我国早籼稻期货市场功能的实证分析与利用研究

发布时间：2018-03-21 14:48

本文选题：早籼稻　切入点：价格发现　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：早籼稻期货市场是农产品市场上的重要组成部分,早籼稻期货于2009年4月才在郑州商品交易所上市,因此对于早籼稻期货的研究是处于一个比较空白的领域,本文在现有文献的基础上,挖掘现有的早籼稻期货的数据,探讨早籼稻期货合约在价格发现和套期保值功能方面是否能够起到积极作用,也可以确定早籼稻期货在农产品期货市场中占据的重要地位。本文首先对早籼稻期货市场价格发现功能和套期保值功能做了分析。其次,分析了期货市场套期保值功能中的基差分析和套期保值绩效分析法,并且结合最近合约的交易量分析,可以完整地阐述早籼稻期货的套期保值功能。然后,分别就相关性检验、单位根检验、协整检验、格兰杰因果检验、基差分析、套期保值功能绩效分析、交易量分析等对我国早籼稻期货合约进行了价格发现和套期保值功能的实证研究,结果表明,我国早籼稻期货市场具备较强的价格发现和套期保值的功能。在得出我国早籼稻期货市场价格发现和套期保值功能较强的结论后,分析了作为农产品期货市场中的主力粮食储备企业在期货市场中运用价格发现功能和套期保值功能的具体过程中,从中可以发现只要在进行期货交易同时关注现货价格波动,可以取得良好的效果。最后,提出了几点政策性建议,包括期货知识的普及、农业合作组织的发展与支持、期货市场的创新与完善、农业信息服务体系的完善和农村金融机构的支持等。以达到早籼稻期货市场能够在最大程度上保证现货价格的稳定,也是关系到国计民生的重大举措。
[Abstract]:The early indica rice futures market is an important part of the agricultural product market. The early indica rice futures were listed on the Zhengzhou Commodity Exchange in April 2009, so the research on the early indica rice futures is in a relatively blank field. Based on the existing literature, this paper excavates the existing data of early indica rice futures, and discusses whether early indica rice futures contracts can play an active role in price discovery and hedging. It is also possible to determine the important position of early indica rice futures in agricultural futures market. This paper first analyzes the price discovery function and hedging function of early indica rice futures market. Secondly, it analyzes the basis analysis and hedging performance analysis of futures market hedging function. The hedging function of early indica rice futures can be fully explained by analyzing the transaction volume of recent contracts. Then, the correlation test, unit root test, cointegration test, Granger causality test, basis analysis, respectively. An empirical study on the price discovery and hedging function of early indica rice futures contracts in China is carried out through the performance analysis of hedging function and trading volume analysis. The results show that the price discovery and hedging functions of early indica rice futures contracts in China are analyzed. China's early indica rice futures market has a strong function of price discovery and hedging. After drawing the conclusion that the price discovery and hedging function of early indica rice futures market in China is relatively strong, This paper analyzes the concrete process of using price discovery function and hedging function in the futures market as the main grain reserve enterprise in the agricultural product futures market. It can be found that as long as the futures trade is concerned with the spot price fluctuation at the same time, Finally, several policy suggestions are put forward, including the popularization of futures knowledge, the development and support of agricultural cooperation organizations, the innovation and improvement of futures markets, The improvement of agricultural information service system and the support of rural financial institutions to achieve the early indica rice futures market to the greatest extent to ensure the stability of spot prices is also a major measure related to the national economy and people's livelihood.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F224

【参考文献】