我国白糖期货市场基本功能和相关事件冲击的检验

发布时间：2018-03-09 04:33

本文选题：白糖期货　切入点：价格发现　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：郑州商品交易所的白糖期货于2006年1月6日起上市交易,在此之前,我国白糖现货市场价格时常暴涨暴跌,期货市场的发展也历经坎坷,而桂塘8月合约事件仍然令人记忆犹新。价格发现和套期保值是期货市场的两大基本功能,那么郑州商品交易所的白糖期货市场运行之后是否充分发挥了价格发现和套期保值功能成为大家一致关注的问题。此外,影响白糖价格诸多因素中,国家储备糖收储和抛储事件显然不能被忽视,那么国家储备糖收储和抛储事件对我国白糖期货市场的冲击影响如何也是一大热点问题。本文的实证分析主要分为三部分来回答上述问题：通过单位根检验、协整检验、格兰杰因果检验、误差修正模型、脉冲响应函数和方差分解方法来检验白糖期货市场的价格发现功能；通过传统回归模型、双变量向量自回归模型和误差修正套期保值模型来检验白糖期货市场的套期保值有效性；通过事件研究法来检验国家储备糖收储和抛储事件对白糖期货市场的冲击影响。实证检验结果说明我国白糖期货市场一定程度上发挥了价格发现和套期保值的功能,但对价格发现功能来说,我国白糖期货市场和现货市场价格之间只存在从期货到现货单向的引导关系,国家储备糖的收储事件导致期货市场在事件公告日之后的第二天至第五天的产生显著的正的异常收益率,说明市场存在反应不足现象,而国家储备糖的抛储事件导致期货市场在事件公告日之后的两天内产生显著的正的异常收益率,说明抛储并没有使期货价格短期内显著的下降。
[Abstract]:The sugar futures of Zhengzhou Commodity Exchange were listed and traded on January 6th 2006. Before that, the spot market prices of white sugar in China often soared and plummeted, and the development of the futures market also experienced ups and downs. The August contract event in Kweitang is still fresh in memory. Price discovery and hedging are two basic functions of the futures market. Well, whether or not the sugar futures market in Zhengzhou Commodity Exchange has given full play to the function of price discovery and hedging has become a matter of unanimous concern. In addition, among the many factors affecting the price of white sugar, The event of national sugar storage and dumping can not be ignored, so the impact of the event on China's white sugar futures market is also a hot issue. The empirical analysis of this paper is divided into three parts: unit root test, cointegration test, Granger causality test, error correction model. Impulse response function and variance decomposition are used to test the price discovery function of sugar futures market. The bivariate vector autoregressive model and the error modified hedging model are used to test the hedging effectiveness of the sugar futures market, and the impact of the national sugar storage and dumping events on the sugar futures market is tested by the event study method. The empirical results show that the sugar futures market in China has played the role of price discovery and hedging to some extent, but to the function of price discovery, China's sugar futures market and spot market prices only exist from futures to spot one-way guiding relationship. The event of collecting and storing the national sugar reserves led the futures market to produce a significantly positive abnormal rate of return between the second and 5th days after the date of the announcement of the event, indicating that the market has a phenomenon of underreaction. However, the event of dumping the national reserve sugar caused the futures market to produce a significantly positive abnormal yield in the two days after the announcement of the event, indicating that the dumping did not significantly reduce the futures price in the short term.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F768.2;F724.5

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