基于期货市场功能导向下的河南小麦业实证分析

发布时间：2018-05-18 16:23

本文选题：小麦期货市场 + 价格发现　；参考：《河南工业大学》2013年硕士论文

【摘要】：期货市场的主要基本功能是价格发现和风险转移。在国外的农产品期货市场中，尤其是美国的期货市场，期货市场的价格早已成为农产品交易、收购、加工等的定价基础，即使在现货交易中，也是以期货价格加上基差来确定合同价格的。河南主要的种植农作物是小麦，小麦业的发展在河南经济的发展中有着无可替代的地位。而河南小麦业的发展也受到诸多因素的制约，如：小麦的种植不依市场需求为导向、生产成本偏高、小麦业对期货市场的利用不充分、深度加工不足。本文以把期货市场与产业的发展结合在一起的视角为出发点，，研究河南小麦业如何利用农产品期货市场来实现河南小麦业的快速发展。通过对多个指标进行实证分析可以得出：郑州商品交易所小麦期货价格与现货价格之间存在正相关性，也就是说长期来看，期货价格与现货价格保持着长期的均衡关系，而且期价对现价的影响比现价对期价的影响要快一些；从对小麦期货价格预测性实证分析来看，小麦期货价格对合约到期日的现货价格具有较强的预测能力，且期货价格对到期日现货价格的预测能力随着离到期时间日跨度的加长而逐渐减弱。从对小麦期货风险转移功能的实证分析来看，由OLS模型和ECM模型估计得到的MV套期保值比率分别为0.009973和0.017501，这个比率跟美国的期货市场相比还有很大的差距,但也说明了郑州商品交易所已经具备了发挥其功能的条件。通过期货市场对小麦业发展的实证分析，也可以得出：河南优质小麦种植面积会随着小麦期货产品成交额的增加而增加；河南农村居民家庭人均纯收入与全国小麦期货品种成交额之间的相关关系为0.561458。基于此，为了提高小麦业对期货市场的利用程度，本章主要从完善农产品期货市场、加强期现市场之间的关联度、政府宏观调控、信息传播渠道、中介组织等几个方面来提出相关的国家对策。
[Abstract]:The main function of futures market is price discovery and risk transfer. In the foreign agricultural product futures market, especially in the United States futures market, the price of the futures market has already become the pricing basis for agricultural products trading, acquisition, processing, etc., even in spot trading, It is also the futures price plus the basis to determine the contract price. Wheat is the main crop planted in Henan Province. The development of wheat industry plays an irreplaceable role in the development of Henan economy. However, the development of Henan wheat industry is also restricted by many factors, such as: wheat planting is not guided by market demand, the production cost is on the high side, the use of futures market in wheat industry is not sufficient, and the depth processing is insufficient. From the perspective of combining the futures market with the development of the industry, this paper studies how to utilize the futures market of agricultural products to realize the rapid development of the wheat industry in Henan Province. Through the empirical analysis of several indicators, it can be concluded that there is a positive correlation between wheat futures price and spot price in Zhengzhou Commodity Exchange, that is to say, in the long run, the futures price and spot price maintain a long-term equilibrium relationship. Moreover, the effect of futures price on spot price is faster than that on current price. From the empirical analysis of wheat futures price predictability, wheat futures price has a strong ability to predict the spot price of contract maturity. Moreover, the ability of futures price to predict the maturity spot price gradually weakens with the extension of the maturity date span. From the empirical analysis of the function of wheat futures risk transfer, the MV hedging ratios estimated by OLS model and ECM model are 0.009973 and 0.017 501 respectively, which are still far behind the futures market in the United States. However, it also shows that Zhengzhou Commodity Exchange has already had the conditions to play its functions. Through the empirical analysis of the development of wheat industry in the futures market, it can also be concluded that the planting area of high-quality wheat in Henan will increase with the increase of turnover of wheat futures products; The correlation between the per capita net income of rural households and the turnover of wheat futures in Henan province is 0. 561458. Based on this, in order to improve the utilization of the futures market in wheat industry, this chapter mainly includes perfecting the futures market of agricultural products, strengthening the correlation degree between the futures market, the macro-control of the government, and the channel of information dissemination. Intermediary organizations and other aspects to put forward the relevant national countermeasures.
【学位授予单位】：河南工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F326.11;F724.5

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