發(fā)布時間：2018-10-31 21:27

【摘要】：雞蛋期貨于2013年11月8日在大連商品交易所上市,作為我國首個上市的鮮活農產品期貨,它的誕生開辟了中國農產品期貨的新領域。雞蛋期貨對我國整個期貨市場影響重大,并且對于雞蛋相關行業(yè)也具有深遠的意義。投資者對于雞蛋期貨這一新品種的關注度和參與熱情非常高。但由于上市時間較短,人為炒作因素明顯,導致期貨價格過度偏離實際價值;由于缺乏國外關于雞蛋期貨可供參考的經驗,只有美國和日本曾開展雞蛋期貨交易但目前都已停止,現(xiàn)今對雞蛋期貨的研究比較少。因此,研究雞蛋期貨市場的發(fā)展狀況,了解雞蛋期貨的價格發(fā)現(xiàn)功能的發(fā)揮程度,關系到雞蛋期貨的有序發(fā)展,同時也影響整個禽蛋產業(yè)及農產品市場的穩(wěn)定。基于以上背景,本文選擇雞蛋期貨價格和現(xiàn)貨價格作為研究對象。首先,對雞蛋現(xiàn)貨市場和期貨市場的發(fā)展狀況進行分析,并從雞蛋期貨合約、成交量、持倉量、換手率和價格波動來介紹期貨市場的運行狀況。其次,采用實證方法對雞蛋期現(xiàn)貨價格的關系進行分析。利用統(tǒng)計特征分析、相關性分析、協(xié)整檢驗、Granger因果檢驗、VAR向量自回歸模型和脈沖相應函數(shù)等方法。最后,總結研究結果,對雞蛋現(xiàn)貨市場和期貨市場的發(fā)展提出政策建議。研究結果表明:雞蛋期現(xiàn)貨價格具有較高的相關性,呈現(xiàn)大體一致的變動趨勢,但雞蛋現(xiàn)貨價格的波動更加劇烈;二者具有雙向的Granger因果關系,期貨價格對現(xiàn)貨價格具有更顯著的引導作用;VAR模型與脈沖響應函數(shù)分析表明,期現(xiàn)貨價格對于市場信息的反映都具有一定程度的靈敏性,但現(xiàn)貨價格對于期貨價格變動的反應更為顯著。因此,雞蛋期貨自上市以來價格發(fā)現(xiàn)功能的發(fā)揮越來越完善,市場的成熟度也有所提高。通過對我國雞蛋期現(xiàn)貨市場發(fā)展現(xiàn)狀的理論研究與期現(xiàn)貨價格關系的實證分析,并結合國外雞蛋期貨市場發(fā)展帶來的啟示,提出四點政策建議:第一,加強對雞蛋現(xiàn)貨市場的科學調控,避免雞蛋價格的劇烈波動;第二,完善雞蛋期貨合約的標準設計與交割制度;第三;有效擴大參與期貨套期保值的主體;最后,遏制雞蛋期貨過度投機,加大市場監(jiān)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.
【學位授予單位】：安徽農業(yè)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F323.7;F724.5

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本文編號：2303613