本文關(guān)鍵詞： 市場效率 大豆期貨 剩余期間　出處：《湖南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：農(nóng)業(yè)是我國國民經(jīng)濟(jì)的基礎(chǔ)，有效的農(nóng)產(chǎn)品期貨市場對整個市場體系的健康發(fā)展舉足輕重。大豆是世界上最古老、也是新興的五大作物之一，對人們的生產(chǎn)生活、生態(tài)環(huán)境的改善都不可或缺。只有在有效的期貨市場，期貨產(chǎn)品才能充分發(fā)揮套期保值和價格發(fā)現(xiàn)功能。雖然我國大豆期貨市場的規(guī)模發(fā)展迅速，但市場效率卻不盡如人意，故本文對中國大豆期貨市場有效性的研究具有理論和實(shí)踐意義。 基于有效市場假說，本文從不同剩余期間的角度分析中國大豆期貨市場的有效性。本文整理了2003年3月至2012年3月的中國大豆1號期貨合約數(shù)據(jù)，運(yùn)用ADF檢驗(yàn)方法來檢測時間序列的平穩(wěn)性，接著利用Johansen檢驗(yàn)法檢驗(yàn)各變量之間的協(xié)整關(guān)系，采用DOLS方法檢測各變量之間的線性關(guān)系，，然后通過Wald方法檢驗(yàn)相關(guān)系數(shù)以檢測不同剩余期間的期貨之間的有效性和無偏性，并用ECM檢測各變量之間的短期波動關(guān)系對長期均衡的影響，最后用GARCH-M模型來闡述預(yù)期風(fēng)險和預(yù)期收益的關(guān)系。結(jié)果表明，中國大豆1號期貨合約不同剩余期間的價格之間存在協(xié)整關(guān)系，即從長期來看，二者之間存在穩(wěn)定的線性關(guān)系；剩余期間小于7個月時，期貨市場是有效且具有無偏性；我國不同剩余期間大豆期貨合約之間短期波動對長期均衡影響不顯著，利用未來風(fēng)險預(yù)測期貨合約未來溢價的準(zhǔn)確度低。 因此，期貨交易所、行業(yè)協(xié)會應(yīng)積極發(fā)揮作用，培育機(jī)構(gòu)和戰(zhàn)略投資者以及套期保值用戶，完善投資主體結(jié)構(gòu)；要加快建立統(tǒng)一的信息服務(wù)網(wǎng)絡(luò)，指導(dǎo)大豆生產(chǎn)和進(jìn)出口貿(mào)易；應(yīng)增加大豆的供給和改善需求，如加大對豆農(nóng)的補(bǔ)貼力度，利用稅收政策和金融工具扶持大豆龍頭企業(yè)；鼓勵企業(yè)主動參與國際期貨市場，打破國際四大糧商壟斷大豆產(chǎn)業(yè)鏈的格局，以盡快提高我國大豆期貨市場有效性。
[Abstract]:Agriculture is the foundation of our national economy, and the effective futures market of agricultural products plays an important role in the healthy development of the whole market system. Soybean is one of the oldest and emerging five crops in the world. The improvement of ecological environment is indispensable to people's production and life. Only in the effective futures market. Futures products can give full play to the function of hedging and price discovery. Although the scale of soybean futures market in China is developing rapidly, the market efficiency is not satisfactory. Therefore, this paper has theoretical and practical significance in the study of the effectiveness of soybean futures market in China. Based on the efficient market hypothesis. This paper analyzes the effectiveness of China's soybean futures market from the perspective of different remaining periods. This paper collates the data of China Soybean Futures contract No. 1 from March 2003 to March 2012. ADF test method is used to detect the stability of time series, then Johansen test method is used to test the cointegration relationship among variables, and DOLS method is used to detect the linear relationship between the variables. Then the correlation coefficient is tested by Wald method to detect the validity and unbias of futures in different remaining periods, and the influence of short-term volatility among variables on long-term equilibrium is tested by ECM. Finally, the GARCH-M model is used to illustrate the relationship between expected risk and expected income. The results show that there is a cointegration relationship between the prices of China Soybean 1 futures contract in different remaining periods, that is, in the long run. There is a stable linear relationship between them. When the remaining period is less than 7 months, the futures market is efficient and unbiased; The short-term fluctuation of soybean futures contracts in different periods has no significant effect on the long-term equilibrium, and the accuracy of predicting the future premium of future futures contracts by using future risks is low. Therefore, futures exchanges and trade associations should play an active role in cultivating institutions and strategic investors as well as hedging users to improve the structure of investment subjects; It is necessary to speed up the establishment of a unified information service network to guide soybean production and import and export trade; We should increase the supply of soybean and improve the demand, such as increasing the subsidies to soybean farmers, using tax policies and financial instruments to support the leading soybean enterprises; Enterprises should be encouraged to participate actively in the international futures market and break the pattern of monopoly of soybean industry chain by the four grain traders in order to improve the effectiveness of soybean futures market in China as soon as possible.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5

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