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

【摘要】：近年來(lái),隨著我國(guó)加入WTO,不斷增長(zhǎng)的貿(mào)易競(jìng)爭(zhēng)和摩擦對(duì)我國(guó)經(jīng)濟(jì)發(fā)展形成較大的沖擊。作為一個(gè)農(nóng)業(yè)大國(guó),農(nóng)業(yè)經(jīng)濟(jì)的發(fā)展一直是我國(guó)經(jīng)濟(jì)發(fā)展的重中之重,農(nóng)產(chǎn)品價(jià)格越來(lái)越多的受到國(guó)際農(nóng)產(chǎn)品價(jià)格波動(dòng)的影響,造成我國(guó)農(nóng)產(chǎn)品市場(chǎng)供求失真,這無(wú)疑對(duì)我國(guó)農(nóng)業(yè)經(jīng)濟(jì)發(fā)展有較大的負(fù)面作用。中國(guó)作為一個(gè)農(nóng)業(yè)大國(guó),農(nóng)業(yè)經(jīng)濟(jì)發(fā)展在我國(guó)經(jīng)濟(jì)發(fā)展中占有舉足輕重的地位。農(nóng)產(chǎn)品期貨市場(chǎng)的發(fā)展、完善對(duì)于農(nóng)業(yè)經(jīng)濟(jì)發(fā)展有著重要影響,建立高效運(yùn)行的農(nóng)產(chǎn)品期貨市場(chǎng)將大大增加我國(guó)農(nóng)業(yè)經(jīng)濟(jì)的競(jìng)爭(zhēng)力。 研究表明,農(nóng)產(chǎn)品期貨市場(chǎng)是農(nóng)業(yè)經(jīng)濟(jì)健康發(fā)展的必要保障,完善有效的農(nóng)產(chǎn)品期貨市場(chǎng)不但有助于農(nóng)業(yè)生產(chǎn)發(fā)現(xiàn)價(jià)格、規(guī)避風(fēng)險(xiǎn),更能從宏觀上提供信息傳導(dǎo)功能,為我國(guó)制定農(nóng)業(yè)政策提供幫助。有益于我國(guó)建設(shè)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�；谏鲜鲈�,本文以“中國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率研究”為題,通過(guò)理論分析和實(shí)證分析相結(jié)合的方法,尋求影響我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率的主要因素,并回答市場(chǎng)運(yùn)行是否有效。在此基礎(chǔ)上提出農(nóng)產(chǎn)品期貨市場(chǎng)的改進(jìn)措施和發(fā)展策略。 本文立足于有效市場(chǎng)假說(shuō),運(yùn)用數(shù)理統(tǒng)計(jì)和計(jì)量經(jīng)濟(jì)學(xué)的有關(guān)方法對(duì)農(nóng)產(chǎn)品期貨市場(chǎng)中,單一產(chǎn)品的市場(chǎng)價(jià)格發(fā)現(xiàn)效率以及整個(gè)農(nóng)產(chǎn)品期貨市場(chǎng)的市場(chǎng)效率進(jìn)行實(shí)證研究。以此來(lái)揭示我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)的發(fā)展?fàn)顩r,并借鑒發(fā)達(dá)國(guó)家農(nóng)產(chǎn)品期貨市場(chǎng)發(fā)展的經(jīng)驗(yàn),提出提高我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率的建議。 首先,回顧了國(guó)內(nèi)外學(xué)者對(duì)期貨市場(chǎng)效率研究的理論和方法。基于有效市場(chǎng)假說(shuō),國(guó)內(nèi)外學(xué)者通過(guò)計(jì)量分析和投資組合理論分析,實(shí)證研究了國(guó)內(nèi)外期貨市場(chǎng)價(jià)格發(fā)現(xiàn)效率和整體運(yùn)行效率。研究結(jié)果表明：西方發(fā)達(dá)國(guó)家的農(nóng)產(chǎn)品期貨市場(chǎng)是常常有效的,只有偶爾出現(xiàn)價(jià)格失真的情況；我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)由于其起步較晚,發(fā)展時(shí)間較短,期貨價(jià)格曾一度不能傳導(dǎo)真實(shí)價(jià)格信息。 然后在文獻(xiàn)分析的基礎(chǔ)上提出了理論分析我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率的方法,從期貨市場(chǎng)因素和現(xiàn)貨市場(chǎng)因素分析了其如何影響我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率。為后面數(shù)理分析、計(jì)量分析,以及政策建議提供了研究思路和方法。 接下來(lái),文章基于馬可維茨投資組合理論從宏觀層面上對(duì)我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率進(jìn)行了分析,并實(shí)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(chǎng)假說(shuō)出發(fā),通過(guò)協(xié)整理論,從微觀層面上對(duì)農(nóng)產(chǎn)品期貨市場(chǎng)定價(jià)效率進(jìn)行了實(shí)證研究。研究發(fā)現(xiàn),我國(guó)現(xiàn)貨市場(chǎng)的發(fā)展?fàn)顩r和國(guó)外期貨市場(chǎng)價(jià)格波動(dòng)是影響我國(guó)農(nóng)產(chǎn)品期貨市場(chǎng)效率的主要因素。 最后,針對(duì)前面實(shí)證分析的結(jié)果,從發(fā)展完善現(xiàn)貨市場(chǎng)、建立完全競(jìng)爭(zhēng)現(xiàn)貨市場(chǎng)、在國(guó)際化競(jìng)爭(zhēng)中掌握定價(jià)權(quán)的角度提出了改進(jìn)我國(guó)期貨市場(chǎng)運(yùn)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(xué)位授予單位】：陜西師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2010
【分類(lèi)號(hào)】：F724.5;F224

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