美農(nóng)報告對中國農(nóng)產(chǎn)品期貨收益率影響的實證研究
發(fā)布時間：2019-06-09 19:16
【摘要】：世界農(nóng)產(chǎn)品供求預(yù)測報告(World Agricultural Supply and Demand Estimates,WASDE,以下簡稱美農(nóng)報告)是美國農(nóng)業(yè)部定期發(fā)布的官方報告,反應(yīng)了全球農(nóng)產(chǎn)品未來的供需情況,進(jìn)而對農(nóng)產(chǎn)品期貨市場產(chǎn)生影響。本文在闡明研究背景和對已有研究回顧的基礎(chǔ)上,采用事件研究法,選取中國期貨市場豆一、豆油、棉花三個期貨品種為研究對象,分別使用期貨日交易數(shù)據(jù)和高頻交易數(shù)據(jù),實證檢驗了美農(nóng)報告對相關(guān)期貨品種收益率的短期影響,低頻研究樣本區(qū)間為2002年3月-2013年2月,高頻研究樣本區(qū)間為2003年8月-2012年4月。根據(jù)美農(nóng)報告中相關(guān)品種的產(chǎn)量、期末庫存、總消費(fèi)等供求數(shù)據(jù)環(huán)比和同比調(diào)整幅度的大小來分組并定義事件,同時分別采用加權(quán)合約和主力合約方法來構(gòu)造期貨連續(xù)價格序列。低頻和高頻研究結(jié)果表明:(1)美農(nóng)報告中不同指標(biāo)調(diào)整對期貨市場的影響存在差異。在低頻研究中,期末庫存-總消費(fèi)聯(lián)合指標(biāo)對期貨市場產(chǎn)生的影響最大,其次是單指標(biāo)的期末庫存和總消費(fèi)指標(biāo)。而在高頻研究中,期末庫存-總消費(fèi)聯(lián)合指標(biāo)和總消費(fèi)指標(biāo)對期貨市場產(chǎn)生的影響類似,都產(chǎn)生了顯著的累積異常收益率。與此同時,本文研究還發(fā)現(xiàn)期貨市場常常會對產(chǎn)量調(diào)整做出相反反應(yīng)。(2)美農(nóng)報告對不同期貨品種產(chǎn)生的影響也不一致,相對而言,外貿(mào)依存度較高的豆一和棉花品種比豆油對美農(nóng)報告的反應(yīng)更明顯。(3)期貨市場對環(huán)比和同比數(shù)據(jù)調(diào)整的敏感程度不同,同比調(diào)整對期貨市場影響更大。總體而言,在一些特定的事件分類方法下,各期貨品種產(chǎn)生了顯著的異常收益率和累積異常收益率,說明美農(nóng)報告數(shù)據(jù)調(diào)整向市場準(zhǔn)確地傳遞了信號,在一定程度上影響了中國農(nóng)產(chǎn)品期貨的價格走勢。
[Abstract]:The World Agricultural products supply and demand Forecast report (World Agricultural Supply and Demand Estimates,WASDE,) is the official report issued regularly by the United States Department of Agriculture (USDA), which reflects the future supply and demand of global agricultural products, and then has an impact on the agricultural futures market. On the basis of expounding the research background and reviewing the existing research, this paper adopts the event research method to select the three futures varieties of soybean, soybean oil and cotton in the Chinese futures market as the research objects, and uses the futures daily trading data and the high frequency trading data, respectively. The short-term effect of Meinong report on the yield of related futures varieties is empirically tested. The sample range of low frequency research is from March 2002 to February 2013, and the sample range of high frequency research is from August 2003 to April 2012. According to the output, final inventory, total consumption and other supply and demand data of the relevant varieties in the Meinong report, the data of supply and demand and the size of the adjustment range from the same period last year are divided into groups and events are defined. At the same time, weighted contract and main contract method are used to construct the continuous price series of futures. The results of low frequency and high frequency research show that: (1) there are differences in the influence of different index adjustment on futures market in Meinong report. In the low frequency research, the joint index of final inventory and total consumption has the greatest influence on the futures market, followed by the final inventory and total consumption index of a single index. In the high frequency research, the impact of the final inventory-total consumption joint index and the total consumption index on the futures market is similar, resulting in significant cumulative abnormal rate of return. At the same time, this study also found that the futures market often makes the opposite response to the output adjustment. (2) the impact of the Meinong report on different futures varieties is also inconsistent, relatively speaking, The response of soybean and cotton varieties with high dependence on foreign trade to Meinong report was more obvious than that of soybean oil. (3) the sensitivity of futures market to month-on-month and year-on-year data adjustment was different, and the year-on-year adjustment had a greater impact on futures market. Generally speaking, under some specific event classification methods, each futures variety produces significant abnormal rate of return and cumulative abnormal rate of return, which indicates that the adjustment of Meinong's report data transmits the signal to the market accurately. To a certain extent, it has affected the price trend of China's agricultural futures.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F323.7;F724.5
本文編號：2495822
[Abstract]:The World Agricultural products supply and demand Forecast report (World Agricultural Supply and Demand Estimates,WASDE,) is the official report issued regularly by the United States Department of Agriculture (USDA), which reflects the future supply and demand of global agricultural products, and then has an impact on the agricultural futures market. On the basis of expounding the research background and reviewing the existing research, this paper adopts the event research method to select the three futures varieties of soybean, soybean oil and cotton in the Chinese futures market as the research objects, and uses the futures daily trading data and the high frequency trading data, respectively. The short-term effect of Meinong report on the yield of related futures varieties is empirically tested. The sample range of low frequency research is from March 2002 to February 2013, and the sample range of high frequency research is from August 2003 to April 2012. According to the output, final inventory, total consumption and other supply and demand data of the relevant varieties in the Meinong report, the data of supply and demand and the size of the adjustment range from the same period last year are divided into groups and events are defined. At the same time, weighted contract and main contract method are used to construct the continuous price series of futures. The results of low frequency and high frequency research show that: (1) there are differences in the influence of different index adjustment on futures market in Meinong report. In the low frequency research, the joint index of final inventory and total consumption has the greatest influence on the futures market, followed by the final inventory and total consumption index of a single index. In the high frequency research, the impact of the final inventory-total consumption joint index and the total consumption index on the futures market is similar, resulting in significant cumulative abnormal rate of return. At the same time, this study also found that the futures market often makes the opposite response to the output adjustment. (2) the impact of the Meinong report on different futures varieties is also inconsistent, relatively speaking, The response of soybean and cotton varieties with high dependence on foreign trade to Meinong report was more obvious than that of soybean oil. (3) the sensitivity of futures market to month-on-month and year-on-year data adjustment was different, and the year-on-year adjustment had a greater impact on futures market. Generally speaking, under some specific event classification methods, each futures variety produces significant abnormal rate of return and cumulative abnormal rate of return, which indicates that the adjustment of Meinong's report data transmits the signal to the market accurately. To a certain extent, it has affected the price trend of China's agricultural futures.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F323.7;F724.5
【參考文獻(xiàn)】
相關(guān)期刊論文 前1條
1 張瑩;;加入WTO后我國農(nóng)產(chǎn)品貿(mào)易結(jié)構(gòu)與國際競爭力演變趨勢分析[J];世界經(jīng)濟(jì)與政治論壇;2013年03期
相關(guān)碩士學(xué)位論文 前1條
1 胡宇;中國農(nóng)產(chǎn)品期貨市場價格發(fā)現(xiàn)功能研究[D];南京農(nóng)業(yè)大學(xué);2007年
，本文編號：2495822
本文鏈接：http://sikaile.net/jingjilunwen/qihuoqq/2495822.html
最近更新
教材專著
