中国棉花期货与现货市场间的动态相关性研究

发布时间：2018-03-10 01:33

本文选题：棉花期货　切入点：动态相关性　出处：《新疆财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：2008年，，以美国次贷危机为导火索引致的金融危机迅速蔓延全球，并已侵蚀到实体经济领域。自此，全球经济陷入到比1929年还要严重的经济大萧条中。这次危机给全球的农业、特别是棉花种植业带来的最大影响就是全球范围内棉花需求的疲软。作为全球第一大棉花生产国，中国所受到的产业冲击则是不言而喻的。众所周知，期货市场的主要功能有价格发现、套期保值、资产配置等，这些功能在棉花期货市场上充分发挥的前提条件就是要深入研究棉花期货与现货价格的动态相关性，了解期、现货市场间真实的运行情况。动态相关性主要包括（但不限于）期、现货价格间的长期均衡关系、价格序列（一阶矩）间的领先滞后关系和收益率序列间的波动性（二阶矩）溢出效应等。充分利用了解到的期货、现货价格间的动态相关性，对在国际金融危机中有效规避棉花现货价格风险，提高棉农种植与棉企经营收入以及提升中国棉花国际竞争力等方面都具有重要的现实意义。本文在其他期货品种（如股指期货、工业品期货等）相关研究的基础上，选取了2004年-2012年的全部棉花期货价格与现货价格数据，对于我国棉花期、现货市场间的动态相关性进行较为深入的实证研究，从价格溢出效应和波动溢出效应两个研究视角对棉花期货与现货价格的动态相关关系进行分析，考察中国棉花期货市场与现货市场的价格引导关系、价格发现贡献度以及波动溢出效应的存在性以及非对称性。对于棉花期货价格发现功能的研究能为市场参与者在套期保值操作策略的制定提供理论支持，对于市场波动性的研究一方面能够提高对于期货市场、现货市场运行效率的研判能力，为防止投机资本进行短期炒作造成市场波动加剧等问题提供切实的理论依据；一方面，有助于市场制定者对风险监管、风险控制提出更为细化的要求；另一方面，有助于在期货等衍生产品的定价，构建分散风险的投资组合以及制定具备可操作性的金融监管政策等问题的解决。总而言之，对我国政策制定者、市场参与者和监管者都将具有重要的现实意义。
[Abstract]:In 2008, the financial crisis caused by the subprime mortgage crisis in the United States spread rapidly around the world and has eroded the real economy. Since then, the global economy has been in a depression worse than 1929. The crisis has given agriculture around the world. In particular, the biggest impact of cotton planting is the weakness of cotton demand worldwide. As the world's largest producer of cotton, China's industrial impact is self-evident. The main functions of the futures market include price discovery, hedging, asset allocation, and so on. The prerequisite for these functions to be fully developed in the cotton futures market is to deeply study the dynamic correlation between cotton futures and spot prices and understand the period. The real operation of the spot market. The dynamic correlation mainly includes (but is not limited to) the term, the long-term equilibrium relationship between spot prices, The leading lag relation between price sequence (first moment) and volatility (second moment) spillover effect between yield series, etc. It is of great practical significance to avoid the risk of spot price of cotton effectively in the international financial crisis, to increase the income of cotton farmers and cotton enterprises, and to enhance the international competitiveness of cotton in China. Based on the research of other futures (such as stock index futures, industrial products futures, etc.), this paper selects all the data of cotton futures price and spot price from 2004 to 2012. In this paper, the dynamic correlation between spot market and spot market is studied, and the dynamic correlation between cotton futures and spot price is analyzed from the perspective of price spillover effect and volatility spillover effect. Examining the price-guiding relationship between China's cotton futures market and the spot market, The price discovery contribution and the existence and asymmetry of volatility spillover effect. The research on the function of cotton futures price discovery can provide theoretical support for market participants in the formulation of hedging strategy. On the one hand, the study of market volatility can improve the ability to study the operational efficiency of the futures market and the spot market, and provide a practical theoretical basis for preventing short-term speculation of speculative capital from causing market volatility to intensify; on the one hand, It helps market makers put forward more detailed requirements for risk regulation and risk control; on the other hand, it helps to price derivatives such as futures, In a word, it will be of great practical significance to our policy makers, market participants and regulators.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F326.12;F724.5

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