發(fā)布時間：2018-04-02 01:21

  本文選題：大豆期貨價格　切入點：大豆現(xiàn)貨價格　出處：《東北農(nóng)業(yè)大學》2017年碩士論文

【摘要】：大豆市場是中國糧食市場的重要組成部分,大豆市場運行良好與否直接關系到糧食市場的發(fā)展。隨著我國經(jīng)濟的發(fā)展,大豆的需求量呈逐年上漲的趨勢,國內(nèi)大豆供給已遠遠不能不滿足國內(nèi)發(fā)展的需求,再加之國內(nèi)大豆種植面積逐年萎縮,大豆產(chǎn)量不斷下降,我國對進口大豆的依存度越來越高,目前中國已成為全球大豆最大進口國,國際大豆市場價格的劇烈波動也對國內(nèi)大豆價格的影響越來越大,使得國內(nèi)大豆期現(xiàn)貨市場的聯(lián)動性面臨日益嚴峻的考驗。由于大豆期貨市場和現(xiàn)貨市場是大豆市場重要組成部分,本文以大豆期貨價格和現(xiàn)貨價格作為研究對象,通過大量的國內(nèi)外文獻資料閱讀,界定了期現(xiàn)貨價格擬合的概念,本文認為期現(xiàn)貨價格擬合是指在期貨市場價格發(fā)現(xiàn)功能的作用下的期現(xiàn)貨價格的聯(lián)動程度。在此基礎上,本文通過從大連商品期貨交易所和國家糧油信息中心搜集、計算、整理得到2007年至2015年大豆期現(xiàn)貨價格數(shù)據(jù)進行走勢分析可知,大豆期現(xiàn)貨價格在金融危機爆發(fā)時期同時出現(xiàn)了大幅度快速上漲與大幅度急劇下跌的波動趨勢,而在金融危機過后的復蘇發(fā)展階段,盡管大豆期現(xiàn)貨價格從長期呈現(xiàn)出緩慢回升趨勢,但大豆期現(xiàn)貨價格的波動幅度和趨勢在復蘇前期呈現(xiàn)出較為同步的變化,大豆期貨價格對現(xiàn)貨價格的引領作用并未得到體現(xiàn)。隨著時間的推移,大豆期貨價格基本呈現(xiàn)出先于現(xiàn)貨價格發(fā)生趨勢的變化,然而大豆現(xiàn)貨價格同一波動趨勢時間較長,價格波動趨勢轉(zhuǎn)變較慢。為深入分析大豆期現(xiàn)貨價格波動原因,本文從影響大豆期現(xiàn)貨價格擬合的供求狀況、信息傳遞情況、人為操控、心理預期程度、政策效應五個方面進行分析,從而為實證結果的探究做鋪墊。在實證探究方面,鑒于大豆期現(xiàn)貨價格擬合是大豆期現(xiàn)貨聯(lián)動性的體現(xiàn),本文分別從大豆期現(xiàn)貨價格的相關關系、均衡關系、引導關系、動態(tài)效應四個方面進行實證探究,綜合分析大豆期現(xiàn)貨價格擬合關系。通過實證得出從2007年至2015年,我國大豆期現(xiàn)貨價格雖然整體擬合關系較好,期貨市場價格發(fā)現(xiàn)功能從長期得到有效發(fā)揮,但存在著單向引導關系所導致的價格發(fā)現(xiàn)功能不完備以及大豆期現(xiàn)貨價格之間短期聯(lián)動性較差、信息傳遞效率較低的問題。結合期現(xiàn)貨價格走勢及影響因素針對實證結果進行原因分析可知:大豆期貨市場信息搜集機制發(fā)展不完善,大豆現(xiàn)貨市場組織化程度落后,大豆現(xiàn)貨生產(chǎn)主體期貨參與度較低。并在此基礎上,從大豆期現(xiàn)貨市場及市場參與主體的角度提出相關對策以提升大豆期現(xiàn)貨市場價格的聯(lián)動性,增強大豆期現(xiàn)貨市場的緊密聯(lián)系程度,促進國內(nèi)大豆市場的健康快速發(fā)展。
[Abstract]:The soybean market is an important part of China's grain market. Whether the soybean market is running well or not is directly related to the development of the grain market. With the development of China's economy, the demand for soybean is increasing year by year. Domestic soybean supply has far to meet the domestic development needs, plus the domestic soybean planting area shrinks year by year, soybean production continues to decline, China's dependence on imported soybeans is becoming higher and higher. At present, China has become the largest importer of soybeans in the world, and the sharp fluctuations in the international soybean market have increasingly affected the domestic soybean prices. As the soybean futures market and spot market are an important part of soybean market, this paper takes soybean futures price and spot price as the research object. This paper defines the concept of futures spot price fitting by reading a lot of domestic and foreign literatures. This paper considers that futures spot price fitting is the linkage degree of futures spot price under the function of price discovery in futures market. Through collecting and calculating from Dalian Commodity Futures Exchange and the National Grain and Oil Information Center, we can get the spot price data of soybean from 2007 to 2015 for trend analysis. During the financial crisis period, the spot price of soybeans also showed a trend of sharp and rapid rise and sharp decline, while in the stage of recovery and development after the financial crisis, Although the spot price of soybean shows a slow upward trend from a long time, the fluctuation range and trend of spot price in soybean period show more synchronous changes in the early stage of recovery. The leading role of soybean futures prices in spot prices has not been reflected. With the passage of time, soybean futures prices basically show a trend of change ahead of spot prices. However, the same trend of spot soybean prices fluctuates for a long time. The trend of price fluctuation changes slowly. In order to analyze the reason of spot price fluctuation in soybean period, this paper analyzes the supply and demand situation, information transmission, artificial manipulation, psychological expectation degree of spot price fitting in soybean period. In the empirical research, in view of the soybean spot price fitting is the embodiment of soybean spot price linkage, this paper respectively from the soybean spot price correlation, Through the empirical analysis of soybean spot price fitting relationship from 2007 to 2015, it is concluded that the overall fitting relationship of soybean spot price in China is better than that in China from 2007 to 2015. The function of price discovery in futures market has been brought into full play from a long time, but the price discovery function caused by unidirectional guidance relationship is incomplete and the short-term linkage between spot price of soybean is poor. According to the results of empirical analysis, the mechanism of information collection in soybean futures market is not perfect, and the degree of organization in spot market of soybean is backward. The participation of soybean spot producer futures is relatively low. On this basis, from the point of view of soybean spot market and market participants, the relevant countermeasures are put forward to promote the linkage of soybean spot market price. Strengthen the close contact degree of soybean spot market, promote the healthy and rapid development of domestic soybean market.
【學位授予單位】：東北農(nóng)業(yè)大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F323.7;F724.5

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本文編號：1698160