本文利用三種計量模型分析英美兩國原油和天然氣市場間的訊息傳遞及價格的互動模式。為了避免非同步交易而產生的偏誤，因此本文採用兩套數據作為分析。在修正完非同步交易的問題後，共整合模型指出英美兩國的原油與天然氣均被共同基本面因子所牽引且具有長期的共整合關係。由Hasbrouck訊息比例模型可發現，原油較天然氣具有領導的地位，其中又以英國原油領導其他三者(包括美國原油期貨、英國天然氣期貨以及美國天然氣期貨)。此外在EGARCH模型中也不難看出英美兩國油氣間的互動關係極為密切，且波動外溢的不對稱效果指出英國原油期貨市場則存在與傳統股票市場相同之「槓桿效果」，亦即負衝擊造成的波動增加較正衝擊時為大。 This paper studies the international information transmission and market interactions in the U.S. and U.K. between crude oil markets and natural gas markets. Three well documented approaches are used to measure the relative importance on the process of price discovery under quadvariate system. To circumvent the effects of the nonsynchronous prices, we adopt two sets of data. After adjusting the effects of nonsynchronous trading prices, robust results indicate our system that includes crude oil futures prices and natural gas futures prices within the two countries are driven by one common factor. The Hasbrouck model indicates crude oil markets has price leadership than natural gas markets, and the U.K. crude oil futures market dominates as the center for price discovery. The EGARCH model also indicates crude oil markets and natural gas markets have close relationships, and volatility in the U.K. crude oil futures market increases with negative returns which is similar with the volatility changes in the stock market.
