中美玉米期货市场价格发现功能比较研究

发布时间：2018-03-11 21:03

本文选题：玉米期货　切入点：价格发现　出处：《首都经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：玉米是世界上种植最广泛的三大粮食作物之一,也是我国重要的大田农作物。随着能源产业的发展,玉米的用途也越来越广泛,因此,玉米产业的良好发展,对我国具有重要的意义。自2004年我国玉米期货重新推出以来,截止到2016年的12年发展都比较顺利,没有出现较大的波动起伏,其价格发现及规避风险两大功能也都有所发挥,在中国经济新常态的背景下,随着玉米产业新政策的不断推出,玉米价格将会越来越市场化,而与其密切相关的玉米期货市场也将会在玉米产业的不断发展中发挥更重要的作用,这是因为期货市场主要有价格发现及规避风险两大功能,而规避风险功能的顺利实现是以期货市场价格发现功能为基本前提的,这意味着期货市场的价格发现功能发挥如何,从某种程度上决定了其整体的运行效率,影响着期货市场其他功能的顺利实现。因此,基于当前宏观经济背景及政策导向,有必要深入分析我国近几年的玉米期货市场的价格发现状况,本文将选取中美玉米2014年3月到2016年12月的期现货价格数据,并通过相关性分析、单位根检验、协整检验、误差修正模型、格兰杰模型、Garbade-Silber模型这些实证方法对数据进行处理分析,得出中美两国各自的检验结果,并根据中美两国各自的检验结果进行对比分析,由此,一方面可以了解近几年中美两国玉米期货市场各自的价格发现功能的发挥情况,进而比较中美两国期货市场的运行效率,另一方面通过对比中美两国的实证检验结果,分析中美两国玉米期货市场的相似之处和差异,更加深入地了解中国的现状,在此基础上本文将结合期货市场实现价格发现功能的条件等相关理论以及中美两国玉米期货市场的各自特点,为我国玉米期货市场的进一步完善提出相应的政策和建议。
[Abstract]:Corn is one of the three most widely grown food crops in the world, and it is also an important field crop in China. With the development of energy industry, corn is used more and more widely. It is of great significance to our country. Since 2004, the corn futures in our country have developed smoothly for 12 years up to 2016, and there has been no fluctuation and fluctuation. The two functions of price discovery and risk avoidance have also been brought into play. In the context of the new normal state of China's economy, with the continuous introduction of new policies for the corn industry, corn prices will become more and more market-oriented. And the corn futures market, which is closely related to it, will also play a more important role in the continuous development of the corn industry. This is because the futures market has two main functions: price discovery and risk avoidance. The smooth realization of risk avoidance function is based on the price discovery function of futures market, which means that how the price discovery function of futures market plays a role determines its overall operating efficiency to some extent. Therefore, based on the current macroeconomic background and policy direction, it is necessary to analyze the price discovery situation of corn futures market in China in recent years. In this paper, the spot price data of Chinese and American corn from March 2014 to December 2016 are selected, and through correlation analysis, unit root test, cointegration test, error correction model, The Granger model and the Garbade-Silber model are used to process and analyze the data, and the test results of China and the United States are obtained, and the results are compared and analyzed according to the test results of China and the United States. On the one hand, we can understand the performance of the price discovery function of the corn futures markets of China and the United States in recent years, and then compare the operating efficiency of the futures markets between China and the United States. On the other hand, we can compare the results of empirical tests between China and the United States. By analyzing the similarities and differences between the corn futures markets of China and the United States, we can gain a deeper understanding of the current situation in China. On this basis, this paper will combine the relevant theories such as the condition that the futures market realizes the function of price discovery and the respective characteristics of the corn futures market of China and the United States, and put forward the corresponding policies and suggestions for the further improvement of the corn futures market of our country.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F713.35;F313.7

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