我国鸡蛋期货价格与现货价格关系的实证研究

发布时间：2018-10-31 21:27

【摘要】：鸡蛋期货于2013年11月8日在大连商品交易所上市,作为我国首个上市的鲜活农产品期货,它的诞生开辟了中国农产品期货的新领域。鸡蛋期货对我国整个期货市场影响重大,并且对于鸡蛋相关行业也具有深远的意义。投资者对于鸡蛋期货这一新品种的关注度和参与热情非常高。但由于上市时间较短,人为炒作因素明显,导致期货价格过度偏离实际价值;由于缺乏国外关于鸡蛋期货可供参考的经验,只有美国和日本曾开展鸡蛋期货交易但目前都已停止,现今对鸡蛋期货的研究比较少。因此,研究鸡蛋期货市场的发展状况,了解鸡蛋期货的价格发现功能的发挥程度,关系到鸡蛋期货的有序发展,同时也影响整个禽蛋产业及农产品市场的稳定。基于以上背景,本文选择鸡蛋期货价格和现货价格作为研究对象。首先,对鸡蛋现货市场和期货市场的发展状况进行分析,并从鸡蛋期货合约、成交量、持仓量、换手率和价格波动来介绍期货市场的运行状况。其次,采用实证方法对鸡蛋期现货价格的关系进行分析。利用统计特征分析、相关性分析、协整检验、Granger因果检验、VAR向量自回归模型和脉冲相应函数等方法。最后,总结研究结果,对鸡蛋现货市场和期货市场的发展提出政策建议。研究结果表明:鸡蛋期现货价格具有较高的相关性,呈现大体一致的变动趋势,但鸡蛋现货价格的波动更加剧烈;二者具有双向的Granger因果关系,期货价格对现货价格具有更显著的引导作用;VAR模型与脉冲响应函数分析表明,期现货价格对于市场信息的反映都具有一定程度的灵敏性,但现货价格对于期货价格变动的反应更为显著。因此,鸡蛋期货自上市以来价格发现功能的发挥越来越完善,市场的成熟度也有所提高。通过对我国鸡蛋期现货市场发展现状的理论研究与期现货价格关系的实证分析,并结合国外鸡蛋期货市场发展带来的启示,提出四点政策建议:第一,加强对鸡蛋现货市场的科学调控,避免鸡蛋价格的剧烈波动;第二,完善鸡蛋期货合约的标准设计与交割制度;第三;有效扩大参与期货套期保值的主体;最后,遏制鸡蛋期货过度投机,加大市场监管力度。
[Abstract]:Egg futures were listed on Dalian Commodity Exchange on November 8, 2013. As the first fresh agricultural products futures listed in China, the birth of egg futures opened up a new field of Chinese agricultural products futures. Egg futures have a great impact on the whole futures market of our country, and also have far-reaching significance to egg related industries. Investors for egg futures this new variety of attention and participation enthusiasm is very high. However, because of the short time of listing and the obvious factor of artificial speculation, the futures price deviates from the actual value excessively; Due to the lack of foreign experience on egg futures, only the United States and Japan have developed egg futures trading but have now stopped, and now the research on egg futures is less. Therefore, studying the development of the egg futures market and understanding the extent of the price discovery function of the egg futures are related to the orderly development of the egg futures, and also affect the stability of the whole poultry and egg industry and the agricultural products market. Based on the above background, this paper chooses egg futures price and spot price as the research object. Firstly, the paper analyzes the development of the spot market and the futures market, and introduces the operation of the futures market from the perspective of egg futures contract, trading volume, position, turnover and price fluctuation. Secondly, the relationship between spot price of egg period is analyzed by empirical method. The methods of statistical feature analysis, correlation analysis, cointegration test, Granger causality test, VAR vector autoregressive model and impulse corresponding function are used. Finally, the paper summarizes the research results and puts forward some policy suggestions on the development of spot market and futures market. The results show that: the spot price of egg has a high correlation, showing a general trend of change, but the spot price of eggs fluctuates more sharply; The two have two-way Granger causality, and futures prices have a more significant role in guiding spot prices; VAR model and impulse response function analysis show that spot price is sensitive to market information to some extent, but spot price is more sensitive to futures price change. Therefore, the price discovery function of egg futures has become more and more perfect, and the maturity of the market has also been improved. Based on the empirical analysis of the relationship between the current situation of the development of the spot market and the spot price of the stock market in China, and combined with the enlightenment brought about by the development of the foreign egg futures market, four policy suggestions are put forward: first, Strengthen the scientific control of the spot market of eggs to avoid the drastic fluctuation of the price of eggs; Second, perfect the standard design and delivery system of egg futures contracts; third, effectively expand the main body involved in futures hedging; finally, curb excessive speculation of egg futures and strengthen market supervision.
【学位授予单位】：安徽农业大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F323.7;F724.5

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