豆粕期现市场运行状况分析与相关关系研究

发布时间：2018-06-03 00:55

本文选题：内生因素 + 外生因素　；参考：《哈尔滨工业大学》2017年硕士论文

【摘要】：本文旨在研究影响豆粕期货与现货价格变动的因素,讨论二者之间的影响机制,分析与评价期现市场运行状况,并就如何提升期货与现货市场运行效率提出相应的建议。本文应用中国统计年鉴、中国农业发展报告、证监局网站等数据来源,对价格变动的影响因素进行分析处理。同时搜集并整理2014至2017大连商品期货交易所的豆粕期货与豆粕现货的成交数据,运用统计回归与计量分析进行实证分析。本文得出以下结果:供求因素、货币与粮食政策、国际市场价格、自然灾害为影响豆粕期现市场的外生因素。主体规模与客户结构、消费者与企业情绪、期货合约的设计为影响期现市场的内生因素。通过流动性、波动性、有效性对市场进行评测打分,显示当前期现市场运行良好。豆粕期现价格存在长期的均衡关系。期货市场对现货市场的价格变化起着相应的指导能力,而现货对期货的作用则不显著。本文创新的提出了市场打分的评测理论,将流动性、波动性与有效性三个维度整合到一起,从宏观的层面评析当前市场的状况,此理论可以监测市场发生的风险并提出应对的策略,减小投资者的损失。投资者还可以应用本文得出的期现价格之间的引导关系,进行理性的金融投资。
[Abstract]:The purpose of this paper is to study the influence factors of soybean meal futures and spot prices, to discuss the influence mechanism between them, to analyze and evaluate the current market operation in the period, and to put forward corresponding suggestions on how to improve the operating efficiency of futures and spot markets. In this paper, data sources such as China Statistical Yearbook, China Agricultural Development report and the website of the Securities and Exchange Administration are used to analyze and deal with the influencing factors of price change. At the same time, the transaction data of soybean meal futures and soybean meal spot in Dalian Commodity Futures Exchange from 2014 to 2017 were collected and sorted, and the empirical analysis was carried out by statistical regression and econometric analysis. The following results are obtained: supply and demand factors, monetary and food policy, international market price, natural disasters are the external factors that affect the present market of soybean meal. The main body size and customer structure, consumer and business sentiment, and the design of futures contract are the endogenous factors influencing the present market. The market is rated by liquidity, volatility and effectiveness, showing that the current market is working well. Soybean meal current price has a long-term equilibrium relationship. The futures market has the corresponding guidance ability to the spot market price change, but the spot to the futures function is not remarkable. This paper puts forward the evaluation theory of market scoring innovatively, integrates the three dimensions of liquidity, volatility and efficiency, and evaluates the current market situation from the macro level. This theory can monitor the market risk and put forward countermeasures to reduce the loss of investors. Investors can also use this paper to guide the relationship between current prices, rational financial investment.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F323.7;F724.5

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