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  本文選題：鋅期貨　切入點：價格關(guān)系　出處：《吉林財經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：自2007年3月上海期貨交易所推出鋅期貨以來，合約交易量逐步攀升，2009年交易量一度越居第一。2008年金融危機導(dǎo)致鋅價連連跳水，鋅生產(chǎn)和加工企業(yè)面臨的風(fēng)險逐步加大，越來越多的現(xiàn)貨企業(yè)將期貨套期保值作為指導(dǎo)生產(chǎn)和規(guī)避價格波動風(fēng)險的手段。自2004年中國由鋅凈出口國轉(zhuǎn)變?yōu)閮暨M口國，進口依存度不斷上升，中國作為鋅生產(chǎn)和消費的第一大國，在世界鋅市場定價中究竟扮演著怎樣的角色？是世界鋅價格的主導(dǎo)者，還是定價中的參與者之一，抑或僅僅是世界鋅市場價格的接受者？在國際市場上存在怎樣的價格影響關(guān)系？鋅期貨的價格發(fā)現(xiàn)功能是否有效？ 本文的主要目標(biāo)是探析國際鋅期貨市場、中國鋅期貨市場以及中國鋅現(xiàn)貨市場間的價格關(guān)系，即我國鋅期貨價格與國際鋅期貨價格是否有很強的相關(guān)性，期貨和現(xiàn)貨市場之間是否存在著市場整合與協(xié)整之間的關(guān)系？三大市場之間怎樣展開價格影響和信息傳遞關(guān)系？價格波動是否存在溢出效應(yīng)？基于上述研究目標(biāo)，本研究依據(jù)市場整合理論和波動溢出理論，應(yīng)用向量自回歸（VAR）模型和廣義誤差修正模型（GARCH）模型，通過協(xié)整檢驗、格蘭杰因果關(guān)系檢驗、脈沖響應(yīng)函數(shù)以及方差分解等步驟實證分析了我國鋅期貨市場與世界鋅期貨市場和國內(nèi)現(xiàn)貨市場的價格關(guān)系、信息傳遞關(guān)系和價格波動效應(yīng)。在研究中我們得出以下幾點主要結(jié)論：（1）國內(nèi)外期貨市場同國內(nèi)現(xiàn)貨市場鋅價格存在很強的相關(guān)性，相關(guān)系數(shù)在0.9以上；（2）三大市場之間存在著協(xié)整關(guān)系，表明各市場間整合程度很高，信息在市場間的傳導(dǎo)能夠快速進行，且世界鋅期貨市場表現(xiàn)出主導(dǎo)作用，我國鋅期貨目前作用有限，但價格發(fā)現(xiàn)功能已經(jīng)明顯體現(xiàn)；（3）雖然我國在世界鋅期貨定價的影響中有限，但作為世界鋅價和國內(nèi)鋅價的中間傳導(dǎo)體，使得國內(nèi)定價與世界定價聯(lián)系更加緊密；（4）價格波動溢出效應(yīng)明顯，國內(nèi)現(xiàn)貨和期貨之間的波動溢出效應(yīng)一致，存在杠桿效應(yīng)，“利空消息”大于“利好消息”。 本研究將向量自回歸（VAR）模型和廣義誤差修正模型（GARCH）模型應(yīng)用到國內(nèi)外期貨市場和現(xiàn)貨市場價格關(guān)系的分析之中，但本為并沒有深入分析目前這種價格關(guān)系形成的影響因素，，這需要進一步的后續(xù)研究。
[Abstract]:Since the launch of zinc futures on the Shanghai Futures Exchange in March 2007, the trading volume of the contracts has gradually risen, and the volume of trading volume has been among the highest since 2009. The financial crisis of 2008 led to a continuous plunge in the price of zinc, and the risks faced by zinc production and processing enterprises gradually increased. A growing number of spot companies are using futures hedging as a means of guiding production and avoiding the risk of price fluctuations. Since 2004, when China changed from a net zinc exporter to a net importer, import dependence has been increasing. As the largest country in zinc production and consumption, what role does China play in the pricing of zinc in the world? Is the world zinc price dominant, or one of the participants in the pricing, or is it just a recipient of the world zinc market price? What is the price impact relationship in the international market? Is the price discovery function of zinc futures effective? The main purpose of this paper is to explore the price relationship among the international zinc futures market, China zinc futures market and the Chinese zinc spot market, that is, whether there is a strong correlation between the Chinese zinc futures price and the international zinc futures price. Is there a relationship between market integration and cointegration between futures and spot markets? How to develop the relationship between price influence and information transmission among the three major markets? Is there a spillover effect from price volatility? Based on the above research objectives, based on the market integration theory and volatility spillover theory, this study applies vector autoregressive (VAR) model and generalized error correction model (GARCH) model, through cointegration test, Granger causality test. The impulse response function and variance decomposition are used to analyze the price relationship between China's zinc futures market and the world zinc futures market and the domestic spot market. In the study, we draw the following main conclusions: 1) there is a strong correlation between domestic and foreign futures markets and zinc prices in the domestic spot market. There is a cointegration relationship among the three major markets, which indicates that the degree of integration among the three markets is very high, the transmission of information among the markets can be carried out quickly, and the world zinc futures market is playing a leading role. Although our country has a limited influence on the pricing of zinc futures in the world, we are the intermediate conductors of the world zinc price and domestic zinc price. The volatility spillover effect between domestic spot and futures is consistent, and there is leverage effect. The "bad news" is bigger than the "good news". In this study, the VAR model and the generalized error correction model are applied to the analysis of the price relationship between domestic and foreign futures market and spot market, but the factors that influence the formation of this kind of price relationship have not been deeply analyzed. This requires further follow-up research.
【學(xué)位授予單位】：吉林財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F426.32;F724.5

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