本文選題：棉花期貨　切入點(diǎn)：動(dòng)態(tài)相關(guān)性　出處：《新疆財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2008年，，以美國(guó)次貸危機(jī)為導(dǎo)火索引致的金融危機(jī)迅速蔓延全球，并已侵蝕到實(shí)體經(jīng)濟(jì)領(lǐng)域。自此，全球經(jīng)濟(jì)陷入到比1929年還要嚴(yán)重的經(jīng)濟(jì)大蕭條中。這次危機(jī)給全球的農(nóng)業(yè)、特別是棉花種植業(yè)帶來的最大影響就是全球范圍內(nèi)棉花需求的疲軟。作為全球第一大棉花生產(chǎn)國(guó)，中國(guó)所受到的產(chǎn)業(yè)沖擊則是不言而喻的。眾所周知，期貨市場(chǎng)的主要功能有價(jià)格發(fā)現(xiàn)、套期保值、資產(chǎn)配置等，這些功能在棉花期貨市場(chǎng)上充分發(fā)揮的前提條件就是要深入研究棉花期貨與現(xiàn)貨價(jià)格的動(dòng)態(tài)相關(guān)性，了解期、現(xiàn)貨市場(chǎng)間真實(shí)的運(yùn)行情況。動(dòng)態(tài)相關(guān)性主要包括（但不限于）期、現(xiàn)貨價(jià)格間的長(zhǎng)期均衡關(guān)系、價(jià)格序列（一階矩）間的領(lǐng)先滯后關(guān)系和收益率序列間的波動(dòng)性（二階矩）溢出效應(yīng)等。充分利用了解到的期貨、現(xiàn)貨價(jià)格間的動(dòng)態(tài)相關(guān)性，對(duì)在國(guó)際金融危機(jī)中有效規(guī)避棉花現(xiàn)貨價(jià)格風(fēng)險(xiǎn)，提高棉農(nóng)種植與棉企經(jīng)營(yíng)收入以及提升中國(guó)棉花國(guó)際競(jìng)爭(zhēng)力等方面都具有重要的現(xiàn)實(shí)意義。 本文在其他期貨品種（如股指期貨、工業(yè)品期貨等）相關(guān)研究的基礎(chǔ)上，選取了2004年-2012年的全部棉花期貨價(jià)格與現(xiàn)貨價(jià)格數(shù)據(jù)，對(duì)于我國(guó)棉花期、現(xiàn)貨市場(chǎng)間的動(dòng)態(tài)相關(guān)性進(jìn)行較為深入的實(shí)證研究，從價(jià)格溢出效應(yīng)和波動(dòng)溢出效應(yīng)兩個(gè)研究視角對(duì)棉花期貨與現(xiàn)貨價(jià)格的動(dòng)態(tài)相關(guān)關(guān)系進(jìn)行分析，考察中國(guó)棉花期貨市場(chǎng)與現(xiàn)貨市場(chǎng)的價(jià)格引導(dǎo)關(guān)系、價(jià)格發(fā)現(xiàn)貢獻(xiàn)度以及波動(dòng)溢出效應(yīng)的存在性以及非對(duì)稱性。對(duì)于棉花期貨價(jià)格發(fā)現(xiàn)功能的研究能為市場(chǎng)參與者在套期保值操作策略的制定提供理論支持，對(duì)于市場(chǎng)波動(dòng)性的研究一方面能夠提高對(duì)于期貨市場(chǎng)、現(xiàn)貨市場(chǎng)運(yùn)行效率的研判能力，為防止投機(jī)資本進(jìn)行短期炒作造成市場(chǎng)波動(dòng)加劇等問題提供切實(shí)的理論依據(jù)；一方面，有助于市場(chǎng)制定者對(duì)風(fēng)險(xiǎn)監(jiān)管、風(fēng)險(xiǎn)控制提出更為細(xì)化的要求；另一方面，有助于在期貨等衍生產(chǎn)品的定價(jià)，構(gòu)建分散風(fēng)險(xiǎn)的投資組合以及制定具備可操作性的金融監(jiān)管政策等問題的解決�？偠灾�，對(duì)我國(guó)政策制定者、市場(chǎng)參與者和監(jiān)管者都將具有重要的現(xiàn)實(shí)意義。
[Abstract]:In 2008, the financial crisis caused by the subprime mortgage crisis in the United States spread rapidly around the world and has eroded the real economy. Since then, the global economy has been in a depression worse than 1929. The crisis has given agriculture around the world. In particular, the biggest impact of cotton planting is the weakness of cotton demand worldwide. As the world's largest producer of cotton, China's industrial impact is self-evident. The main functions of the futures market include price discovery, hedging, asset allocation, and so on. The prerequisite for these functions to be fully developed in the cotton futures market is to deeply study the dynamic correlation between cotton futures and spot prices and understand the period. The real operation of the spot market. The dynamic correlation mainly includes (but is not limited to) the term, the long-term equilibrium relationship between spot prices, The leading lag relation between price sequence (first moment) and volatility (second moment) spillover effect between yield series, etc. It is of great practical significance to avoid the risk of spot price of cotton effectively in the international financial crisis, to increase the income of cotton farmers and cotton enterprises, and to enhance the international competitiveness of cotton in China. Based on the research of other futures (such as stock index futures, industrial products futures, etc.), this paper selects all the data of cotton futures price and spot price from 2004 to 2012. In this paper, the dynamic correlation between spot market and spot market is studied, and the dynamic correlation between cotton futures and spot price is analyzed from the perspective of price spillover effect and volatility spillover effect. Examining the price-guiding relationship between China's cotton futures market and the spot market, The price discovery contribution and the existence and asymmetry of volatility spillover effect. The research on the function of cotton futures price discovery can provide theoretical support for market participants in the formulation of hedging strategy. On the one hand, the study of market volatility can improve the ability to study the operational efficiency of the futures market and the spot market, and provide a practical theoretical basis for preventing short-term speculation of speculative capital from causing market volatility to intensify; on the one hand, It helps market makers put forward more detailed requirements for risk regulation and risk control; on the other hand, it helps to price derivatives such as futures, In a word, it will be of great practical significance to our policy makers, market participants and regulators.
【學(xué)位授予單位】：新疆財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F326.12;F724.5

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