外
原油期货市场做了初步分析。其次，本文整理概括了期货市场的有效
性，其中包括了定价效率和信息效率两方面，并阐述了信息溢出关系
是怎样衡量其国际定价能力的，探讨和阐述了检验定价效率、信息效
率、国际定价能力的主要模型和方法，并运用协整检验、游程检验研
究分析了上海原油期货市场的定价效率、信息效率，使用以 CCF和
核函数为基础的 Hong法、DY模型研究检验布伦特原油期货市场、
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纽约原油期货市场、迪拜原油期货市场和上海原油期货市场四者之间
的信息溢出关系。
本文研究结论表明上海原油期货市场基本有效，然而它的国际定
价能力还比较局限。最后，为了更好的提高上海原油期货市场的市场
效率和国际定价能力，本文提出了一些具有针对性的建议。
关键词：市场有效性；国际定价能力；信息溢出；Hong方法；
DY模型
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ABSTRACT
Financial market is composed of relatively independent of the
market, the futures market (derivatives markets) is one of the
characteristics of the futures market is mainly manifested in prices fast
response, strong information reflects, business facilities, etc., the price
can be accurately sensitive reflect relevant information, the futures
market due to its advantages of price discovery to lead and guide the spot
market price. In order to better cope with the risk that the domestic
industry may be affected by the change of crude oil price and ensure the
safety of China's oil, the China Securities Regulatory Commission
(CSRC) successfully launched crude oil futures on the Shanghai Futures
Exchange in March 2018.Since the start of trading, there has been a surge
in activity on the Shanghai crude oil futures market, which has quickly
become the world's third largest oil futures market, behind West Texas
and Brent. In such a big environment, it is of great significance to study
and analyze the status quo of Shanghai crude oil futures market, its
operating efficiency and international pricing ability, which can promote
the stable development of Shanghai crude oil futures market, make
investment strategies for domestic investors, and manage the risk of oil
price fluctuation by economic subjects.
This paper firstly discusses the background, function and present
situation of crude oil futures market, and makes a preliminary analysis of
domestic and foreign crude oil futures market. Secondly, this paper
summarizes the efficiency of futures market, including pricing efficiency
and information efficiency, expounds how the information spillover
relationship measures its international pricing power, and discusses and
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