主 题：Revisiting the relationship betweenspot and futures oil prices: Evidence from quantile cointegrating regression
主讲人：台湾中山大学财务管理学系系主任李建强 教授
主持人：工商管理学院产业经济学研究所邱奕宾 副教授
时 间：2015年7月6日（周一）上午 10：00-11：30
地 点：柳林校区 通博楼 A209 会议室
主办单位：工商管理学院 科研处
主讲人简介：
李建强教授为台湾中山大学财务管理学系主任。主要从事宏观经济、金融市场与机构、国际金融、能源经济等研究。并担任国际期刊EnergyEconomics (SSCI)、InternationalEconomics and Finance Journal、Journal of Accounting, Finance and Economics的副主编和Reports onEconomics and Finance、Businessand Economics Journal 的编辑委员，以及担任台湾期刊“管理学报”、“应用经济论丛”的执行编辑和“农业经济丛刊”的编辑委员。李教授有相当杰出的科研成果，目前已在国际著名期刊发表上发表学术科研论文100余篇；其中包括SSCI论文约100篇。
内容摘要：
Since most real decisions dependupon current market states or whether it is advantageous to the participants themselves, this paper revisits the relationship between spot and futuresoil prices of West Texas Intermediate covering 1986 to 2009 with aninnovative approach named quantile cointegration. Different to previous perspectives, we target the issues of cointegrating relationships,causalities, and market efficiency based on differentmarket states under different maturities of oil futures. In our empiricalanalysis, except for market efficiency, long-runcointegrating relationships and causalities between spot and futures oil priceshave significant differentials among futures maturitiesand the performances of spot oil markets. Furthermore, the response of spot prices to shocks in 1-month futures oil prices is muchsteeper in high spot prices than in low spotprices. This phenomenon is consistent with the prospect theory (Kahneman andTversky, 1979), in that the value function is generallysteeper for losses than for gains.
