我国农产品期货市场运行绩效及提升策略研究
[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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