上海LNG价格指数能否反映中国市场？ ——基于价格发现理论的计量经济学研究

Can the Shanghai LNG Price Index indicate Chinese market? An econometric investigation using price discovery theory

Abstract

China became the world’s second largest liquefied natural gas (LNG) importer in 2018 but has faced extremely high import costs due to a lack of bargaining power. Assessments of the Shanghai LNG Price Index, first released in 2015, are vital for improving the understanding of these cost dynamics. This paper, using the LNG price index data from the Shanghai Petroleum and Gas Exchange (SHPGX) coupled with domestic and international LNG prices from July 1, 2015 to December 31, 2018, estimates several econometric models to evaluate the long-term and short-term equilibriums of the Shanghai LNG Price Index, the responses to market information shocks and the leading or lagging relationships with LNG and alternative energy prices from other agencies. The results show that the LNG price index of the SHPGX has already exhibited a long-term equilibrium and short-term adjustment mechanisms to reflect the average price level and market movements, but the market information transparency and price discovery efficiency of the index are still inadequate. China’s LNG market is still relatively independent of other natural gas markets, and marketization reforms are under way in China. The influence of the SHPGX LNG price index on the trading decisions of market participants is expected to improve with further development of China’s LNG reforms, the formation of a natural gas entry-exit system, and the increasing liquidity of the hub.

Keywords

liquefied natural gas / price index / Shanghai Petroleum and Gas Exchange / price discovery / market reforms

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Acknowledgments

This work was financially supported by the Postdoctoral Science Foundation of China (Grant No. 2018M641289), the Science Foundation of China University of Petroleum Beijing (No. ZX20200109), and the China Scholarship Council.

版权

2020 Higher Education Press