中国橡胶期货市场价格发现功能实证研究

发布时间：2018-05-15 05:25

本文选题：橡胶 + 期货市场　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：橡胶作为国际上重要的大宗商品之一,具有重要的应用价值及经济含义。橡胶本身具有良好的伸缩、绝缘、防水、可塑等优良性质,因此被广泛地应用于日常生活及其他各行各业之中。橡胶期货是以天然橡胶为标的的金融衍生品。天然橡胶作为实体经济中重要的原材料之一,它的期、现货价格波动在一定程度上起到了经济“晴雨表”的作用,因此市场在定价及价格发现方面的作用就显的十分重要。世界上的主要橡胶输出国集中在东南亚,而其定价权却掌握在欧美、日本、新加坡等橡胶期货市场发达的几个国家手中。中国作为橡胶产业的重要参与大国,对天然橡胶及橡胶制品的需求量十分巨大。但是由于中国期货市场的发展缓慢及制度不完善等内在原因,在橡胶定价方面鲜有话语权,在国际橡胶贸易中也一直处于被动地位。因此本文以橡胶为研究标的,主要研究了期货市场对大宗商品的价格发现作用。文章先在持有成本、仓储成本、价格预期三种价格发现理论的基础之上引出了本文的主要研究方法,然后对世界及中国的橡胶市场进行了详细的描述。笔者利用中国橡胶期货上市后的2014年3月17日至2017年2月17日连续价格和中国橡胶现货市场日连续价格的数据进行实证分析,选取了VAR模型、Garbade-Silber模型及其他相关检验方法对中国橡胶期货市场进行了全方位的检测,实证结果发现由于我国期货市场发展的不完善,导致市场的价格发现功能还很薄弱,这都从侧面折射出我国期货市场还极不成熟的事实。文章在最后针对实证结果对中国期货市场的发展提出了几点政策建议,主要包括制度完善、品种扩容及市场监管等方面。
[Abstract]:As one of the most important commodities in the world, rubber has important application value and economic meaning. Rubber is widely used in daily life and other industries because of its excellent properties such as extensibility, insulation, waterproof and plasticization. Rubber futures are financial derivatives based on natural rubber. Natural rubber is one of the important raw materials in the real economy, its period, spot price fluctuation has played the economic "barometer" function to a certain extent, therefore the market function in the pricing and the price discovery aspect obviously is very important. The major rubber exporters in the world are concentrated in Southeast Asia, but their pricing power is in the hands of several countries with developed rubber futures markets, such as Europe, America, Japan, Singapore and so on. As an important country in the rubber industry, China has a huge demand for natural rubber and rubber products. However, due to the slow development of China's futures market and imperfect system, there is little right to speak in rubber pricing, and it has always been in a passive position in the international rubber trade. Therefore, this paper mainly studies the effect of futures market on commodity price discovery. On the basis of three kinds of price discovery theories: holding cost, warehousing cost and price expectation, this paper introduces the main research methods of this paper, and then gives a detailed description of the rubber market in the world and China. Based on the data from March 17, 2014 to February 17, 2017, and the daily continuous prices in the spot market of Chinese rubber, the author makes an empirical analysis. This paper selects the VAR model Garbade-Silber model and other related testing methods to carry on the omni-directional inspection to the Chinese rubber futures market. The empirical results show that the market price discovery function is still very weak because of the imperfect development of China's futures market. This reflects from the side of our futures market is still very immature fact. In the end, the paper puts forward some policy suggestions on the development of Chinese futures market, including system perfection, variety expansion and market supervision and so on.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F323.7;F724.5

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