本文選題：白糖期貨　切入點(diǎn)：價(jià)格發(fā)現(xiàn)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：鄭州商品交易所的白糖期貨于2006年1月6日起上市交易,在此之前,我國(guó)白糖現(xiàn)貨市場(chǎng)價(jià)格時(shí)常暴漲暴跌,期貨市場(chǎng)的發(fā)展也歷經(jīng)坎坷,而桂塘8月合約事件仍然令人記憶猶新。價(jià)格發(fā)現(xiàn)和套期保值是期貨市場(chǎng)的兩大基本功能,那么鄭州商品交易所的白糖期貨市場(chǎng)運(yùn)行之后是否充分發(fā)揮了價(jià)格發(fā)現(xiàn)和套期保值功能成為大家一致關(guān)注的問(wèn)題。此外,影響白糖價(jià)格諸多因素中,國(guó)家儲(chǔ)備糖收儲(chǔ)和拋儲(chǔ)事件顯然不能被忽視,那么國(guó)家儲(chǔ)備糖收儲(chǔ)和拋儲(chǔ)事件對(duì)我國(guó)白糖期貨市場(chǎng)的沖擊影響如何也是一大熱點(diǎn)問(wèn)題。 本文的實(shí)證分析主要分為三部分來(lái)回答上述問(wèn)題：通過(guò)單位根檢驗(yàn)、協(xié)整檢驗(yàn)、格蘭杰因果檢驗(yàn)、誤差修正模型、脈沖響應(yīng)函數(shù)和方差分解方法來(lái)檢驗(yàn)白糖期貨市場(chǎng)的價(jià)格發(fā)現(xiàn)功能；通過(guò)傳統(tǒng)回歸模型、雙變量向量自回歸模型和誤差修正套期保值模型來(lái)檢驗(yàn)白糖期貨市場(chǎng)的套期保值有效性；通過(guò)事件研究法來(lái)檢驗(yàn)國(guó)家儲(chǔ)備糖收儲(chǔ)和拋儲(chǔ)事件對(duì)白糖期貨市場(chǎng)的沖擊影響。 實(shí)證檢驗(yàn)結(jié)果說(shuō)明我國(guó)白糖期貨市場(chǎng)一定程度上發(fā)揮了價(jià)格發(fā)現(xiàn)和套期保值的功能,但對(duì)價(jià)格發(fā)現(xiàn)功能來(lái)說(shuō),我國(guó)白糖期貨市場(chǎng)和現(xiàn)貨市場(chǎng)價(jià)格之間只存在從期貨到現(xiàn)貨單向的引導(dǎo)關(guān)系,國(guó)家儲(chǔ)備糖的收儲(chǔ)事件導(dǎo)致期貨市場(chǎng)在事件公告日之后的第二天至第五天的產(chǎn)生顯著的正的異常收益率,說(shuō)明市場(chǎng)存在反應(yīng)不足現(xiàn)象,而國(guó)家儲(chǔ)備糖的拋儲(chǔ)事件導(dǎo)致期貨市場(chǎng)在事件公告日之后的兩天內(nèi)產(chǎn)生顯著的正的異常收益率,說(shuō)明拋儲(chǔ)并沒(méi)有使期貨價(jià)格短期內(nèi)顯著的下降。
[Abstract]:The sugar futures of Zhengzhou Commodity Exchange were listed and traded on January 6th 2006. Before that, the spot market prices of white sugar in China often soared and plummeted, and the development of the futures market also experienced ups and downs. The August contract event in Kweitang is still fresh in memory. Price discovery and hedging are two basic functions of the futures market. Well, whether or not the sugar futures market in Zhengzhou Commodity Exchange has given full play to the function of price discovery and hedging has become a matter of unanimous concern. In addition, among the many factors affecting the price of white sugar, The event of national sugar storage and dumping can not be ignored, so the impact of the event on China's white sugar futures market is also a hot issue. The empirical analysis of this paper is divided into three parts: unit root test, cointegration test, Granger causality test, error correction model. Impulse response function and variance decomposition are used to test the price discovery function of sugar futures market. The bivariate vector autoregressive model and the error modified hedging model are used to test the hedging effectiveness of the sugar futures market, and the impact of the national sugar storage and dumping events on the sugar futures market is tested by the event study method. The empirical results show that the sugar futures market in China has played the role of price discovery and hedging to some extent, but to the function of price discovery, China's sugar futures market and spot market prices only exist from futures to spot one-way guiding relationship. The event of collecting and storing the national sugar reserves led the futures market to produce a significantly positive abnormal rate of return between the second and 5th days after the date of the announcement of the event, indicating that the market has a phenomenon of underreaction. However, the event of dumping the national reserve sugar caused the futures market to produce a significantly positive abnormal yield in the two days after the announcement of the event, indicating that the dumping did not significantly reduce the futures price in the short term.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F768.2;F724.5

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本文編號(hào)：1587033