我国农产品期货市场的价格泡沫检验:以鸡蛋期货为例

发布时间：2018-12-06 12:09

【摘要】：我国首个畜产品期货鸡蛋上市历时一年多,价格经历剧烈波动,最高涨幅约47%,被称为"火箭蛋"。本文运用SADF泡沫检验方法对2013年11月8日至2015年3月31日的鸡蛋期货日结算价格序列进行泡沫检验。研究发现,鸡蛋期货价格确实有泡沫存在,并且持续时间较长,期间价格涨幅为16.02%,属于正向泡沫,负向泡沫因泡沫持续时间设置为10天而被排除在外,但是改变设置可以发现这一负向泡沫。此外,为考察投机因素对价格波动的影响,对价格序列和持仓量进行因果关系检验,发现持仓量并不是价格变化的格兰杰原因。基于目前我国期货市场发展不成熟,以及大型机构投资者比较缺乏,投机因素对鸡蛋期货价格波动的影响有待进一步研究。
[Abstract]:China's first stock futures eggs went on market for more than a year, the price experienced violent fluctuations, the highest increase about 47, known as "rocket eggs." In this paper, SADF foam test method is used to test the daily settlement price sequence of egg futures from November 8, 2013 to March 31, 2015. The study found that the egg futures price did exist a bubble and lasted for a long time, during which the price increase was 16.02, which belongs to the positive bubble. The negative bubble was excluded because the bubble lasted for 10 days. But changing the settings can find this negative bubble. In addition, in order to investigate the influence of speculative factors on price fluctuation, the causality test of price sequence and position is carried out, and it is found that position is not the Granger cause of price change. Based on the immature development of China's futures market and the lack of large institutional investors, the influence of speculative factors on the price fluctuation of egg futures needs further study.
【作者单位】：中国农业大学经济管理学院;
【基金】：农业部2015年农业农村资源等监测统计项目资助(农业信息预警),系该项目阶段性研究成果中央氋校基本科研业务费专项基金项目“城镇化对我国粮食安全的影响” 教育部“新世纪优秀人才支持计划”(编号:NECT-11-0487)的部分资助
【分类号】：F323.7;F724.5

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