【摘要】：普遍認(rèn)為,一個(gè)高效率的期貨市場能夠有效地促進(jìn)現(xiàn)貨市場的平穩(wěn)發(fā)展。而價(jià)格發(fā)現(xiàn)功能作為整個(gè)期貨市場存在和發(fā)展的基礎(chǔ),同時(shí)也是期貨市場套期保值功能發(fā)揮作用的前提,對(duì)于期貨市場具有特別重要的意義。玉米作為全球上市時(shí)間最早和最為活躍的商品期貨品種,自2004年玉米期貨品種在大連商品交易所上市以來,走出了一條發(fā)展迅速、運(yùn)行平穩(wěn)的曲線,作為我國重要的農(nóng)產(chǎn)品期貨市場,對(duì)玉米期貨市場的價(jià)格發(fā)現(xiàn)和套期保值功能進(jìn)行研究具有十分重要的意義。本文首先介紹了價(jià)格發(fā)現(xiàn)和套期保值的理論基礎(chǔ)以及我國玉米期貨市場的發(fā)展概述。然后進(jìn)入了文章的重點(diǎn),包括了研究設(shè)計(jì)以及實(shí)證分析,主要分為兩部分,第一部分是價(jià)格發(fā)現(xiàn)功能的分析過程,包括了相關(guān)性分析、ADF檢驗(yàn)、協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn),得到我國玉米期貨和現(xiàn)貨價(jià)值之間存在長期均衡關(guān)系的結(jié)論,期貨市場具有價(jià)格發(fā)現(xiàn)功能,這就為玉米期貨的套期保值提供了良好的基礎(chǔ)條件;第二部分是套期保值功能的分析過程,即利用OLS最小二乘法計(jì)算得到最優(yōu)套期保值比率和套期保值績效值,得到最終的套期保值績效并不高的結(jié)論。然后,就當(dāng)前套期保值績效值不高的原因進(jìn)行了剖析,分別從國家政策角度、活躍合約角度以及市場體系建設(shè)角度進(jìn)行了解釋。最后,順著原因提出了相應(yīng)的對(duì)策建議,從少政策對(duì)市場的干擾、玉米現(xiàn)貨市場的市場化體系建設(shè)、玉米期貨交割體系建設(shè)、玉米期貨市場發(fā)展完善角度提出建議。
[Abstract]:It is generally believed that a highly efficient futures market can effectively promote the smooth development of the spot market. As the basis of the existence and development of the whole futures market, the price discovery function is also the premise of the futures market hedging function, which is of special significance to the futures market. As the earliest and most active commodity futures variety in the world, corn futures have been listed on the Dalian Commodity Exchange since 2004, and have gone out of a curve of rapid development and smooth operation. As an important agricultural product futures market in China, it is of great significance to study the price discovery and hedging function of corn futures market. This paper first introduces the theoretical basis of price discovery and hedging and the development of corn futures market in China. The first part is the analysis process of price discovery function, including correlation analysis, ADF test, cointegration test, Granger causality test. The conclusion is that there is a long-term equilibrium relationship between corn futures and spot value in China. The futures market has the function of price discovery, which provides a good basis for the hedging of corn futures. The second part is the analysis process of hedging function, that is, using the OLS least square method to calculate the optimal hedging ratio and hedging performance value, and get the conclusion that the final hedging performance is not high. Then, the paper analyzes the reasons why the current hedging performance is not high, and explains the reasons from the angle of national policy, active contract and market system construction. Finally, the corresponding countermeasures and suggestions are put forward according to the reasons, such as the interference of less policies to the market, the construction of market system of spot corn market, the construction of corn futures delivery system, and the development and perfection of corn futures market.
【學(xué)位授予單位】：上海外國語大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F724.5;F323.7

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