國際原油及油品市場交易的計價多數以普氏能源機構所報導之價格作為指標，該機構每日報導價參考普氏交易平台的現貨買賣價格資訊、衍生性商品交易之報價，和蒐集市場資訊決定，並於當日公布各指標油品的價格，作為國際交易的計價基準。由於普氏評價機制並不像期貨市場交易簡單透明且流動性高，價格有時易受單一交易商操作而呈現較大幅之上漲或下跌。因此本研究擬了解交易商在普氏交易平台大量買進或賣出時，與價格變化的關係，進而尋求油公司或航空公司等終端消費者較佳之避險時機與工具。研究從普氏交易平台的評價機制著手，由柴油與航煤近10年歷史交易數量和現貨與紙貨價格，以歸納和統計的方法研究交易商操作獲利模式，且找出價格規律性推論直接避險與交叉避險的有效性，並以航煤與柴油的實際價格驗證文獻的風險收益指標。
風險管理的概念已從過去單純為降低風險，轉變成作為追求更佳財務表現的方法，企業可利用專業判斷決定或隨時調整避險的比例，進行所謂選擇性避險或動態避險，達到較佳的避險效益。本研究發現交易商大量交易時確實會影響航煤與柴油的價差走勢，並可利用槓桿交易在其他紙貨或實貨得到豐厚的收益。油公司與航空公司亦可藉由航煤與柴油規律的價差走勢，配合價差乖離的情況，進行交叉避險，以達到較佳的避險效益。另Charles T. Howard與 Louis J. D’Antonio兩位學者提出風險收益指標可以期貨承擔風險相對於現貨帶來的額外收益，和期貨與現貨相關性估算而得，並由風險收益值與相關係數判定期貨與現貨應該反向或同向操作，為此方法並不適用於避險交易，而是提供進行投機交易時，實貨與紙貨部位方向之參考。避險交易實貨與期貨的交易方向必須相反，兩者損益始可沖抵以規避風險。

The crude oil and petroleum products pricing for international trading is based on benchmark oil prices assessed by Platts Energy, a price reporting agency. Platts provides an assessment of the value of various refined oil products by collecting bid, offer and deal details through Platts window. Since it is not as transparent and liquid as trades in futures market, Platts assessment is easier to be influenced by large trade volume. Oil companies or petroleum product consumers can follow the price fluctuation to do selective or cross hedging. This study takes statistical approach to show the leveraged profit of single trading company in Platts window from the past data, and try to find out price regularity to evaluate the hedge effectiveness of cross hedging and to prove the theory issued by Professor Howard and D’Antonio.
The modern concept of risk management has evolved from simple risk reduction to pursuing better financial performance. A company can do the so-called selective hedge or dynamic hedge by different hedge ratio from its market view. In this study, the finding is that spread of Asian kerosene jet fuel and gasoil price, the regrade, can be influenced by large trading quantity from single company in Platts window. In turn, the assessed price can be leveraged to a larger profit in other physical or paper positions. The past 10-year regrade showed a regular pattern which oil companies or oil product consumers, such as airlines, can hedge effectively with better performance by taking advantage of the variation. In the paper by Charles T. Howard and Louis J. D’Antonio, a derived mathematical model of hedge effectiveness shows the possibility of more profit by using the futures position while carrying the same risk. A set of parameters is also offered for trader to easily judge if long or short position should be taken, and how effective the profit will be. However, the measure is solely for speculation deals. For hedging purpose, paper positions must be opposite to physical positions for risk reduction.

第一章 緒論 1
第一節 研究動機 1
第二節 研究背景 2
第三節 研究問題 3
第四節 研究範圍 5
第二章 文獻探討 8
第一節 普氏交易平台 8
第二節 基差風險 11
第三節 避險效益 13
第四節 選擇性與動態避險 22
第五節 普氏報導的公正性 34
第三章 研究設計 38
第一節 研究架構 38
第二節 研究方法 38
第三節 資料分析 39
第四節 選擇性避險效益研究 46
第五節 避險效益的風險收益指標 51
第四章 研究發現 59
第一節 研究限制與假設 59
第二節 市場的主要交易者 59
第三節 主要交易者與價格波動的關聯性 59
第四節 利用普氏平台交易獲利模式 60
第五節 價格乖離與避險時機 61
第六節 文獻模型強化推論 63
第五章 結論與建議 65
第一節 交易商槓桿紙貨交易多以價差為主 65
第二節 航空公司可以柴油作為航煤成本交叉避險之工具 65
第三節 避險交易實貨與紙貨交易方向必須相反 66
第四節 Howard與 D'Antonio風險效益指標不適用於避險交易 66
第五節 普氏評價機制易受操作影響 67
參考文獻 68

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