投机因素对大豆期货价格影响的实证分析

发布时间：2017-12-31 17:29

本文关键词：投机因素对大豆期货价格影响的实证分析　出处：《南京农业大学》2013年硕士论文　论文类型：学位论文

【摘要】：大豆作为重要的农作物及油料作物之一,在人们的生产生活中扮演越来越重要的角色,其价格的剧烈波动会对各国造成不良影响,而期货市场具有风险规避和价格发现功能,对大豆期货市场的研究有助于规避现货市场的生产经营风险,同时有利于各国制定并完善相关期货市场政策,防范市场风险。本文在描述分析了大豆期货价格影响因素的基础上,选取汇率、库存、投机和原油指数等代表性变量,通过建立多元回归模型分析了投机因素对大豆期货价格的显著影响。为进一步研究投机因素对大豆期货价格的影响程度及投机主体对大豆期货价格影响差异,将投机进一步分成传统投机和新型投机,分别运用净头寸和投资者情绪指标,通过ADF检验,协整检验、VAR模型,脉冲响应函数以及格兰杰因果检验等方法进行分析,多角度定量分析了投机因素对大豆期货价格的影响及相互因果关系。研究发现,大豆期货价格受投机因素的显著影响,格兰杰检验结果表明,投机性更强的指数基金交易者(新型投机者)单向引导大豆期货价格,大豆期货价格单向引导非商业持仓(传统投机者)。脉冲响应函数表明以非商业持仓为代表的传统投机力量和以指数基金交易者为代表的新型投机力量对大豆期货价格均具有正向反馈作用,两者的共同作用代表了投机力量对大豆期货价格的显著影响,而以投资者情绪指标衡量的新型投机者对大豆期货价格的影响较之以净头寸指标衡量的结果程度更深,更加符合新型投机者的交易特点,因而本文认为投资者情绪指标更具合理性和准确性。
[Abstract]:Soybean, as one of the important crops and oil crops, plays a more and more important role in people's production and life. The futures market has the function of risk aversion and price discovery. The research on soybean futures market is helpful to avoid the risk of production and operation in spot market and to make and perfect the relevant futures market policies. Guard against market risks. On the basis of describing and analyzing the influencing factors of soybean futures price, this paper selects the representative variables such as exchange rate, inventory, speculation and crude oil index. In order to further study the influence degree of speculative factors on soybean futures price and the difference of speculative subject to soybean futures price, this paper analyzes the significant influence of speculative factors on soybean futures price by establishing multiple regression model. The speculation is further divided into traditional speculation and new speculation, using net positions and investor sentiment indicators, through the ADF test, cointegration test to test the VAR model. The impulse response function and Granger causality test were used to analyze the influence of speculative factors on soybean futures price. The study found that soybean futures prices are significantly affected by speculative factors, Granger test results show that more speculative index fund traders (new speculators) one-way guide soybean futures prices. Soybean futures price unidirectional guide non-commercial positions (traditional speculators). The impulse response function shows that the traditional speculative forces, represented by non-commercial positions, and the new speculative forces, represented by index fund traders, have positive feedback on soybean futures prices. The combination of the two represents the significant impact of speculative forces on soybean futures prices. The impact of new-type speculators on soybean futures prices measured by investor sentiment indicators is deeper than that measured by net position indicators, which is more in line with the trading characteristics of new-type speculators. Therefore, this paper believes that investor sentiment indicators are more reasonable and accurate.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F326.11;F724.5

【参考文献】