异质信念、投机均衡与农产品期货定价

发布时间：2018-03-23 20:18

本文选题：农产品期货　切入点：定价　出处：《经济理论与经济管理》2017年06期

【摘要】：农产品期货市场套利并不充分,交易者也不是完全理性的。本文假设农产品期货市场有限套利、交易者异质信念并遵循"经验法则"预期,构建了农产品期货投机均衡定价模型,并认为集中竞价规则下产生的农产品期货价格是由交易者的预期决定的;前期期货价格水平、现货价格和前期期货价格的变动趋势、不同类型交易者的比例结构及其预期模式共同影响农产品期货价格的形成与波动;基本分析法交易者占主导地位的农产品期货市场具有更高的套期保值与价格发现效率。针对中国七种主要农产品期货的实证结果显示,农产品期货投机均衡定价模型对解释中国农产品期货价格的形成与波动是有效的。这意味着在期货行情系统中实时披露现货价格信息,培育和引导交易者运用基本分析法预测期货价格走势,有助于提升农产品期货市场的效率。
[Abstract]:The arbitrage of agricultural products futures market is not sufficient and traders are not completely rational. This paper assumes that limited arbitrage in agricultural product futures market, traders have heterogeneous beliefs and follow the expectation of "rule of thumb". The equilibrium pricing model for speculation of agricultural products futures is constructed, and it is considered that the price of agricultural products futures generated under the centralized bidding rule is determined by the expectation of the trader, the price level of futures in the early stage, the spot price and the change trend of the futures price in the preceding period. The proportion structure of different types of traders and their expected modes jointly affect the formation and fluctuation of agricultural products futures prices; The futures market of agricultural products which is dominated by traders in the basic analytical method has higher hedging and price discovery efficiency. The empirical results of seven major agricultural products futures in China show that, The equilibrium pricing model for futures speculation in agricultural products is effective in explaining the formation and fluctuation of futures prices in China. This means that spot price information is disclosed in real time in the futures market system. Cultivating and guiding traders to use basic analysis method to forecast futures price trend will help to improve the efficiency of agricultural futures market.
【作者单位】：华南农业大学经济管理学院;
【基金】：国家社会科学基金项目 (13BJL065) 国家自然科学基金青年项目 (71503086)的资助
【分类号】：F323.7;F724.5

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