本文選題：效率　切入點：農(nóng)產(chǎn)品期貨市場　出處：《陜西師范大學》2010年碩士論文　論文類型：學位論文

【摘要】：近年來,隨著我國加入WTO,不斷增長的貿(mào)易競爭和摩擦對我國經(jīng)濟發(fā)展形成較大的沖擊。作為一個農(nóng)業(yè)大國,農(nóng)業(yè)經(jīng)濟的發(fā)展一直是我國經(jīng)濟發(fā)展的重中之重,農(nóng)產(chǎn)品價格越來越多的受到國際農(nóng)產(chǎn)品價格波動的影響,造成我國農(nóng)產(chǎn)品市場供求失真,這無疑對我國農(nóng)業(yè)經(jīng)濟發(fā)展有較大的負面作用。中國作為一個農(nóng)業(yè)大國,農(nóng)業(yè)經(jīng)濟發(fā)展在我國經(jīng)濟發(fā)展中占有舉足輕重的地位。農(nóng)產(chǎn)品期貨市場的發(fā)展、完善對于農(nóng)業(yè)經(jīng)濟發(fā)展有著重要影響,建立高效運行的農(nóng)產(chǎn)品期貨市場將大大增加我國農(nóng)業(yè)經(jīng)濟的競爭力。 研究表明,農(nóng)產(chǎn)品期貨市場是農(nóng)業(yè)經(jīng)濟健康發(fā)展的必要保障,完善有效的農(nóng)產(chǎn)品期貨市場不但有助于農(nóng)業(yè)生產(chǎn)發(fā)現(xiàn)價格、規(guī)避風險,更能從宏觀上提供信息傳導功能,為我國制定農(nóng)業(yè)政策提供幫助。有益于我國建設現(xiàn)代化農(nóng)業(yè),提高農(nóng)民生活水平,完成農(nóng)業(yè)結(jié)構(gòu)現(xiàn)代化調(diào)整。基于上述原因,本文以“中國農(nóng)產(chǎn)品期貨市場效率研究”為題,通過理論分析和實證分析相結(jié)合的方法,尋求影響我國農(nóng)產(chǎn)品期貨市場效率的主要因素,并回答市場運行是否有效。在此基礎上提出農(nóng)產(chǎn)品期貨市場的改進措施和發(fā)展策略。 本文立足于有效市場假說,運用數(shù)理統(tǒng)計和計量經(jīng)濟學的有關(guān)方法對農(nóng)產(chǎn)品期貨市場中,單一產(chǎn)品的市場價格發(fā)現(xiàn)效率以及整個農(nóng)產(chǎn)品期貨市場的市場效率進行實證研究。以此來揭示我國農(nóng)產(chǎn)品期貨市場的發(fā)展狀況,并借鑒發(fā)達國家農(nóng)產(chǎn)品期貨市場發(fā)展的經(jīng)驗,提出提高我國農(nóng)產(chǎn)品期貨市場效率的建議。 首先,回顧了國內(nèi)外學者對期貨市場效率研究的理論和方法�；谟行袌黾僬f,國內(nèi)外學者通過計量分析和投資組合理論分析,實證研究了國內(nèi)外期貨市場價格發(fā)現(xiàn)效率和整體運行效率。研究結(jié)果表明：西方發(fā)達國家的農(nóng)產(chǎn)品期貨市場是常常有效的,只有偶爾出現(xiàn)價格失真的情況；我國農(nóng)產(chǎn)品期貨市場由于其起步較晚,發(fā)展時間較短,期貨價格曾一度不能傳導真實價格信息。 然后在文獻分析的基礎上提出了理論分析我國農(nóng)產(chǎn)品期貨市場效率的方法,從期貨市場因素和現(xiàn)貨市場因素分析了其如何影響我國農(nóng)產(chǎn)品期貨市場效率。為后面數(shù)理分析、計量分析,以及政策建議提供了研究思路和方法。 接下來,文章基于馬可維茨投資組合理論從宏觀層面上對我國農(nóng)產(chǎn)品期貨市場效率進行了分析,并實證分析了影響效率發(fā)揮的主要因素因素,另外文章由有效市場假說出發(fā),通過協(xié)整理論,從微觀層面上對農(nóng)產(chǎn)品期貨市場定價效率進行了實證研究。研究發(fā)現(xiàn),我國現(xiàn)貨市場的發(fā)展狀況和國外期貨市場價格波動是影響我國農(nóng)產(chǎn)品期貨市場效率的主要因素。 最后,針對前面實證分析的結(jié)果,從發(fā)展完善現(xiàn)貨市場、建立完全競爭現(xiàn)貨市場、在國際化競爭中掌握定價權(quán)的角度提出了改進我國期貨市場運行效率的政策建議和發(fā)展策略。
[Abstract]:In recent years, with China's entry into WTO, the increasing trade competition and friction have a great impact on the economic development of our country. As a large agricultural country, the development of agricultural economy has always been the most important part of the economic development of our country. The price of agricultural products is more and more affected by the fluctuation of international agricultural products prices, resulting in the distortion of supply and demand in the agricultural products market of our country, which undoubtedly has a great negative effect on the development of our agricultural economy. China is a large agricultural country. Agricultural economic development plays an important role in the economic development of our country. The development of futures market of agricultural products has an important influence on the development of agricultural economy. The establishment of an efficient agricultural futures market will greatly increase the competitiveness of our agricultural economy. The research shows that the agricultural product futures market is the necessary guarantee for the healthy development of the agricultural economy. Perfecting the effective agricultural product futures market is not only helpful for agricultural production to find the price, avoid the risk, but also provide the information transmission function from the macroscopic view. It is beneficial to the construction of modern agriculture, the improvement of farmers' living standard and the adjustment of agricultural structure modernization. Based on the above reasons, this paper focuses on the research on the efficiency of China's agricultural products futures market. Through the combination of theoretical analysis and empirical analysis, this paper seeks for the main factors that affect the efficiency of China's agricultural product futures market, and answers whether the market is effective or not. On this basis, the improvement measures and development strategies of the agricultural product futures market are put forward. Based on the efficient market hypothesis, this paper applies mathematical statistics and econometric methods to the agricultural products futures market. The market price discovery efficiency of a single product and the market efficiency of the whole agricultural product futures market are empirically studied in order to reveal the development of the agricultural product futures market in China, and to draw lessons from the experience of the development of the agricultural product futures market in the developed countries. Some suggestions are put forward to improve the efficiency of China's agricultural futures market. Firstly, it reviews the theories and methods of the research on the efficiency of futures market. Based on the efficient market hypothesis, domestic and foreign scholars analyze the futures market efficiency by econometric analysis and portfolio theory analysis. Empirical study on the efficiency of price discovery and overall operation of futures markets at home and abroad. The results show that the futures markets of agricultural products in western developed countries are often effective, only occasional price distortion; Because of its late start and short development time, the futures market of our country once could not transmit the real price information. Then, on the basis of literature analysis, the paper puts forward a method to analyze the efficiency of China's agricultural product futures market theoretically, and analyzes how it affects the efficiency of China's agricultural product futures market from the perspective of futures market factors and spot market factors. Quantitative analysis, as well as policy recommendations, provide research ideas and methods. Then, based on Ma Ke's portfolio theory, the paper analyzes the efficiency of China's agricultural products futures market from the macro level, and empirically analyzes the main factors that affect the efficiency. In addition, the article starts from the efficient market hypothesis. Based on the co-integration theory, this paper makes an empirical study on pricing efficiency of agricultural products futures market at the micro level. The development of China's spot market and the price fluctuation of foreign futures market are the main factors affecting the efficiency of China's agricultural product futures market. Finally, according to the results of the previous empirical analysis, from the development and improvement of the spot market, the establishment of a fully competitive spot market, In the view of holding pricing power in the international competition, this paper puts forward some policy suggestions and development strategies to improve the operation efficiency of China's futures market.
【學位授予單位】：陜西師范大學
【學位級別】：碩士
【學位授予年份】：2010
【分類號】：F724.5;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 郭恒軍;農(nóng)產(chǎn)品價格波動與期貨市場機制[J];財經(jīng)科學;1992年01期

2 錢小安;建立中國統(tǒng)一的金融監(jiān)管體制的構(gòu)想[J];財經(jīng)科學;2002年01期

3 徐劍剛;我國期貨市場有效性的實證研究[J];財貿(mào)經(jīng)濟;1995年08期

4 張屹山;方毅;黃琨;;中國期貨市場功能及國際影響的實證研究[J];管理世界;2006年04期

5 華仁海,陳百助;我國期貨市場期貨價格收益及波動方差的長記憶性研究[J];金融研究;2004年02期

6 蔣舒;吳沖鋒;;中國期貨市場的有效性:過度反應和國內(nèi)外市場關(guān)聯(lián)的視角[J];金融研究;2007年02期

7 華仁海,仲偉俊;對我國期貨市場價格發(fā)現(xiàn)功能的實證分析[J];南開管理評論;2002年05期

8 呂東輝,楊印生,王旭;農(nóng)產(chǎn)品期貨價格形成機理研究[J];農(nóng)業(yè)技術(shù)經(jīng)濟;2005年02期

9 華仁海,仲偉俊;我國期貨市場期貨價格收益、交易量、波動性關(guān)系的動態(tài)分析[J];統(tǒng)計研究;2003年07期

10 徐劍剛;期貨報酬時間序列統(tǒng)計特性[J];統(tǒng)計研究;1997年03期

相關(guān)博士學位論文 前1條

1 王健;我國糧食流通體制改革中的期貨市場利用問題研究[D];浙江大學;2004年

，

本文編號：1599910