大连商品交易所棕榈油期现货价格的联动性研究

发布时间：2018-02-10 09:14

本文关键词： 棕榈油期货价格现货价格协整分析　出处：《内蒙古农业大学》2017年硕士论文　论文类型：学位论文

【摘要】：全球化的今天,市场不是独立的单个体,是内外有机联系、共同波动的统一体,棕榈油期货市场正是这样,通过与国外期货市场的互相影响,对国内现货市场的指导两方面,棕榈油期货市场在提供预期价格信号,转移价格风险,保护市场相关者利益方面起到了积极作用。我国作为棕榈油进口消费大国,且市场对棕榈油有持续的需求增长,棕榈油价格的频繁波动成为不可忽视的问题,研究价格波动成因、利用期货价格信息这一问题具有现实意义。本文在对期货市场基础理论及价格功能实现机制阐述的基础上,利用基本因素分析法分析了影响棕榈油期现货价格的各方面因素,用Johansen协整检验的方法考察了棕榈油期货市场在价格发现中的作用和效率,用格兰杰因果检验方法研究了其期现货价格间的动态传导关系。实证结果显示:我国棕榈油期货价格与现货价格具有协整关系,但误差修正模型表明,期货市场运行缺乏效率,短期内,当现货价格与期货价格间的价差逐渐扩大时,误差修正项更多的会对现货价格不断调整以缩小此价差,使价差逐渐稳定在一定范围内直至恢复均衡;另外棕榈油的期现货价格间存在单向引导关系,即由期货价格到现货价格,期货价格的变动冲击对现货价格影响显著,现货价格变动冲击对期货价格几乎没有影响,表明了期货价格在互动关系中的决定性地位,棕榈油的期货价格正成为现货市场定价的基础。
[Abstract]:Today, with globalization, the market is not an independent individual, it is a unity of internal and external organic links and common fluctuations. This is precisely the case in the palm oil futures market. Through mutual influence with foreign futures markets, the market guides the domestic spot market from two aspects. The palm oil futures market has played an active role in providing expected price signals, transferring price risks, and protecting the interests of market stakeholders. China is a big import consumer of palm oil, and the market has sustained growth in demand for palm oil. The frequent fluctuation of palm oil price has become a problem that can not be ignored. It is of practical significance to study the cause of price fluctuation and utilize the information of futures price. This paper expounds the basic theory of futures market and the realization mechanism of price function. The factors affecting the spot price of palm oil are analyzed by using basic factor analysis method. The function and efficiency of palm oil futures market in price discovery are investigated by Johansen cointegration test. Granger causality test is used to study the dynamic conduction relationship between spot price and futures price. The empirical results show that there is a cointegration relationship between palm oil futures price and spot price in China, but the error correction model shows that the futures market is inefficient. In the short term, when the spread between spot price and futures price expands gradually, the error correction item will adjust the spot price continuously to reduce the price difference, so that the spread will be stabilized in a certain range until the equilibrium is restored. In addition, there is a unidirectional leading relationship between the spot prices of palm oil, that is, from futures prices to spot prices, the impact of futures price changes on spot prices is significant, and the spot price fluctuations impact on futures prices almost nothing. This shows the decisive position of futures price in the interaction, and palm oil futures price is becoming the basis of spot market pricing.
【学位授予单位】：内蒙古农业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F768.2

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