中国大豆期现货价格拟合关系研究

发布时间：2018-04-02 01:21

本文选题：大豆期货价格　切入点：大豆现货价格　出处：《东北农业大学》2017年硕士论文

【摘要】：大豆市场是中国粮食市场的重要组成部分,大豆市场运行良好与否直接关系到粮食市场的发展。随着我国经济的发展,大豆的需求量呈逐年上涨的趋势,国内大豆供给已远远不能不满足国内发展的需求,再加之国内大豆种植面积逐年萎缩,大豆产量不断下降,我国对进口大豆的依存度越来越高,目前中国已成为全球大豆最大进口国,国际大豆市场价格的剧烈波动也对国内大豆价格的影响越来越大,使得国内大豆期现货市场的联动性面临日益严峻的考验。由于大豆期货市场和现货市场是大豆市场重要组成部分,本文以大豆期货价格和现货价格作为研究对象,通过大量的国内外文献资料阅读,界定了期现货价格拟合的概念,本文认为期现货价格拟合是指在期货市场价格发现功能的作用下的期现货价格的联动程度。在此基础上,本文通过从大连商品期货交易所和国家粮油信息中心搜集、计算、整理得到2007年至2015年大豆期现货价格数据进行走势分析可知,大豆期现货价格在金融危机爆发时期同时出现了大幅度快速上涨与大幅度急剧下跌的波动趋势,而在金融危机过后的复苏发展阶段,尽管大豆期现货价格从长期呈现出缓慢回升趋势,但大豆期现货价格的波动幅度和趋势在复苏前期呈现出较为同步的变化,大豆期货价格对现货价格的引领作用并未得到体现。随着时间的推移,大豆期货价格基本呈现出先于现货价格发生趋势的变化,然而大豆现货价格同一波动趋势时间较长,价格波动趋势转变较慢。为深入分析大豆期现货价格波动原因,本文从影响大豆期现货价格拟合的供求状况、信息传递情况、人为操控、心理预期程度、政策效应五个方面进行分析,从而为实证结果的探究做铺垫。在实证探究方面,鉴于大豆期现货价格拟合是大豆期现货联动性的体现,本文分别从大豆期现货价格的相关关系、均衡关系、引导关系、动态效应四个方面进行实证探究,综合分析大豆期现货价格拟合关系。通过实证得出从2007年至2015年,我国大豆期现货价格虽然整体拟合关系较好,期货市场价格发现功能从长期得到有效发挥,但存在着单向引导关系所导致的价格发现功能不完备以及大豆期现货价格之间短期联动性较差、信息传递效率较低的问题。结合期现货价格走势及影响因素针对实证结果进行原因分析可知:大豆期货市场信息搜集机制发展不完善,大豆现货市场组织化程度落后,大豆现货生产主体期货参与度较低。并在此基础上,从大豆期现货市场及市场参与主体的角度提出相关对策以提升大豆期现货市场价格的联动性,增强大豆期现货市场的紧密联系程度,促进国内大豆市场的健康快速发展。
[Abstract]:The soybean market is an important part of China's grain market. Whether the soybean market is running well or not is directly related to the development of the grain market. With the development of China's economy, the demand for soybean is increasing year by year. Domestic soybean supply has far to meet the domestic development needs, plus the domestic soybean planting area shrinks year by year, soybean production continues to decline, China's dependence on imported soybeans is becoming higher and higher. At present, China has become the largest importer of soybeans in the world, and the sharp fluctuations in the international soybean market have increasingly affected the domestic soybean prices. As the soybean futures market and spot market are an important part of soybean market, this paper takes soybean futures price and spot price as the research object. This paper defines the concept of futures spot price fitting by reading a lot of domestic and foreign literatures. This paper considers that futures spot price fitting is the linkage degree of futures spot price under the function of price discovery in futures market. Through collecting and calculating from Dalian Commodity Futures Exchange and the National Grain and Oil Information Center, we can get the spot price data of soybean from 2007 to 2015 for trend analysis. During the financial crisis period, the spot price of soybeans also showed a trend of sharp and rapid rise and sharp decline, while in the stage of recovery and development after the financial crisis, Although the spot price of soybean shows a slow upward trend from a long time, the fluctuation range and trend of spot price in soybean period show more synchronous changes in the early stage of recovery. The leading role of soybean futures prices in spot prices has not been reflected. With the passage of time, soybean futures prices basically show a trend of change ahead of spot prices. However, the same trend of spot soybean prices fluctuates for a long time. The trend of price fluctuation changes slowly. In order to analyze the reason of spot price fluctuation in soybean period, this paper analyzes the supply and demand situation, information transmission, artificial manipulation, psychological expectation degree of spot price fitting in soybean period. In the empirical research, in view of the soybean spot price fitting is the embodiment of soybean spot price linkage, this paper respectively from the soybean spot price correlation, Through the empirical analysis of soybean spot price fitting relationship from 2007 to 2015, it is concluded that the overall fitting relationship of soybean spot price in China is better than that in China from 2007 to 2015. The function of price discovery in futures market has been brought into full play from a long time, but the price discovery function caused by unidirectional guidance relationship is incomplete and the short-term linkage between spot price of soybean is poor. According to the results of empirical analysis, the mechanism of information collection in soybean futures market is not perfect, and the degree of organization in spot market of soybean is backward. The participation of soybean spot producer futures is relatively low. On this basis, from the point of view of soybean spot market and market participants, the relevant countermeasures are put forward to promote the linkage of soybean spot market price. Strengthen the close contact degree of soybean spot market, promote the healthy and rapid development of domestic soybean market.
【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F323.7;F724.5

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