基于不同剩余期间的中国大豆期货市场效率实证研究

发布时间：2018-01-25 03:14

本文关键词： 市场效率大豆期货剩余期间　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：农业是我国国民经济的基础，有效的农产品期货市场对整个市场体系的健康发展举足轻重。大豆是世界上最古老、也是新兴的五大作物之一，对人们的生产生活、生态环境的改善都不可或缺。只有在有效的期货市场，期货产品才能充分发挥套期保值和价格发现功能。虽然我国大豆期货市场的规模发展迅速，但市场效率却不尽如人意，故本文对中国大豆期货市场有效性的研究具有理论和实践意义。基于有效市场假说，本文从不同剩余期间的角度分析中国大豆期货市场的有效性。本文整理了2003年3月至2012年3月的中国大豆1号期货合约数据，运用ADF检验方法来检测时间序列的平稳性，接着利用Johansen检验法检验各变量之间的协整关系，采用DOLS方法检测各变量之间的线性关系，，然后通过Wald方法检验相关系数以检测不同剩余期间的期货之间的有效性和无偏性，并用ECM检测各变量之间的短期波动关系对长期均衡的影响，最后用GARCH-M模型来阐述预期风险和预期收益的关系。结果表明，中国大豆1号期货合约不同剩余期间的价格之间存在协整关系，即从长期来看，二者之间存在稳定的线性关系；剩余期间小于7个月时，期货市场是有效且具有无偏性；我国不同剩余期间大豆期货合约之间短期波动对长期均衡影响不显著，利用未来风险预测期货合约未来溢价的准确度低。因此，期货交易所、行业协会应积极发挥作用，培育机构和战略投资者以及套期保值用户，完善投资主体结构；要加快建立统一的信息服务网络，指导大豆生产和进出口贸易；应增加大豆的供给和改善需求，如加大对豆农的补贴力度，利用税收政策和金融工具扶持大豆龙头企业；鼓励企业主动参与国际期货市场，打破国际四大粮商垄断大豆产业链的格局，以尽快提高我国大豆期货市场有效性。
[Abstract]:Agriculture is the foundation of our national economy, and the effective futures market of agricultural products plays an important role in the healthy development of the whole market system. Soybean is one of the oldest and emerging five crops in the world. The improvement of ecological environment is indispensable to people's production and life. Only in the effective futures market. Futures products can give full play to the function of hedging and price discovery. Although the scale of soybean futures market in China is developing rapidly, the market efficiency is not satisfactory. Therefore, this paper has theoretical and practical significance in the study of the effectiveness of soybean futures market in China. Based on the efficient market hypothesis. This paper analyzes the effectiveness of China's soybean futures market from the perspective of different remaining periods. This paper collates the data of China Soybean Futures contract No. 1 from March 2003 to March 2012. ADF test method is used to detect the stability of time series, then Johansen test method is used to test the cointegration relationship among variables, and DOLS method is used to detect the linear relationship between the variables. Then the correlation coefficient is tested by Wald method to detect the validity and unbias of futures in different remaining periods, and the influence of short-term volatility among variables on long-term equilibrium is tested by ECM. Finally, the GARCH-M model is used to illustrate the relationship between expected risk and expected income. The results show that there is a cointegration relationship between the prices of China Soybean 1 futures contract in different remaining periods, that is, in the long run. There is a stable linear relationship between them. When the remaining period is less than 7 months, the futures market is efficient and unbiased; The short-term fluctuation of soybean futures contracts in different periods has no significant effect on the long-term equilibrium, and the accuracy of predicting the future premium of future futures contracts by using future risks is low. Therefore, futures exchanges and trade associations should play an active role in cultivating institutions and strategic investors as well as hedging users to improve the structure of investment subjects; It is necessary to speed up the establishment of a unified information service network to guide soybean production and import and export trade; We should increase the supply of soybean and improve the demand, such as increasing the subsidies to soybean farmers, using tax policies and financial instruments to support the leading soybean enterprises; Enterprises should be encouraged to participate actively in the international futures market and break the pattern of monopoly of soybean industry chain by the four grain traders in order to improve the effectiveness of soybean futures market in China as soon as possible.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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