中美粮食期货市场有效性比较研究

发布时间：2018-04-05 05:38

本文选题：粮食　切入点：期货市场　出处：《江西财经大学》2017年硕士论文

【摘要】：期货市场是粮食国际市场的主要组成部分,很大程度上决定着粮食的国际价格。中美均有粮食期货交易市场,其中美国粮食期货市场对全球粮食期货市场的影响尤为显著。近年来,中国粮食进口增速迅猛,已成为含大豆在内的名副其实的第一粮食进口大国。在此背景下,客观比较中美两国粮食期货市场的有效性,并在此基础上探讨进一步优化中国粮食期货市场的对策,对于中国争夺国际粮食市场定价权,维护自身粮食安全具有重要意义,而这也正是本文研究的主旨所在。全文除导论外共分为四章。其中,第二章对中美粮食期货市场进行简要介绍,描绘了中美粮食期货市场的发展历程及运行情况,进而对中美粮食期货市场进行总体评价。第三章着重对粮食期货市场有效性的风险规避、价格发现、投资套利三大功能进行模型和指标选取。第四章对中美粮食期货市场功能的有效性进行比较研究,利用套期保值有效性、单位根检验、Grange因果检验、日收益序列评价了中美粮食期货市场三大功能的有效性。第五章为结论和提升我国我国粮食期货市场有效性的建议。研究发现,在风险规避或套期保值方面,中国四大主要粮食期货市场套期保值有效性从高到低依次是:76%(小麦)、52%(玉米)、49%(稻谷)、-6.2%(大豆),美国四大主要粮食期货市场套期保值有效性从高到低依次是:82%(小麦)、79%(玉米)、51%(大豆)、7.7%(稻谷);在价格发现方面,中国只有大连玉米期货价格具有发现现货价格的功能,而芝加哥粮食期货市场中玉米和大豆具有发现现货价格的功能,稻谷无从判断;在投资套利方面,郑州商品交易所的小麦和早籼稻,大连大豆1707和玉米1707的投资套利功能高于芝加哥期货交易所,芝加哥其他大豆及玉米的投资套利功能又优于中国粮食期货市场,但是除芝加哥大豆1703及1705两个品种外,其余品种的日收益序列均为负值,很大程度上不能实现其投资套利功能。总体而言,在风险规避和价格发现功能的有效性上,芝加哥粮食期货市场优于中国粮食期货市场,而在投资套利方面,结果恰好相反。文章认为,要提升我国粮食期货市场的有效性,我国应该稳定现货、期货市场价格,杜绝内幕交易;尽快制定《期货法》,完善交割制度,适时取消最低、最高限价;加强市场交易品种创新,创造投资套利条件,完善交易所服务功能;大力培育市场参与主体,优化投资者结构,逐步开放期货市场;加强培养套期保值研究型人才,提升期货交易所整体软实力;加强粮食品种的宣传、推广工作,鼓励投资者选择粮食品种进行套期保值。
[Abstract]:Futures market is the main component of grain international market, which largely determines the international price of grain.Both China and the United States have grain futures markets, of which the U.S. grain futures market has a particularly significant impact on global grain futures markets.In recent years, China's grain import growth has been rapid, including soybean has become the first grain import country.In this context, the effectiveness of the grain futures market between China and the United States is objectively compared, and on this basis, the countermeasures to further optimize China's grain futures market are discussed, so that China can compete for the pricing power of the international grain market.It is of great significance to maintain self-food security, and this is the main purpose of this paper.In addition to the introduction, the full text is divided into four chapters.The second chapter gives a brief introduction to the Sino-US grain futures market, describes the development and operation of the Sino-US grain futures market, and then evaluates the Sino-US grain futures market as a whole.The third chapter focuses on risk aversion, price discovery and investment arbitrage in grain futures market.The fourth chapter compares the effectiveness of the function of Chinese and American grain futures market, using hedging effectiveness, unit root test Grange causality test, daily income series to evaluate the effectiveness of the three major functions of China and the United States grain futures market.The fifth chapter is the conclusion and suggestions to improve the effectiveness of China's grain futures market.The study found that in the area of risk aversion or hedging,The hedging effectiveness of China's four major grain futures markets is in order from high to low: 76.In terms of price discovery,In China, only Dalian corn futures prices have the function of discovering spot prices, while in the Chicago grain futures market corn and soybeans have the function of discovering spot prices. Rice has no way to judge; in terms of investment arbitrage,In Zhengzhou Commodity Exchange, the investment arbitrage function of wheat and early indica rice, Dalian soybean 1707 and maize 1707 is higher than that of Chicago futures exchange, and the investment arbitrage function of other soybeans and corn in Chicago is better than that of China's grain futures market.Except for Chicago soybean 1703 and 1705, the daily income sequence of the other varieties were all negative, which could not achieve the function of investment arbitrage to a great extent.In general, the Chicago grain futures market is superior to the Chinese grain futures market in the efficiency of risk aversion and price discovery, but the result is the opposite in the aspect of investment arbitrage.The paper holds that in order to improve the effectiveness of China's grain futures market, we should stabilize the spot and futures market prices, put an end to insider trading, formulate the Futures Law as soon as possible, perfect the delivery system, and cancel the lowest and highest prices at the right time.We should strengthen the innovation of market trading varieties, create investment arbitrage conditions, improve the service function of exchanges, vigorously cultivate the market participants, optimize the investor structure, and gradually open the futures market; and strengthen the training of hedge and research talents.Enhance the overall soft power of futures exchanges; strengthen the publicity of grain varieties, promote the work, encourage investors to select grain varieties for hedging.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F313.7;F713.35

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