我国早籼稻期货价格发现功能的实证研究

发布时间：2018-03-04 03:07

本文选题：期货市场　切入点：早籼稻期货　出处：《南昌大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国是农产品产销大国,也是农产品进口大国。其中,稻谷生产量和消费量占全球的三分之一。中国约有三分之二的人口以大米为主要口粮,稻谷的价格在粮食及农产品价格体系中有重要的影响。但是,稻谷现货市场缺乏有效的市场价格形成机制。现行的最低收购价格的政策制约了稻谷价格体系的发展,稻谷现货价格未能准确反映市场供求。从发达国家的经验来看,期货市场的价格发现功能能有效解决粮食价格市场化过程中存在的一些问题。因此,期货市场的价格发现功能在完善粮食市场体系和弥补现货市场缺陷有其天然的优势。 2009年4月20日,早籼稻期货在郑州商品交易所上市交易。这对完善我国粮食和农产品期货市场体系具有重要而深远的意义。早籼稻期货市场为稻谷种植者提供了重要的价格依据来调整生产,也是稻谷加工和经营企业规避市场风险的工具。早籼稻期货市场和现货市场相互影响,逐渐形成自身体系的定价机制,使得稻谷市场不断发育。截止2013年10月,早籼稻期货上市交易将近5年,国内对早籼稻期货市场价格发现功能鲜有研究。深入研究早籼稻期货价格对现货价格的影响,剖析早籼稻期货市场是否具备发现的功能,进而完善早籼稻期货合约和稻谷现货价格形成机制,具有理论价值和实践意义。本文从国内稻谷产业状况分析开始,在第二部分主要分析了我国稻谷产业状况和稻谷价格机制,第三部分则用统计分析描述了早籼稻期货市场运行状况,并在第四部分用协整检验和格兰杰因果检验对早灿稻期货市场的价格发现功能进行实证分析。通过分析,本文得出以下结论：早籼稻期货市场运行基本正常,但有继续完善的空间；交易所可以根据目前运行中的问题对早籼稻期货合约在期货仓单持仓成本和交割成本上进一步优化；早籼稻期货市场具有完备的对现货价格发现功能,早籼稻期货价格对现货价格具有引导作用；可以通过早籼稻期货市场对稻谷现有最低收购价政策进行完善,“先收购,后补贴”的“二次结算”收购政策可以弥补现有政策的不足,完善粮农的利益保护政策,保障国家粮食安全。
[Abstract]:China is a big producer and importer of agricultural products. Among them, rice production and consumption account for 1/3 of the world. About 2/3 people in China rely on rice as the main food rations. The price of rice plays an important role in the price system of grain and agricultural products. However, the spot market of rice lacks an effective market price formation mechanism. The current policy of minimum purchase price restricts the development of rice price system. The spot price of rice can not accurately reflect the market supply and demand. From the experience of developed countries, the price discovery function of futures market can effectively solve some problems in the process of grain price marketization. The price discovery function of futures market has its natural advantages in perfecting grain market system and making up for spot market defects. April 20th 2009, Early indica rice futures are listed and traded on the Zhengzhou Commodity Exchange. This is of great and far-reaching significance to improving the futures market system for grain and agricultural products in China. The early indica rice futures market provides an important price basis for rice growers to adjust their production. It is also a tool for rice processing and management enterprises to avoid market risks. The early indica rice futures market and the spot market interact with each other, and gradually form their own pricing mechanism, which makes the rice market continue to develop. As of October 2013, Early indica rice futures have been listed and traded for nearly five years, but the price discovery function of early indica rice futures market has not been studied in China. The influence of early indica rice futures prices on spot prices is studied in depth, and whether the early indica rice futures market has the function of discovery is analyzed. It is of theoretical value and practical significance to perfect the early indica rice futures contract and the spot price formation mechanism of rice. This paper begins with the analysis of the rice industry in China. In the second part, the paper mainly analyzes the rice industry and the price mechanism of rice in China. The third part describes the operation of the early indica rice futures market by statistical analysis. In the 4th part, we use cointegration test and Granger causality test to analyze the price discovery function of early rice futures market. Through the analysis, we draw the following conclusions: the early indica rice futures market is running normally. However, there is room for further improvement; exchanges can further optimize early indica rice futures contracts in terms of futures warehouse receipt holding costs and delivery costs according to current operational problems; early indica rice futures markets have a complete spot price discovery function. Early indica rice futures prices have a guiding effect on spot prices; through the early indica rice futures market, the existing minimum purchase price policy for rice can be improved, "first purchase," The purchase policy of "secondary settlement" of post-subsidy can make up for the deficiency of the existing policy, perfect the policy of protecting the interests of food and agriculture, and ensure the national food security.
【学位授予单位】：南昌大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

【引证文献】