本文選題：期貨價(jià)格　切入點(diǎn)：現(xiàn)貨價(jià)格　出處：《河南大學(xué)》2014年碩士論文

【摘要】：白糖作為我國(guó)重要的經(jīng)濟(jì)作物之一，既是居民日常生活的重要必需品，又是飲料、食品、制藥等工業(yè)經(jīng)濟(jì)中不可或缺的重要原料。因此，，白糖市場(chǎng)的穩(wěn)定發(fā)展既關(guān)系到百姓民生問(wèn)題，也直接影響著國(guó)民經(jīng)濟(jì)相關(guān)產(chǎn)業(yè)的健康運(yùn)行。然而，由于白糖“宿根”造成的生產(chǎn)特殊性極易導(dǎo)致供需失衡從而產(chǎn)生價(jià)格劇烈波動(dòng)，給白糖的生產(chǎn)加工企業(yè)、流通企業(yè)、下游消費(fèi)企業(yè)及居民百姓帶來(lái)了諸多不利影響。特別是近年來(lái)，中國(guó)期貨市場(chǎng)的發(fā)展，雖然比較快，但與國(guó)際期貨市場(chǎng)相比，由于起步較晚，發(fā)展還很不完善。因此，增強(qiáng)和完善期貨市場(chǎng)信息的透明度，避免過(guò)度投機(jī)和泡沫成分成為了完善我國(guó)白糖期貨市場(chǎng)、促進(jìn)實(shí)體產(chǎn)業(yè)優(yōu)化升級(jí)的必然趨勢(shì)。通過(guò)分析白糖市場(chǎng)行情及未來(lái)走勢(shì)，尋找白糖價(jià)格波動(dòng)規(guī)律和周期性變化特征，同時(shí)利用國(guó)內(nèi)外期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)和套期保值兩大功能，促進(jìn)我國(guó)白糖產(chǎn)業(yè)健康發(fā)展和優(yōu)化升級(jí)，從而化解白糖價(jià)格劇烈波動(dòng)風(fēng)險(xiǎn)，是本文研究的重要目的。 本文邏輯是首先通過(guò)對(duì)白糖進(jìn)行簡(jiǎn)潔概述，深入、細(xì)致分析世界白糖供需狀況及巴西、印度、泰國(guó)等國(guó)際白糖主產(chǎn)國(guó)的生產(chǎn)、消費(fèi)、進(jìn)出口、儲(chǔ)備、政策變動(dòng)，接著對(duì)我國(guó)白糖的生產(chǎn)供需基本情況進(jìn)行詳細(xì)分析，由此總結(jié)出影響白糖價(jià)格的主要因素。 在此基礎(chǔ)上開(kāi)始對(duì)白糖價(jià)格變動(dòng)的本質(zhì)規(guī)律進(jìn)行探索：通過(guò)對(duì)國(guó)內(nèi)外期貨市場(chǎng)進(jìn)行介紹，對(duì)期現(xiàn)貨價(jià)格關(guān)聯(lián)性的內(nèi)在理論進(jìn)行闡述，著重分析我國(guó)白糖基差變動(dòng)、月間價(jià)差、季節(jié)性變動(dòng)等規(guī)律，同時(shí)對(duì)未來(lái)價(jià)格進(jìn)行展望分析。 （1）lngjxh、lnlzxh、lnmtqh、lnztqh存在協(xié)整關(guān)系，即它們之間存在長(zhǎng)期穩(wěn)定的均衡關(guān)系。 （2）通過(guò)因果關(guān)系檢驗(yàn)表明，白糖期貨市場(chǎng)價(jià)格傳導(dǎo)機(jī)制的傳導(dǎo)速度快于現(xiàn)貨市場(chǎng)白糖價(jià)格傳導(dǎo)速度。其中國(guó)內(nèi)白糖現(xiàn)貨價(jià)格主要受鄭糖期貨價(jià)格和國(guó)際白糖期貨價(jià)格影響。而國(guó)際白糖現(xiàn)貨價(jià)格對(duì)國(guó)內(nèi)白糖現(xiàn)貨價(jià)格的影響則相對(duì)較慢。 （3）通過(guò)誤差修正模型還發(fā)現(xiàn)，國(guó)際白糖現(xiàn)貨價(jià)格走高反倒引起國(guó)內(nèi)白糖價(jià)格走低的結(jié)論不符合事實(shí)。究其原因，一方面因?yàn)槲覈?guó)白糖現(xiàn)貨市場(chǎng)與國(guó)際白糖市場(chǎng)并未完全接軌，比如我國(guó)白糖實(shí)行配額內(nèi)進(jìn)口和配額外進(jìn)口，同時(shí)白糖走私現(xiàn)象也比較嚴(yán)重，導(dǎo)致我國(guó)白糖現(xiàn)貨價(jià)格與國(guó)際白糖現(xiàn)貨價(jià)格關(guān)系同事實(shí)和基本邏輯不符。另一方面原因則可能是模型有待進(jìn)一步深入和修正。 最后本文綜合國(guó)內(nèi)外白糖市場(chǎng)格局、我國(guó)白糖產(chǎn)業(yè)現(xiàn)狀、我國(guó)白糖的價(jià)格規(guī)律，給出涉糖企業(yè)如何利用期貨市場(chǎng)促進(jìn)白糖產(chǎn)業(yè)優(yōu)化升級(jí)、穩(wěn)定發(fā)展的若干建議： （1）白糖生產(chǎn)、加工及貿(mào)易企業(yè)利用期貨市場(chǎng)指導(dǎo)生產(chǎn)經(jīng)營(yíng)。對(duì)蔗農(nóng)和上游生產(chǎn)企業(yè)而言，通過(guò)分析遠(yuǎn)期合約價(jià)格走勢(shì)、遠(yuǎn)期合約月間價(jià)差水平、期現(xiàn)基差水平，合理預(yù)估未來(lái)白糖現(xiàn)貨價(jià)格走勢(shì)，從而實(shí)現(xiàn)利潤(rùn)最大化的目的。 （2）白糖產(chǎn)業(yè)利用期貨市場(chǎng)完成現(xiàn)貨銷(xiāo)售采購(gòu)模式的創(chuàng)新。由于白糖期貨市場(chǎng)具有實(shí)物交割平倉(cāng)機(jī)制，因此期現(xiàn)貨價(jià)格及貨物具有統(tǒng)一性。利用期貨市場(chǎng)的實(shí)物交割平倉(cāng)機(jī)制，涉糖企業(yè)可以實(shí)現(xiàn)現(xiàn)貨采購(gòu)和銷(xiāo)售模式的創(chuàng)新。 例如在基差水平為負(fù)且基差水平絕對(duì)值大于買(mǎi)斷費(fèi)用時(shí)，上游企業(yè)可以通過(guò)在鄭州商品交易市場(chǎng)注冊(cè)標(biāo)準(zhǔn)倉(cāng)單，同時(shí)在期貨市場(chǎng)上賣(mài)出保值的方式銷(xiāo)售白糖現(xiàn)貨，從而達(dá)到利潤(rùn)最大化的目的。 在基差水平處于正常波動(dòng)范圍，達(dá)不到買(mǎi)斷的時(shí)機(jī)時(shí)，中間貿(mào)易商可以通過(guò)在期貨盤(pán)面利用點(diǎn)價(jià)的模式，同時(shí)鎖定上游白糖現(xiàn)貨采購(gòu)價(jià)格和下游白糖銷(xiāo)售價(jià)格，從而實(shí)現(xiàn)利潤(rùn)提前鎖定的目的。 （3）期貨市場(chǎng)具有套期保值功能，涉糖企業(yè)如何利用期貨市場(chǎng)化解價(jià)格波動(dòng)風(fēng)險(xiǎn)是企業(yè)和產(chǎn)業(yè)穩(wěn)步發(fā)展的關(guān)鍵之一。 如在白糖牛市周期或者白糖榨季末期，白糖現(xiàn)貨供應(yīng)趨緊，價(jià)格上行壓力較大，白糖下游消費(fèi)企業(yè)通過(guò)在期貨盤(pán)面買(mǎi)入保值，從而防范價(jià)格上行風(fēng)險(xiǎn)。 （4）涉糖企業(yè)利用期貨市場(chǎng)還可實(shí)現(xiàn)貿(mào)易融資。涉糖企業(yè)在資金緊張時(shí)，通過(guò)將符合白糖交割品級(jí)的白糖現(xiàn)貨拉至指定交割倉(cāng)庫(kù)，將白糖現(xiàn)貨注冊(cè)成標(biāo)準(zhǔn)倉(cāng)單。同時(shí)將白糖的標(biāo)準(zhǔn)倉(cāng)單質(zhì)押至銀行、投資公司、貿(mào)易公司等，可獲得相應(yīng)的資金現(xiàn)款，從而實(shí)現(xiàn)融資的需求。待資金寬松時(shí)再贖回現(xiàn)貨，從而使得企業(yè)多了一條解決資金燃眉之急的重要方法。
[Abstract]:As one of the important economic crops in our country , white sugar is an important and important raw material for the daily life of the inhabitants . Therefore , the development of the white sugar market is not only related to the people ' s livelihood , but also affects the healthy operation of the relevant industries of the national economy .

In this paper , the production , consumption , import and export , reserve and policy change of the world white sugar producing countries such as Brazil , India , Thailand and so on are analyzed in detail through the concise summary of white sugar , then the basic information of production and supply of white sugar in China is analyzed in detail , and the main factors that affect the price of white sugar are summarized .

On the basis of this , the essence of the price change of white sugar is explored : through the introduction of the futures market at home and abroad , the internal theory of the correlation of the current stock price is explained , and the regularity of the fluctuation of the white sugar base difference , the monthly price difference and the seasonal fluctuation are emphatically analyzed , and meanwhile , the future price is analyzed .

( 1 ) There is a cointegration relationship between lngjxh , lnlzxh , lnmtqh , lnztqh , that is , there is a long - term stable equilibrium relationship .

( 2 ) Through the causality test , the conduction velocity of the price conduction mechanism of the white sugar futures market is faster than the price conduction velocity of the white sugar in the spot market . The spot price of domestic white sugar is mainly influenced by the futures price of Zhengzhou sugar and the international white sugar futures price , and the effect of the spot price of international white sugar on the spot price of domestic white sugar is relatively slow .

( 3 ) The conclusion that the price of white sugar in China is low is not in accord with the fact through the error correction model . The reason is that , on the one hand , China white sugar spot market and the international white sugar market are not completely connected , such as the import and export of white sugar in China , and the phenomenon of white sugar smuggling is serious , which leads to the fact that the current price of white sugar in China is inconsistent with the fact and the basic logic . On the other hand , it may be that the model is to be further deepened and corrected .

At last , the present situation of white sugar industry at home and abroad , the present situation of sugar industry in China and the price rule of white sugar in China are discussed . Some suggestions on how to use futures market to promote the optimization and upgrading of white sugar industry and stabilize development are given .

( 1 ) The production , processing and trading enterprises of white sugar use the futures market to guide the production and operation . For the sugarcane and upstream production enterprises , by analyzing the forward contract price trend , the forward contract price difference level , the current base difference level , the future white sugar spot price trend is reasonably estimated , so as to realize the aim of maximizing profit .

( 2 ) The white sugar industry uses the futures market to complete the innovation of the spot sales procurement mode . As the white sugar futures market has the real - kind delivery flat - bin mechanism , the spot price and the goods have the unity . By using the real - kind delivery of the futures market , the sugar - related enterprises can realize the innovation of the spot purchase and sale mode .

For example , when the base difference level is negative and the absolute value of the base difference level is larger than the purchase cost , the upstream enterprise can sell the white sugar spot goods by selling the standard warehouse receipts in the Zhengzhou commodity trading market , and meanwhile , selling the white sugar spot goods in the futures market so as to achieve the aim of maximizing the profit .

When the base difference level is in the normal fluctuation range and cannot reach the buying time , the intermediate trader can realize the purpose of early locking of the profit by using the mode of the spot price on the futures coil , and simultaneously locking the spot purchase price and the downstream sugar selling price of the upstream white sugar .

( 3 ) The futures market has hedging function , how to use the futures market to resolve price fluctuation risk is the key to the steady development of enterprises and industry .

For example , in the period of white sugar cattle market or the end of the white sugar squeezing season , the supply of white sugar becomes tight , the price is higher , and the downstream consumer enterprise of white sugar can prevent the price upward risk by buying and maintaining the futures coil .

( 4 ) The sugar enterprises can also realize the trade financing through the futures market . In the case of the shortage of funds , sugar enterprises are registered as standard warehouse receipts by pulling the white sugar present goods according to the white sugar delivery grade to the designated delivery warehouse . Meanwhile , the standard warehouse of the white sugar is pledged to the bank , the investment company , the trading company , and the like , so as to realize the financing requirement . When the fund is loose , the cash is redeemed , so that the enterprise has more and more important methods to solve the problem .

【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F724.5;F426.82;F224

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