Empirical Study of the Price Volatility of Domestic and International Oil Futures

Abstract

The volatility of oil futures price is a subject which has been studied extensively by researchers. In this thesis, time series of closing price of thirty three oil futures contracts are selected, such as 180CST fuel oil futures contracts between March 2008 to April 2009, New York NYMEX's WTI crude oil futures contracts and BRENT crude oil futures contracts of London ICE. The volatility of oil futures price among Shanghai, New York and London are researched, they all possess the features of fat-tail distribution and maturity effects. However, the efficiency of the fuel oil futures market in Shanghai is significantly lower than that in New York and London. The underlying reason is that China's futures market is not opened up.