美农报告对中国农产品期货收益率影响的实证研究
发布时间：2019-06-09 19:16
【摘要】：世界农产品供求预测报告(World Agricultural Supply and Demand Estimates,WASDE,以下简称美农报告)是美国农业部定期发布的官方报告,反应了全球农产品未来的供需情况,进而对农产品期货市场产生影响。本文在阐明研究背景和对已有研究回顾的基础上,采用事件研究法,选取中国期货市场豆一、豆油、棉花三个期货品种为研究对象,分别使用期货日交易数据和高频交易数据,实证检验了美农报告对相关期货品种收益率的短期影响,低频研究样本区间为2002年3月-2013年2月,高频研究样本区间为2003年8月-2012年4月。根据美农报告中相关品种的产量、期末库存、总消费等供求数据环比和同比调整幅度的大小来分组并定义事件,同时分别采用加权合约和主力合约方法来构造期货连续价格序列。低频和高频研究结果表明:(1)美农报告中不同指标调整对期货市场的影响存在差异。在低频研究中,期末库存-总消费联合指标对期货市场产生的影响最大,其次是单指标的期末库存和总消费指标。而在高频研究中,期末库存-总消费联合指标和总消费指标对期货市场产生的影响类似,都产生了显著的累积异常收益率。与此同时,本文研究还发现期货市场常常会对产量调整做出相反反应。(2)美农报告对不同期货品种产生的影响也不一致,相对而言,外贸依存度较高的豆一和棉花品种比豆油对美农报告的反应更明显。(3)期货市场对环比和同比数据调整的敏感程度不同,同比调整对期货市场影响更大。总体而言,在一些特定的事件分类方法下,各期货品种产生了显著的异常收益率和累积异常收益率,说明美农报告数据调整向市场准确地传递了信号,在一定程度上影响了中国农产品期货的价格走势。
[Abstract]:The World Agricultural products supply and demand Forecast report (World Agricultural Supply and Demand Estimates,WASDE,) is the official report issued regularly by the United States Department of Agriculture (USDA), which reflects the future supply and demand of global agricultural products, and then has an impact on the agricultural futures market. On the basis of expounding the research background and reviewing the existing research, this paper adopts the event research method to select the three futures varieties of soybean, soybean oil and cotton in the Chinese futures market as the research objects, and uses the futures daily trading data and the high frequency trading data, respectively. The short-term effect of Meinong report on the yield of related futures varieties is empirically tested. The sample range of low frequency research is from March 2002 to February 2013, and the sample range of high frequency research is from August 2003 to April 2012. According to the output, final inventory, total consumption and other supply and demand data of the relevant varieties in the Meinong report, the data of supply and demand and the size of the adjustment range from the same period last year are divided into groups and events are defined. At the same time, weighted contract and main contract method are used to construct the continuous price series of futures. The results of low frequency and high frequency research show that: (1) there are differences in the influence of different index adjustment on futures market in Meinong report. In the low frequency research, the joint index of final inventory and total consumption has the greatest influence on the futures market, followed by the final inventory and total consumption index of a single index. In the high frequency research, the impact of the final inventory-total consumption joint index and the total consumption index on the futures market is similar, resulting in significant cumulative abnormal rate of return. At the same time, this study also found that the futures market often makes the opposite response to the output adjustment. (2) the impact of the Meinong report on different futures varieties is also inconsistent, relatively speaking, The response of soybean and cotton varieties with high dependence on foreign trade to Meinong report was more obvious than that of soybean oil. (3) the sensitivity of futures market to month-on-month and year-on-year data adjustment was different, and the year-on-year adjustment had a greater impact on futures market. Generally speaking, under some specific event classification methods, each futures variety produces significant abnormal rate of return and cumulative abnormal rate of return, which indicates that the adjustment of Meinong's report data transmits the signal to the market accurately. To a certain extent, it has affected the price trend of China's agricultural futures.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F323.7;F724.5
本文编号：2495822
[Abstract]:The World Agricultural products supply and demand Forecast report (World Agricultural Supply and Demand Estimates,WASDE,) is the official report issued regularly by the United States Department of Agriculture (USDA), which reflects the future supply and demand of global agricultural products, and then has an impact on the agricultural futures market. On the basis of expounding the research background and reviewing the existing research, this paper adopts the event research method to select the three futures varieties of soybean, soybean oil and cotton in the Chinese futures market as the research objects, and uses the futures daily trading data and the high frequency trading data, respectively. The short-term effect of Meinong report on the yield of related futures varieties is empirically tested. The sample range of low frequency research is from March 2002 to February 2013, and the sample range of high frequency research is from August 2003 to April 2012. According to the output, final inventory, total consumption and other supply and demand data of the relevant varieties in the Meinong report, the data of supply and demand and the size of the adjustment range from the same period last year are divided into groups and events are defined. At the same time, weighted contract and main contract method are used to construct the continuous price series of futures. The results of low frequency and high frequency research show that: (1) there are differences in the influence of different index adjustment on futures market in Meinong report. In the low frequency research, the joint index of final inventory and total consumption has the greatest influence on the futures market, followed by the final inventory and total consumption index of a single index. In the high frequency research, the impact of the final inventory-total consumption joint index and the total consumption index on the futures market is similar, resulting in significant cumulative abnormal rate of return. At the same time, this study also found that the futures market often makes the opposite response to the output adjustment. (2) the impact of the Meinong report on different futures varieties is also inconsistent, relatively speaking, The response of soybean and cotton varieties with high dependence on foreign trade to Meinong report was more obvious than that of soybean oil. (3) the sensitivity of futures market to month-on-month and year-on-year data adjustment was different, and the year-on-year adjustment had a greater impact on futures market. Generally speaking, under some specific event classification methods, each futures variety produces significant abnormal rate of return and cumulative abnormal rate of return, which indicates that the adjustment of Meinong's report data transmits the signal to the market accurately. To a certain extent, it has affected the price trend of China's agricultural futures.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F323.7;F724.5
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