本文選題：玉米期貨價格 + 價格功能�。� 參考：《東北財經(jīng)大學》2016年碩士論文

【摘要】：期貨交易是在單一現(xiàn)貨遠期合約交易不再適應現(xiàn)代商品經(jīng)濟發(fā)展的基礎上應運而生。自2011年以來,全球經(jīng)濟處于下行階段,經(jīng)濟的發(fā)展處在一個動蕩的環(huán)境中,期貨作為價格發(fā)現(xiàn)和規(guī)避風險的重要金融工具,對經(jīng)濟發(fā)展的重要性不言而喻。2016年最新出臺的中央一號文件再一次將農(nóng)產(chǎn)品期貨擺在了顯著的位置。我國作為一個農(nóng)業(yè)大國,農(nóng)業(yè)的發(fā)展關系著整個國家的民生大計,研究和調(diào)整農(nóng)業(yè)經(jīng)濟發(fā)展一直是我國經(jīng)濟發(fā)展的重中之重。玉米作為經(jīng)濟發(fā)展中重要的糧食作物、飼料原料和深加工原料,是我國生產(chǎn)量最大、消費量最多、上市時間最長的農(nóng)產(chǎn)品,同時也是全球較活躍的農(nóng)產(chǎn)品期貨品種。由于國家一系列加強農(nóng)業(yè)生產(chǎn)政策的落實以及畜牧業(yè)發(fā)展的拉動,玉米的需求量一直在持續(xù)增長,這是本文選取玉米期貨品種進行研究的主要原因。學者們對期貨市場的研究活動,從目前所取得的研究成果上看,主要集中于期貨市場有效性研究、期貨市場價格發(fā)現(xiàn)功能研究、期貨市場套期保值研究、期貨市場風險溢價研究以及期貨市場價格預測研究等幾個方面。這些研究成果已經(jīng)比較深入,并普遍具備較強的針對性和可操作性。如果說還存在疏漏或缺欠的話,那就是在期貨市場整體性功能研究上還有待補充完善。本文擬將期貨市場有效性、期貨市場價格發(fā)現(xiàn)功能以及期貨市場的價格預測結(jié)合起來,進行關聯(lián)性研究,以期有助于了解期貨市場發(fā)展方向,對期貨市場發(fā)展的風險有一個提前預知并調(diào)整現(xiàn)貨市場資源分配,減少因價格的不利變動而引起的價格風險。期貨市場的價格預測實際上是期貨市場價格功能的一個特性,是基于大量過去的和當前可獲得的期貨價格和現(xiàn)貨價格,經(jīng)過一定的數(shù)據(jù)處理與變換,運用相應的預測模型對未來期貨價格的一個合理預測。因期貨的價格預測在期貨市場中的重要作用,所以本文在對期貨市場有效性、期貨市場價格發(fā)現(xiàn)以及期貨市場的價格預測進行關聯(lián)性分析的基礎上,著重對期貨市場的價格預測進行深入分析,進而完善本篇論文。本文的研究過程:第一步,在查找玉米期現(xiàn)貨市場相關資料的基礎上,論述了玉米期貨市場和玉米現(xiàn)貨市場的發(fā)展現(xiàn)狀以及期貨市場的相關理論。第二步,選取2011年1月6日至2016年6月30日大連商品交易所歷史交易數(shù)據(jù)中的玉米期貨主力合約的周收盤價和全國糧油價格監(jiān)測系統(tǒng)中全國玉米現(xiàn)貨的周平均價,經(jīng)過相應數(shù)據(jù)處理,應用平穩(wěn)性檢驗、Johansen協(xié)整檢驗、Granger因果檢驗等對玉米期貨市場有效性和玉米期貨市場價格發(fā)現(xiàn)功能進行實證分析。分析結(jié)果表明,玉米期貨市場是弱式有效的,且玉米期貨價格在價格發(fā)現(xiàn)功能中處于主導地位。第三步,為了對玉米期貨價格數(shù)據(jù)的未來值進行預測,對其進行狀態(tài)空間模型檢驗,將檢驗結(jié)果與需經(jīng)過差分處理才能使時間數(shù)據(jù)變成平穩(wěn)的ARIMA模型的檢驗結(jié)果進行比較,證明了起源于工程控制領域的狀態(tài)空間模型的預測結(jié)果要比廣泛應用于時間數(shù)據(jù)預測領域的ARIMA模型的預測結(jié)果更加精準。在文章的結(jié)尾部分總結(jié)全文,先強調(diào)了狀態(tài)空間模型比應用較深入的ARIMA模型的預測結(jié)果更加精準,再結(jié)合狀態(tài)空間模型預測結(jié)果的相對誤差在2%左右,說明狀態(tài)空間模型的預測值與真實值的偏離在合理區(qū)間內(nèi),但相對的偏差依然很大,究其根本原因是期現(xiàn)貨市場發(fā)展的不完善。針對上述問題就大力發(fā)展玉米現(xiàn)貨市場、完善期貨市場監(jiān)管方式、加強信息披露、減少政府干預、放寬市場準入機制等角度提出了發(fā)展和完善我國期貨市場的政策建議。
[Abstract]:Futures trading comes into being on the basis of a single spot trading no longer adapts to the development of modern commodity economy. Since 2011, the global economy is in a downward phase. The development of the economy is in a turbulent environment. Futures are the important financial instruments to find and avoid risks, and the importance of economic development is not said. As a big agricultural country, the development of agriculture is related to the livelihood of the whole country. The research and adjustment of agricultural economic development has been the most important of the economic development of our country. Corn is the important grain in economic development. Food crops, feed raw materials and deep processed raw materials are the largest agricultural products in China, the largest consumption amount and the longest time in the market. At the same time, it is also the most active agricultural product futures in the world. As a result of the implementation of a series of policies on agricultural production and the development of animal husbandry, the demand for corn has been growing continuously, this is this The main reasons for the research are the selection of maize futures. The research activities of futures market are mainly focused on the research of futures market effectiveness, the price discovery function of futures market, the study of futures market hedging, the risk premium of futures market and the futures market price. The results of these studies have been more thorough and have strong pertinence and maneuverability. If there is still omission or absence, it is still to be perfected in the study of the overall function of the futures market. This paper intends to make the futures market effective, the futures market price discovery function and the function of the futures market. The price prediction of the futures market is combined to carry out the relevance study in order to help understand the direction of the futures market development, to predict the risk of the future market development and to adjust the distribution of the spot market resources in advance and to reduce the price risk caused by the adverse changes in the price. The futures market price prediction is actually the futures market. A characteristic of price function is based on a large number of past and current available futures and spot prices, after a certain number of data processing and transformation, a reasonable prediction of future futures prices by using the corresponding prediction model. Because of the important role of futures price prediction in the futures market, this article is in the futures market. On the basis of the relevance analysis of the futures market price discovery and the futures market price prediction, the paper focuses on the in-depth analysis of the price prediction of the futures market, and then perfected this paper. The first step, on the basis of looking up the material of the corn market, discusses the corn futures market and the jade. The development status of the rice spot market and the related theory of the futures market. The second step is to select the weekly closing price of the main contract of maize futures in the historical transaction data of the Dalian Mercantile Exchange from January 6, 2011 to June 30, 2016 and the national corn and oil price monitoring system in the national grain and oil price monitoring system in the national grain and oil price monitoring system. The application of the second step is to deal with the corresponding data. The validity of corn futures market and the price discovery function of corn futures market are analyzed by Johansen cointegration test and Granger causality test. The results show that the corn futures market is weak and effective, and the price of corn futures is in the dominant position in the price discovery function. The third step is for corn futures. The future value of the price data is predicted and the state space model is tested. The results are compared with the result of the difference processing to make the time data turned into a stable ARIMA model. It is proved that the prediction results of the state space model originated in the field of engineering control are more widely used than the time data prediction. The prediction results of the ARIMA model in the field are more accurate. At the end of the article, the full text is summed up. First, it is emphasized that the state space model is more accurate than the ARIMA model which is used in depth. The relative error of the prediction result of the state space model is about 2%, and the deviation of the prediction value from the real value of the state space model is explained. In the reasonable interval, the relative deviation is still very large, the fundamental reason is the imperfect spot market development. In view of the above problems, the development and improvement of the futures market in China are put forward by developing the spot market of corn, perfecting the supervision mode of the futures market, strengthening the information disclosure, reducing the government intervention and relaxing the market penetration mechanism. The policy recommendations of the field.
【學位授予單位】：東北財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F323.7;F724.5

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