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我国农产品期货市场运行绩效及提升策略研究

发布时间:2018-07-22 13:41
【摘要】:期货市场运行绩效是期货市场质量的反映,关系到期货市场功能能否充分发挥,关系到期货市场能否持续健康发展。特别是在当前我国农业经济结构深刻调整的时期,农产品期货市场良好的运行绩效能够有效化解我国农业经济发展过程中的风险,增加农业产业竞争力,有助于解决我国“三农”问题。我国农产品期货市场还处于发展的关键时期,因此,全面了解掌握其市场运行状况,明确存在的相关问题,对保障市场健康运行,进一步提升市场运行绩效,提升市场的竞争力和地位至关重要。 本文以我国农产品期货市场为研究对象,考察其产生和发展的历程,分析农产品期货市场对市场参与主体之一的涉农企业价值和业绩的影响,剖析其影响原因,通过横向比较、纵向对比和模型构建,从波动性、流动性和有效性三个视角全面、系统、深入研究我国农产品期货市场运行绩效。在对运行分析的基础上,结合典型案例分析,针对我国农产品期货市场运行的状况,从期货市场微观结构(市场参与主体、品种设计)、中观环境(交易成本、交易制度、交易方式)和宏观环境(现货市场、金融市场、宏观政策)系统提出我国农产品期货市场运行绩效的提升策略建议。主要研究工作及结论如下: (1)现阶段要大力提升农产品期货市场运行绩效,充分发挥农产品期货市场的基本功能,使农产品期货工具成为市场参与主体规避风险的主要工具。 运用panel模型对我国涉农上市公司使用期货工具的实证研究发现,是否使用农产品期货工具进行风险管理对企业价值和业绩没有明显影响,但对企业业绩的某一指标(如ROA)还是起到了一定的作用。实证分析还发现,在我国177家上市涉农企业中,最近几年利用期货工具进行风险管理的不到40家,远低于世界83.3%的平均水平。从动机理论来看,由于使用期货工具对我国涉农企业的价值和业绩影响还不显著,影响到了市场参与主体利用期货工具的积极性,导致市场参与主体的不足,影响了市场运行的绩效和功能发挥。 (2)从波动性看,我国部分农产品期货品种运行绩效有所提升,但是市场整体绩效还需加强。 通过进行系统性的横向比较分析,发现芝加哥期货交易所市场作为一个成熟的期货市场,在一定的波动幅度内,市场活跃度好,其运行比较少出现极端的波动性变差,市场运行是比较平稳的。而在我国农产品期货市场中,与芝加哥期货市场相同品种的小麦、白糖、棉花、大豆、豆粕、玉米和豆油期货品种的波动性之间不存在显著差异,但总体上我国农产品期货品种波动性之间存在极显著的差异,而且我国农产品期货市场各个品种的波动性明显弱于对应的在CBOT上运行的品种,说明我国农产品市场整体还不够成熟,活跃度有待提升。另外,我国农产品期货市场的波动还存在长记忆性、杠杆效应和到期效应,而且还受到部分宏观经济政策的影响。 (3)我国农产品期货市场流动性水平还是比较高,但是不够稳定。 通过对我国农产品期货市场与芝加哥期货市场之间的流动性进行横向比较分析发现,我国农产品期货市场流动性的水平还是比较高的。但是通过对我国农产品期货市场不同的发展阶段的流动性进行纵向分析发现,流动性也会出现波动状态,反映出我国农产品期货市场运行质量还不是很稳定。而我国农产品期货市场在价格上涨和下跌时流动性整体上不存在显著差异。另外,从交易量波动性的基础上分析市场流动性水平发现,芝加哥期货交易所小麦期货市场的日交易量变化对价格波动没有显著影响,表明芝加哥期货市场作为一个成熟的期货市场,其市场确实具备了非常好的市场流动性。而我国郑州商品交易所的白糖和大连商品交易所的豆粕的日交易量变化对期货市场价格的波动产生了一定的负面影响,这也表明我国期货市场运行绩效有待提升。 (4)农产品期货市场还不是弱式有效,但是部分品种的期货市场具有一定的价格发现功能,同品类期货品种之间具有较强波动溢出效应。 首先运用单位根检验、序列相关性检验和游程检验三种方法进行分析检验,三种检验的结果一致说明我国农产品期货市场的价格波动还不符合随机游走过程,农产品期货市场还没有达到弱式有效。其次,通过对小麦、白糖、棉花、早籼稻、大豆、豆粕和玉米7个品种分析发现,小麦、早籼稻、豆粕和玉米的期货市场价格与现货市场价格之间没有引导作用。而白糖和大豆期货价格变动对现货价格变动有显著的引导作用,是单向引导关系;棉花期货价格变动与现货价格变动有显著的相互引导作用,即双向引导关系,且棉花现货价格的影响力略大于棉花期货的影响力。最后,在以豆油、菜籽油和棕榈油三个油脂期货为例,对同品类期货波动溢出进行研究,豆油期货与菜籽油期货之间的波动溢出传导性较强;豆油期货与棕榈油期货两者对彼此都有较大的波动溢出效应;棕榈油期货与菜籽油期货之间存在显著的波动溢出效应。 (5)发展“期货农业”,培育期货市场参与主体、加强市场交易品种创新、完善交易所服务功能、通过提升期货市场运行绩效来提升竞争力。 基于对我国农产品期货市场运行绩效实证分析和对期货市场参与主体——涉农企业及宏观经济政策对期货市场运行的基础上,结合典型案例分析,从期货市场的需求方——参与主体、期货市场的供给方——期货交易所、需求方和供给方的中介以及宏观制度系统分析提出提升市期货场运行绩效的策略:大力发展“期货农业”,让农产品期货市场深入到农业生产的各个环节,并积极培育和壮大期货市场参与主体、加强市场交易品种创新、完善交易所服务功能、提升涉农期货公司竞争力、积极提供政策扶持和制度保障等。 主要创新点: (1)研究视角。首先,以往很少有研究从农产品期货市场参与主体角度分析期货市场的作用,本文以农产品期货市场参与主体之一的涉农企业为对象,深入分析是否使用期货工具对企业价值和业绩的影响,探讨农产品期货市场的运行绩效。其次,以往关于农产品期货市场运行绩效的研究针对某个或某几个具体品种研究多,而且针对市场运行绩效某一方面(波动性、流动性或有效性)的研究多,但就整个农产品期货市场运行绩效全面、系统的研究不多见,本文以我国农产品期货市场为研究对象,全面、系统、深入分析其运行绩效,为衡量我国农产品期货市场运行质量提供参考。再次,宏观经济政策对于期货市场的影响研究,以往主要从定性的角度分析,鲜有定量分析,本文通过选取宏观经济的财政政策指标和货币政策指标,构建模型,定量分析宏观经济对我国农产品期货市场的影响。最后,以往关于市场波动溢出的研究主要关注境内外市场的溢出效应和同一区域不同品种间的溢出效应,而针对同一区域内同类品种的波动溢出效应的研究还不多见,本文以我国的油脂类期货(豆油、菜籽油和棕榈油)为研究对象,探讨它们之间的波动溢出效应,为我国同类期货品种的上市运行提供参考。 (2)研究方法。本文围绕我国农产品期货市场运行绩效这一核心问题,在研究中采取统计分析方法、计量分析方法、案例分析方法,综合运用制度经济学理论、企业价值理论、动因理论、价格波动理论、流动性理论、市场有效性理论和金融市场微观结构理论形成整合的理论分析框架,这种跨学科、多元化的研究方法在以往期货研究中极为少见。
[Abstract]:The performance of the futures market is a reflection of the quality of the futures market. It is related to the full play of the function of the futures market and the healthy development of the futures market. Especially in the period of the profound adjustment of the current agricultural economic structure in China, the good performance of the agricultural futures market can effectively resolve the development of the agricultural economy in China. The risk in the process, increasing the competitiveness of the agricultural industry, will help to solve the "three rural" problems in China. The futures market of agricultural products in China is still in the key period of development. Therefore, we can fully understand and grasp the market operation situation, clear the existing problems, ensure the healthy transportation of the market, further improve the performance of the market, and improve the competition of the market. Power and position are of vital importance.
This paper, taking China's agricultural product futures market as the research object, examines the course of its production and development, analyzes the influence of the agricultural futures market on the value and performance of the agricultural enterprises involved in the main body of the market, analyzes the causes of its influence, through the horizontal comparison, vertical contrast and model construction, from the three perspectives of volatility, liquidity and effectiveness. On the basis of the analysis of the operation of China's agricultural products futures market, based on the analysis of the operation, the micro structure of the futures market (the main body of the market participation, the variety design), the medium environment (transaction cost, trading system, trading mode) and the macro environment on the basis of the analysis of the operation of the agricultural products futures market in China. The spot market, financial market and macro policy system put forward strategies for improving the performance of China's agricultural futures market. The main research work and conclusions are as follows:
(1) at the present stage, we should vigorously promote the performance of the futures market of agricultural products, give full play to the basic functions of the futures market of agricultural products, and make the futures tools of agricultural products the main tool to avoid the risk of the participants in the market.
The empirical study on the use of futures tools for listed agricultural companies in China by using panel model finds that the use of agricultural futures tools for risk management has no significant impact on the enterprise value and performance, but a certain index (such as ROA) for the performance of the enterprise has been given a certain amount of use. The empirical analysis also found that 177 listed in China are listed on the agriculture. In the enterprise, less than 40 risk management is carried out by futures tools in recent years, which is far below the average level of 83.3% in the world. From the theory of motivation, the impact of the use of futures tools on the value and performance of the agricultural enterprises in China is not significant, which affects the enthusiasm of the market participants to use the futures tools and lead to the market participants. The deficiency has affected the performance and function of market operation.
(2) from the perspective of volatility, the performance of some agricultural futures varieties in China has improved, but the overall market performance needs to be strengthened.
Through systematic comparative analysis, it is found that the Chicago futures exchange market, as a mature futures market, has good market activity within a certain range of volatility, and its operation is less extreme volatility, and the market operation is relatively stable. In China's agricultural futures market, Chicago futures market and futures market in China. There is no significant difference between the volatility of wheat, white sugar, cotton, soybean, soybean meal, corn and soybean oil futures in the same variety, but on the whole, there is a very significant difference between the volatility of our agricultural futures varieties, and the volatility of each product in the agricultural futures market of our country is obviously weaker than that of the corresponding products on the CBOT. It shows that the whole market of agricultural products in China is not mature enough and the activity needs to be promoted. In addition, the volatility of our agricultural futures market still has long memory, leveraged effect and maturity effect, and it is also influenced by some macroeconomic policies.
(3) the liquidity level of China's agricultural futures market is still relatively high, but it is not stable enough.
Through the analysis of the liquidity between China's agricultural futures market and the Chicago futures market, it is found that the liquidity of our agricultural futures market is still relatively high. However, through the longitudinal analysis of the liquidity in the different development stages of our agricultural futures market, the liquidity will also appear to be wave. The dynamic state shows that the operating quality of our agricultural futures market is not very stable. However, there is no significant difference in the overall liquidity of China's agricultural futures market when the price rises and falls. On the basis of the volatility of the trading volume, the market liquidity level is analyzed and the daily exchange of the wheat futures market on the Chicago futures exchange is found. The change of easy quantity has no significant influence on the price fluctuation. It shows that as a mature futures market, the Chicago futures market has a very good market liquidity, and the daily trading of the white sugar and the soybean meal of the Dalian Mercantile Exchange in China's Zhengzhou Mercantile Exchange has produced a certain fluctuation in the price fluctuation of the futures market. The negative impact also shows that the performance of China's futures market needs to be improved.
(4) the futures market of agricultural products is not weak and effective, but the futures market of some varieties has a certain price discovery function, and there is a strong volatility spillover effect between the varieties of futures and the varieties of futures.
First, the unit root test, sequence correlation test and travel test are used to analyze the three methods. The results of the three tests show that the price fluctuation of the agricultural futures market of our country does not conform to the random walk process, and the agricultural futures market has not yet reached the weak efficiency. Secondly, the wheat, white sugar, cotton, early indica rice, The analysis of 7 varieties of soybean, soybean meal and corn found that the futures market price of wheat, early indica rice, soybean meal and corn did not lead to the price of spot market. The change of white sugar and soybean futures prices has a significant guiding role on the change of spot price, which is a one-way guide; the fluctuation of cotton futures price and the change of spot price have the effect on the change of spot price. The significant mutual guidance, that is, the two-way guidance relationship, and the influence of cotton spot price is slightly greater than the influence of cotton futures. Finally, in the case of three oil futures of soybean oil, rapeseed oil and palm oil, the volatility spillover between soybean oil futures and rapeseed oil futures is stronger, and the volatility of soybean oil futures and rapeseed oil futures is stronger. Both oil futures and palm oil futures have greater volatility spillover effects on each other, and there is a significant volatility spillover effect between palm oil futures and rapeseed oil futures.
(5) to develop "futures agriculture", to cultivate the participants in the futures market, to strengthen the innovation of market trading varieties, to improve the service function of the exchange, and to improve the competitiveness of the futures market by improving the performance of the futures market.
Based on the empirical analysis of the operational performance of China's agricultural product futures market and the operation of the futures market participants, agricultural enterprises and macroeconomic policies on the futures market, the demand side and the supply side of the futures market, the suppliers and the supply side, the demand side and the supply of the futures market, are combined with the typical case analysis. The strategy of promoting the performance of the city futures market is put forward by the intermediary and the macro system system. We should vigorously develop "futures agriculture", let the agricultural futures market go deep into every link of the agricultural production, and actively cultivate and strengthen the participants in the futures market, strengthen the innovation of the market trade variety, improve the service function of the exchange, and promote the negotiation. Agricultural Futures Company competitiveness, and actively provide policy support and system protection.
The main innovation points:
(1) research angle of view. First of all, there are few previous studies to analyze the role of futures market from the perspective of the participants in the agricultural futures market. This paper takes the agricultural enterprises as one of the participants of the agricultural futures market as the object, and analyzes the effect of the use of futures tools on the enterprise value and performance, and discusses the operational performance of the futures market of agricultural products. Secondly, the previous research on the performance of the agricultural futures market has many studies on one or some specific varieties, and there are many studies on the performance of the market performance in one aspect (volatility, liquidity or effectiveness), but the overall performance of the agricultural futures market is comprehensive, and the systematic research is rare. This article is based on our agricultural products. The futures market is the research object, comprehensive, systematic and in-depth analysis of its operating performance to provide reference for measuring the running quality of China's agricultural product futures market. Thirdly, the study of the impact of macroeconomic policies on the futures market has been mainly analyzed from the qualitative perspective, and there are few quantitative analysis. This paper selects the financial policy indicators of macro economy. And a model of monetary policy to construct a model to quantitatively analyze the impact of macroeconomic on China's agricultural futures market. Finally, the previous research on market volatility spillover mainly focuses on the spillover effects of domestic and foreign markets and the spillover effects of different varieties in the same region, and studies on the volatility spillover effects of the same species in the same region. Not much, in this paper, the oil and oil futures in China (soybean oil, rapeseed oil and palm oil) are taken as the research object, and the volatility spillover effect between them is discussed, which will provide reference for the operation of the similar futures in China.
(2) research methods. This paper, focusing on the core problem of the performance of agricultural futures market in China, adopts statistical analysis method, econometric analysis method, case analysis method, comprehensive application of institutional economics theory, enterprise value theory, motivation theory, price wave theory, liquidity theory, market effectiveness theory and financial market. The microstructural theory forms an integrated theoretical analysis framework. This interdisciplinary and diversified research method is rarely seen in previous futures research.
【学位授予单位】:华中农业大学
【学位级别】:博士
【学位授予年份】:2013
【分类号】:F724.5

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