中国农产品期货市场效率研究

发布时间：2018-03-11 21:11

本文选题：效率　切入点：农产品期货市场　出处：《陕西师范大学》2010年硕士论文　论文类型：学位论文

【摘要】：近年来,随着我国加入WTO,不断增长的贸易竞争和摩擦对我国经济发展形成较大的冲击。作为一个农业大国,农业经济的发展一直是我国经济发展的重中之重,农产品价格越来越多的受到国际农产品价格波动的影响,造成我国农产品市场供求失真,这无疑对我国农业经济发展有较大的负面作用。中国作为一个农业大国,农业经济发展在我国经济发展中占有举足轻重的地位。农产品期货市场的发展、完善对于农业经济发展有着重要影响,建立高效运行的农产品期货市场将大大增加我国农业经济的竞争力。研究表明,农产品期货市场是农业经济健康发展的必要保障,完善有效的农产品期货市场不但有助于农业生产发现价格、规避风险,更能从宏观上提供信息传导功能,为我国制定农业政策提供帮助。有益于我国建设现代化农业,提高农民生活水平,完成农业结构现代化调整。基于上述原因,本文以“中国农产品期货市场效率研究”为题,通过理论分析和实证分析相结合的方法,寻求影响我国农产品期货市场效率的主要因素,并回答市场运行是否有效。在此基础上提出农产品期货市场的改进措施和发展策略。本文立足于有效市场假说,运用数理统计和计量经济学的有关方法对农产品期货市场中,单一产品的市场价格发现效率以及整个农产品期货市场的市场效率进行实证研究。以此来揭示我国农产品期货市场的发展状况,并借鉴发达国家农产品期货市场发展的经验,提出提高我国农产品期货市场效率的建议。首先,回顾了国内外学者对期货市场效率研究的理论和方法。基于有效市场假说,国内外学者通过计量分析和投资组合理论分析,实证研究了国内外期货市场价格发现效率和整体运行效率。研究结果表明：西方发达国家的农产品期货市场是常常有效的,只有偶尔出现价格失真的情况；我国农产品期货市场由于其起步较晚,发展时间较短,期货价格曾一度不能传导真实价格信息。然后在文献分析的基础上提出了理论分析我国农产品期货市场效率的方法,从期货市场因素和现货市场因素分析了其如何影响我国农产品期货市场效率。为后面数理分析、计量分析,以及政策建议提供了研究思路和方法。接下来,文章基于马可维茨投资组合理论从宏观层面上对我国农产品期货市场效率进行了分析,并实证分析了影响效率发挥的主要因素因素,另外文章由有效市场假说出发,通过协整理论,从微观层面上对农产品期货市场定价效率进行了实证研究。研究发现,我国现货市场的发展状况和国外期货市场价格波动是影响我国农产品期货市场效率的主要因素。最后,针对前面实证分析的结果,从发展完善现货市场、建立完全竞争现货市场、在国际化竞争中掌握定价权的角度提出了改进我国期货市场运行效率的政策建议和发展策略。
[Abstract]:In recent years, with China's entry into WTO, the increasing trade competition and friction have a great impact on the economic development of our country. As a large agricultural country, the development of agricultural economy has always been the most important part of the economic development of our country. The price of agricultural products is more and more affected by the fluctuation of international agricultural products prices, resulting in the distortion of supply and demand in the agricultural products market of our country, which undoubtedly has a great negative effect on the development of our agricultural economy. China is a large agricultural country. Agricultural economic development plays an important role in the economic development of our country. The development of futures market of agricultural products has an important influence on the development of agricultural economy. The establishment of an efficient agricultural futures market will greatly increase the competitiveness of our agricultural economy. The research shows that the agricultural product futures market is the necessary guarantee for the healthy development of the agricultural economy. Perfecting the effective agricultural product futures market is not only helpful for agricultural production to find the price, avoid the risk, but also provide the information transmission function from the macroscopic view. It is beneficial to the construction of modern agriculture, the improvement of farmers' living standard and the adjustment of agricultural structure modernization. Based on the above reasons, this paper focuses on the research on the efficiency of China's agricultural products futures market. Through the combination of theoretical analysis and empirical analysis, this paper seeks for the main factors that affect the efficiency of China's agricultural product futures market, and answers whether the market is effective or not. On this basis, the improvement measures and development strategies of the agricultural product futures market are put forward. Based on the efficient market hypothesis, this paper applies mathematical statistics and econometric methods to the agricultural products futures market. The market price discovery efficiency of a single product and the market efficiency of the whole agricultural product futures market are empirically studied in order to reveal the development of the agricultural product futures market in China, and to draw lessons from the experience of the development of the agricultural product futures market in the developed countries. Some suggestions are put forward to improve the efficiency of China's agricultural futures market. Firstly, it reviews the theories and methods of the research on the efficiency of futures market. Based on the efficient market hypothesis, domestic and foreign scholars analyze the futures market efficiency by econometric analysis and portfolio theory analysis. Empirical study on the efficiency of price discovery and overall operation of futures markets at home and abroad. The results show that the futures markets of agricultural products in western developed countries are often effective, only occasional price distortion; Because of its late start and short development time, the futures market of our country once could not transmit the real price information. Then, on the basis of literature analysis, the paper puts forward a method to analyze the efficiency of China's agricultural product futures market theoretically, and analyzes how it affects the efficiency of China's agricultural product futures market from the perspective of futures market factors and spot market factors. Quantitative analysis, as well as policy recommendations, provide research ideas and methods. Then, based on Ma Ke's portfolio theory, the paper analyzes the efficiency of China's agricultural products futures market from the macro level, and empirically analyzes the main factors that affect the efficiency. In addition, the article starts from the efficient market hypothesis. Based on the co-integration theory, this paper makes an empirical study on pricing efficiency of agricultural products futures market at the micro level. The development of China's spot market and the price fluctuation of foreign futures market are the main factors affecting the efficiency of China's agricultural product futures market. Finally, according to the results of the previous empirical analysis, from the development and improvement of the spot market, the establishment of a fully competitive spot market, In the view of holding pricing power in the international competition, this paper puts forward some policy suggestions and development strategies to improve the operation efficiency of China's futures market.
【学位授予单位】：陕西师范大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F724.5;F224

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