中国玉米期货市场价格发现和套期保值功能分析
发布时间：2019-02-19 11:24
【摘要】：普遍认为,一个高效率的期货市场能够有效地促进现货市场的平稳发展。而价格发现功能作为整个期货市场存在和发展的基础,同时也是期货市场套期保值功能发挥作用的前提,对于期货市场具有特别重要的意义。玉米作为全球上市时间最早和最为活跃的商品期货品种,自2004年玉米期货品种在大连商品交易所上市以来,走出了一条发展迅速、运行平稳的曲线,作为我国重要的农产品期货市场,对玉米期货市场的价格发现和套期保值功能进行研究具有十分重要的意义。本文首先介绍了价格发现和套期保值的理论基础以及我国玉米期货市场的发展概述。然后进入了文章的重点,包括了研究设计以及实证分析,主要分为两部分,第一部分是价格发现功能的分析过程,包括了相关性分析、ADF检验、协整检验、格兰杰因果检验,得到我国玉米期货和现货价值之间存在长期均衡关系的结论,期货市场具有价格发现功能,这就为玉米期货的套期保值提供了良好的基础条件;第二部分是套期保值功能的分析过程,即利用OLS最小二乘法计算得到最优套期保值比率和套期保值绩效值,得到最终的套期保值绩效并不高的结论。然后,就当前套期保值绩效值不高的原因进行了剖析,分别从国家政策角度、活跃合约角度以及市场体系建设角度进行了解释。最后,顺着原因提出了相应的对策建议,从少政策对市场的干扰、玉米现货市场的市场化体系建设、玉米期货交割体系建设、玉米期货市场发展完善角度提出建议。
[Abstract]:It is generally believed that a highly efficient futures market can effectively promote the smooth development of the spot market. As the basis of the existence and development of the whole futures market, the price discovery function is also the premise of the futures market hedging function, which is of special significance to the futures market. As the earliest and most active commodity futures variety in the world, corn futures have been listed on the Dalian Commodity Exchange since 2004, and have gone out of a curve of rapid development and smooth operation. As an important agricultural product futures market in China, it is of great significance to study the price discovery and hedging function of corn futures market. This paper first introduces the theoretical basis of price discovery and hedging and the development of corn futures market in China. The first part is the analysis process of price discovery function, including correlation analysis, ADF test, cointegration test, Granger causality test. The conclusion is that there is a long-term equilibrium relationship between corn futures and spot value in China. The futures market has the function of price discovery, which provides a good basis for the hedging of corn futures. The second part is the analysis process of hedging function, that is, using the OLS least square method to calculate the optimal hedging ratio and hedging performance value, and get the conclusion that the final hedging performance is not high. Then, the paper analyzes the reasons why the current hedging performance is not high, and explains the reasons from the angle of national policy, active contract and market system construction. Finally, the corresponding countermeasures and suggestions are put forward according to the reasons, such as the interference of less policies to the market, the construction of market system of spot corn market, the construction of corn futures delivery system, and the development and perfection of corn futures market.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F323.7
本文编号：2426456
[Abstract]:It is generally believed that a highly efficient futures market can effectively promote the smooth development of the spot market. As the basis of the existence and development of the whole futures market, the price discovery function is also the premise of the futures market hedging function, which is of special significance to the futures market. As the earliest and most active commodity futures variety in the world, corn futures have been listed on the Dalian Commodity Exchange since 2004, and have gone out of a curve of rapid development and smooth operation. As an important agricultural product futures market in China, it is of great significance to study the price discovery and hedging function of corn futures market. This paper first introduces the theoretical basis of price discovery and hedging and the development of corn futures market in China. The first part is the analysis process of price discovery function, including correlation analysis, ADF test, cointegration test, Granger causality test. The conclusion is that there is a long-term equilibrium relationship between corn futures and spot value in China. The futures market has the function of price discovery, which provides a good basis for the hedging of corn futures. The second part is the analysis process of hedging function, that is, using the OLS least square method to calculate the optimal hedging ratio and hedging performance value, and get the conclusion that the final hedging performance is not high. Then, the paper analyzes the reasons why the current hedging performance is not high, and explains the reasons from the angle of national policy, active contract and market system construction. Finally, the corresponding countermeasures and suggestions are put forward according to the reasons, such as the interference of less policies to the market, the construction of market system of spot corn market, the construction of corn futures delivery system, and the development and perfection of corn futures market.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F323.7
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