上海期货交易所螺纹钢期货价格形成机制的实证研究

发布时间：2018-05-24 19:39

本文选题：螺纹钢期货 + 市场有效性　；参考：《东北大学》2013年硕士论文

【摘要】：我国是世界上最大的钢材生产国和消费国,同时也是钢材进出口的大国。作为国民生活生产建设中的重要原材料,钢材价格的波动受国民经济的影响较大,为了保障经济平稳发展和规避风险,中国证监会于2009年3月27日在上海期货交易所推出包括螺纹钢期货和线材期货在内的钢材期货。钢材期货的推出有效的规避了我国钢材生产商因钢材价格剧烈波动产生的经济损失。本文应用计量经济学方法对上海期货交易所螺纹钢期货价格及主要影响因素进行实证研究。首先,本文通过回顾国内外期货价格形成理论和分析螺纹钢期货价格的形成机制得出螺纹钢期货价格的影响因素分为宏观和微观两方面,然后选取影响因素为：螺纹钢现货价格、上证指数、工业增加值增长率、房地产投资完成额；其次,本文应用应用数理统计方法和JB检验对上海期货交易所螺纹钢期货价格和主要影响因素进行实证研究,由检验可知,螺纹钢期货价格和影响因素的数据服从正态分布；再次,本文应用序列相关检验对螺纹钢期货价格进行有效性检验,检验表明上海期货交易所的螺纹钢期货市场是弱式有效的；然后,本文通过Granger因果检验分析影响因素与螺纹钢期货价格之间的引导关系,结果表明,所选取的因素可作为应变量来解释螺纹钢期货价格的变动,为回归模型打下基础。本文的回归模型部分先通过期货价格与各个影响因素的对比折线图分析期货价格与影响因素的关系,结合第四章的Granger因果检验结果确定影响螺纹钢期货价格的显著因素：滞后一期的螺纹钢现货价格、滞后两期上证指数、滞后一期工业增加值增长率,同时引进期货价格上涨、下跌的虚拟变量,采用逐步回归法建立螺纹钢期货价格多元回归模型,并对该模型进行各项检验,检验结果显示该模型的拟合优度达到90%,回归模型的可靠程度为98%。
[Abstract]:China is the world's largest producer and consumer of steel, but also a large country of steel imports and exports. As an important raw material in the production and construction of national life, the fluctuation of steel prices is greatly affected by the national economy. In order to ensure the smooth development of the economy and avoid risks, The China Securities Regulatory Commission (CSRC) launched steel futures, including rebar futures and wire futures, on the Shanghai Futures Exchange on March 27, 2009. The introduction of steel futures effectively avoids the economic loss caused by the violent fluctuation of steel price. This paper makes an empirical study on the price and main influencing factors of rebar futures in Shanghai Futures Exchange by means of econometrics. Firstly, by reviewing the theory of futures price formation at home and abroad and analyzing the formation mechanism of rebar futures price, this paper concludes that the influencing factors of rebar futures price can be divided into macro and micro aspects. Then select the influencing factors: the spot price of rebar, Shanghai Stock Exchange Index, the growth rate of industrial added value, the completion of real estate investment; secondly, This paper applies mathematical statistics and JB test to the empirical study on the price and main influencing factors of rebar futures in Shanghai Futures Exchange. From the test, we can know that the data of the price and influencing factors of the rebar futures are normally distributed. This paper uses the sequential correlation test to test the effectiveness of the rebar futures price. The test shows that the rebar futures market of Shanghai Futures Exchange is weakly efficient. This paper analyzes the leading relationship between the influencing factors and the futures price of rebar by Granger causality test. The results show that the selected factors can be used as the dependent variables to explain the variation of the futures prices of rebar and lay the foundation for the regression model. The regression model of this paper first analyzes the relationship between futures price and influencing factors through the comparison of futures price and each factor. Combined with the results of Granger causality test in Chapter 4, the significant factors affecting the futures price of rebar are determined: spot price of rebar with lag period, Shanghai index lagging two periods, increment rate of industry added value lagging by one period, and the increase of futures price. The regression model of rebar futures price is established by stepwise regression method. The test results show that the goodness of fit of the model is 90 and the reliability of regression model is 98.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F764.2

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