本文選題：小麥期貨市場(chǎng) + 價(jià)格發(fā)現(xiàn)�。� 參考：《河南工業(yè)大學(xué)》2013年碩士論文

【摘要】：期貨市場(chǎng)的主要基本功能是價(jià)格發(fā)現(xiàn)和風(fēng)險(xiǎn)轉(zhuǎn)移。在國(guó)外的農(nóng)產(chǎn)品期貨市場(chǎng)中，尤其是美國(guó)的期貨市場(chǎng)，期貨市場(chǎng)的價(jià)格早已成為農(nóng)產(chǎn)品交易、收購(gòu)、加工等的定價(jià)基礎(chǔ)，即使在現(xiàn)貨交易中，也是以期貨價(jià)格加上基差來(lái)確定合同價(jià)格的。河南主要的種植農(nóng)作物是小麥，小麥業(yè)的發(fā)展在河南經(jīng)濟(jì)的發(fā)展中有著無(wú)可替代的地位。而河南小麥業(yè)的發(fā)展也受到諸多因素的制約，如：小麥的種植不依市場(chǎng)需求為導(dǎo)向、生產(chǎn)成本偏高、小麥業(yè)對(duì)期貨市場(chǎng)的利用不充分、深度加工不足。本文以把期貨市場(chǎng)與產(chǎn)業(yè)的發(fā)展結(jié)合在一起的視角為出發(fā)點(diǎn)，，研究河南小麥業(yè)如何利用農(nóng)產(chǎn)品期貨市場(chǎng)來(lái)實(shí)現(xiàn)河南小麥業(yè)的快速發(fā)展。 通過(guò)對(duì)多個(gè)指標(biāo)進(jìn)行實(shí)證分析可以得出：鄭州商品交易所小麥期貨價(jià)格與現(xiàn)貨價(jià)格之間存在正相關(guān)性，也就是說(shuō)長(zhǎng)期來(lái)看，期貨價(jià)格與現(xiàn)貨價(jià)格保持著長(zhǎng)期的均衡關(guān)系，而且期價(jià)對(duì)現(xiàn)價(jià)的影響比現(xiàn)價(jià)對(duì)期價(jià)的影響要快一些；從對(duì)小麥期貨價(jià)格預(yù)測(cè)性實(shí)證分析來(lái)看，小麥期貨價(jià)格對(duì)合約到期日的現(xiàn)貨價(jià)格具有較強(qiáng)的預(yù)測(cè)能力，且期貨價(jià)格對(duì)到期日現(xiàn)貨價(jià)格的預(yù)測(cè)能力隨著離到期時(shí)間日跨度的加長(zhǎng)而逐漸減弱。從對(duì)小麥期貨風(fēng)險(xiǎn)轉(zhuǎn)移功能的實(shí)證分析來(lái)看，由OLS模型和ECM模型估計(jì)得到的MV套期保值比率分別為0.009973和0.017501，這個(gè)比率跟美國(guó)的期貨市場(chǎng)相比還有很大的差距,但也說(shuō)明了鄭州商品交易所已經(jīng)具備了發(fā)揮其功能的條件。通過(guò)期貨市場(chǎng)對(duì)小麥業(yè)發(fā)展的實(shí)證分析，也可以得出：河南優(yōu)質(zhì)小麥種植面積會(huì)隨著小麥期貨產(chǎn)品成交額的增加而增加；河南農(nóng)村居民家庭人均純收入與全國(guó)小麥期貨品種成交額之間的相關(guān)關(guān)系為0.561458。基于此，為了提高小麥業(yè)對(duì)期貨市場(chǎng)的利用程度，本章主要從完善農(nóng)產(chǎn)品期貨市場(chǎng)、加強(qiáng)期現(xiàn)市場(chǎng)之間的關(guān)聯(lián)度、政府宏觀調(diào)控、信息傳播渠道、中介組織等幾個(gè)方面來(lái)提出相關(guān)的國(guó)家對(duì)策。
[Abstract]:The main function of futures market is price discovery and risk transfer. In the foreign agricultural product futures market, especially in the United States futures market, the price of the futures market has already become the pricing basis for agricultural products trading, acquisition, processing, etc., even in spot trading, It is also the futures price plus the basis to determine the contract price. Wheat is the main crop planted in Henan Province. The development of wheat industry plays an irreplaceable role in the development of Henan economy. However, the development of Henan wheat industry is also restricted by many factors, such as: wheat planting is not guided by market demand, the production cost is on the high side, the use of futures market in wheat industry is not sufficient, and the depth processing is insufficient. From the perspective of combining the futures market with the development of the industry, this paper studies how to utilize the futures market of agricultural products to realize the rapid development of the wheat industry in Henan Province. Through the empirical analysis of several indicators, it can be concluded that there is a positive correlation between wheat futures price and spot price in Zhengzhou Commodity Exchange, that is to say, in the long run, the futures price and spot price maintain a long-term equilibrium relationship. Moreover, the effect of futures price on spot price is faster than that on current price. From the empirical analysis of wheat futures price predictability, wheat futures price has a strong ability to predict the spot price of contract maturity. Moreover, the ability of futures price to predict the maturity spot price gradually weakens with the extension of the maturity date span. From the empirical analysis of the function of wheat futures risk transfer, the MV hedging ratios estimated by OLS model and ECM model are 0.009973 and 0.017 501 respectively, which are still far behind the futures market in the United States. However, it also shows that Zhengzhou Commodity Exchange has already had the conditions to play its functions. Through the empirical analysis of the development of wheat industry in the futures market, it can also be concluded that the planting area of high-quality wheat in Henan will increase with the increase of turnover of wheat futures products; The correlation between the per capita net income of rural households and the turnover of wheat futures in Henan province is 0. 561458. Based on this, in order to improve the utilization of the futures market in wheat industry, this chapter mainly includes perfecting the futures market of agricultural products, strengthening the correlation degree between the futures market, the macro-control of the government, and the channel of information dissemination. Intermediary organizations and other aspects to put forward the relevant national countermeasures.
【學(xué)位授予單位】：河南工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F326.11;F724.5

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