我国农产品期货价格指数的编制研究

发布时间：2018-04-05 08:19

本文选题：商品期货指数　切入点：农产品期货　出处：《河北金融学院》2017年硕士论文

【摘要】：全球期货市场中,商品期货指数已有几十年的运行经验,且已成为金融市场走势重要的风向标,广泛运用于追踪商品期货价格波动和预测分析经济走势等用途中。对比国内期货市场,虽经历近20年的发展正逐步走向成熟,但对于商品指数的研究和开发还处于起步阶段,在商品期货价格指数领域存在空白,并且目前市场又进入了指数产品化发展的紧要关头。综上所述,设计编制我国的大宗商品期货指数,不仅对于国内期货市场整体运行及未来走势提供衡量指标,更能为后续商品市场指数化产品研发和推广奠定基础,为实现我国期货市场与国际市场接轨增加市场竞争力。因此,本文在编制之初首先归纳梳理了国内外现行的期货指数;并对于期货指数编制的理论基础和国内期货市场发展现状进行分析介绍,对商品期货指数有序运行必备要素和市场价值进行重点分析,借鉴国内外成熟经验,并与我国期货发展现状和实际国情相结合,编制我国农产品期货指数。指数设计的创新之处在于立足于期货公司等金融机构,设计目的是为了未来期货指数化基金产品开发及投资,并期望在收益率上跑赢国内CPI,因此在指数编制的设计方面有所突破,尤其是权重设置时选择国内CPI和M2增长率作为赋权指标,以期实现追踪CPI、战胜CPI收益的设计目的。通过本文的设计编制,希望为后续指数化衍生产品的开发和投资,以及未来我国全品种综合期货指数的编制提供思路借鉴和设计基础。最后,针对商品期货指数运行情况给出相应优化建议。
[Abstract]:In the global futures market, commodity futures index has been operating for decades and has become an important vane of financial market trend. It is widely used in tracking commodity futures price fluctuation and forecasting and analyzing economic trend.Compared with the domestic futures market, although the development of the commodity index is gradually maturing in the past 20 years, the research and development of the commodity index is still in its infancy, and there is a blank in the field of commodity futures price index.And now the market has entered the critical moment of index production development.To sum up, the design and compilation of China's commodity futures index can not only provide a measurement index for the overall operation and future trend of the domestic futures market, but also lay a foundation for the development and promotion of indexed products in the subsequent commodity market.In order to achieve our futures market and the international market to increase the competitiveness of the market.Therefore, at the beginning of the compilation, this paper first summarizes the current futures index at home and abroad, and analyzes the theoretical basis of the establishment of futures index and the current situation of the development of the domestic futures market.Based on the analysis of the essential elements and market value of commodity futures index in orderly operation, this paper draws lessons from the mature experience at home and abroad, and combines it with the present situation and actual situation of futures development in China to compile the futures index of agricultural products in China.The innovation of index design is based on financial institutions such as futures companies. The purpose of index design is to develop and invest futures indexed fund products in the future.We expect to outperform the domestic CPIs on the return rate, so we have a breakthrough in the design of the index compilation, especially when we choose the domestic CPI and M2 growth rate as the weighting index when setting the weights, in order to achieve the purpose of tracking the CPIs and defeating the CPI returns.Through the design and compilation of this paper, the author hopes to provide a reference and design basis for the development and investment of the indexed derivative products and the compilation of the comprehensive futures index of the whole variety in China in the future.Finally, according to the operation of commodity futures index, the corresponding optimization suggestions are given.
【学位授予单位】：河北金融学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F323.7;F724.5

【相似文献】