發(fā)布時(shí)間：2018-01-03 06:39

  本文關(guān)鍵詞：國(guó)際鋼材期貨市場(chǎng)傳染風(fēng)險(xiǎn)分析及其分層應(yīng)對(duì)策略研究　出處：《云南財(cái)經(jīng)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 期貨市場(chǎng) 傳染風(fēng)險(xiǎn) 鋼材期貨 GARCH模型 脈沖響應(yīng)函數(shù)

【摘要】：在經(jīng)濟(jì)全球化和自由化的背景下,我國(guó)期貨市場(chǎng)也不斷繁榮發(fā)展,期貨市場(chǎng)逐漸在金融市場(chǎng)中占據(jù)了重要位置,發(fā)揮著其他市場(chǎng)所不能代替的作用。期貨市場(chǎng)在傳遞信息時(shí),會(huì)出現(xiàn)風(fēng)險(xiǎn)傳遞和關(guān)聯(lián),形成傳染風(fēng)險(xiǎn)。由于傳染風(fēng)險(xiǎn)現(xiàn)象的存在,一個(gè)市場(chǎng)的危機(jī)可能進(jìn)一步引起金融風(fēng)險(xiǎn)的擴(kuò)大與擴(kuò)散,其中,2008年由美國(guó)次貸危機(jī)引起的全球金融和經(jīng)濟(jì)危機(jī)就是一個(gè)典型的例子�？梢�,研究不同金融市場(chǎng)間的傳染風(fēng)險(xiǎn)效應(yīng)具有重要理論價(jià)值和實(shí)際意義。鋼材是僅次于原油的全球第二大大宗商品,因此鋼材及其相關(guān)產(chǎn)品價(jià)格的波動(dòng)會(huì)對(duì)各國(guó)經(jīng)濟(jì)增長(zhǎng)產(chǎn)生重要的作用。我國(guó)是世界上最大的鋼材產(chǎn)銷國(guó),而在鋼材生產(chǎn)成本中,占比重最大的是鐵礦石。為在鋼材價(jià)格定價(jià)上取得一定話語權(quán),于2009年3月27日,上海期貨交易所鋼材期貨上市,隨后,2013年10月大連商品交易所推出鐵礦石期貨,鋼材企業(yè)可以在期貨市場(chǎng)上進(jìn)行操作,使采購(gòu)的成本數(shù)額保持穩(wěn)定,企業(yè)的正常經(jīng)營(yíng)利潤(rùn)得到保證。新加坡鐵礦石期貨以及美國(guó)的鋼材期貨在國(guó)際上也具有較大影響力,因此,本文將對(duì)中國(guó)、美國(guó)和新加坡三個(gè)國(guó)家的鋼材期貨以及鐵礦石的傳染風(fēng)險(xiǎn)進(jìn)行實(shí)證研究。本文梳理了國(guó)內(nèi)外學(xué)者對(duì)于期貨市場(chǎng)傳染風(fēng)險(xiǎn)效應(yīng)的研究,分析了期貨市場(chǎng)傳染風(fēng)險(xiǎn)的基本相關(guān)理論,介紹回顧了我國(guó)期貨市場(chǎng)的起源以及國(guó)際上主要的鋼材期貨市場(chǎng)。在理論分析的基礎(chǔ)之上,總結(jié)了一般研究傳染風(fēng)險(xiǎn)的方法。先對(duì)鋼材期貨進(jìn)行基本統(tǒng)計(jì)描述,再通過相關(guān)性分析、Granger因果關(guān)系檢驗(yàn)進(jìn)行國(guó)際鋼材期貨市場(chǎng)的傳染風(fēng)險(xiǎn)分析。之后針對(duì)鋼材期貨市場(chǎng)傳染風(fēng)險(xiǎn)構(gòu)建模型,分析國(guó)際鋼材期貨的價(jià)格傳染效應(yīng),先要進(jìn)行異方差檢驗(yàn),再在ARCH模型的基礎(chǔ)之上構(gòu)建適合研究國(guó)際鋼材期貨市場(chǎng)的GARCH模型進(jìn)行進(jìn)一步的分析,再通過構(gòu)建國(guó)際鋼材期貨市場(chǎng)的脈沖響應(yīng)函數(shù)更加深入的分析國(guó)際鋼材期貨價(jià)格之間的傳染風(fēng)險(xiǎn)。最后,針對(duì)國(guó)際鋼材期貨市場(chǎng)間的傳染風(fēng)險(xiǎn)實(shí)證結(jié)果,分別從宏觀政府的層面、中觀企業(yè)的層面、微觀個(gè)人投資者的層面提出分層應(yīng)對(duì)策略。對(duì)于政府而言,在監(jiān)督制度的制定上,應(yīng)該制定嚴(yán)格的期貨套保監(jiān)督制度,杜絕越權(quán)投機(jī)的現(xiàn)象發(fā)生,制定內(nèi)控制度,為企業(yè)的健康發(fā)展保駕護(hù)航,此外,改善市場(chǎng)結(jié)構(gòu),以增加市場(chǎng)的活躍度,使市場(chǎng)投資者結(jié)構(gòu)更為合理,更好發(fā)揮鋼材期貨市場(chǎng)的作用,還應(yīng)該進(jìn)一步完善鋼材期貨的交割制度,防止惡意拒交的情況發(fā)生。對(duì)于企業(yè)而言,應(yīng)當(dāng)改革國(guó)有企業(yè)的體制,成立獨(dú)立的職能部門,以實(shí)現(xiàn)更優(yōu)化的套保效率。另外,在套期保值的策略上,要注重選擇,結(jié)合企業(yè)具體情況來進(jìn)行。對(duì)于微觀期貨投資者而言,既要關(guān)注國(guó)內(nèi)其他鋼材期貨品種的價(jià)格變動(dòng),同時(shí)也要注意參考其他國(guó)家的鋼材期貨品種的價(jià)格波動(dòng),多方參考之后,得出更為科學(xué)合理的操作決策。
[Abstract]:In the context of economic globalization and liberalization, China's futures market is also booming, futures market gradually occupies an important position in the financial market. Futures market can not replace the role of other markets. The futures market in the transmission of information, there will be risk transmission and association, resulting in contagion risk. Due to the existence of contagion risk phenomenon. A market crisis may further cause the expansion and spread of financial risk. In 2008, the global financial and economic crisis caused by the subprime mortgage crisis in the United States is a typical example. It is of great theoretical and practical significance to study the contagion risk effect among different financial markets. Steel is the second largest commodity in the world after crude oil. Therefore, the fluctuation of the price of steel and related products will play an important role in the economic growth of various countries. China is the largest producer and marketer of steel in the world, and in the cost of steel production. Iron ore accounts for the largest proportion. In order to get a certain say in the pricing of steel, in March 27th 2009, Shanghai Futures Exchange steel futures listed, and then. In October 2013, Dalian Commodity Exchange introduced iron ore futures, steel enterprises can operate in the futures market to keep the cost of procurement stable. The normal operating profit of the enterprise is guaranteed. Singapore iron ore futures and the steel futures of the United States also have great influence in the world, therefore, this article will be to China. Three countries of the United States and Singapore steel futures and iron ore contagion risk empirical research. This paper reviews the domestic and foreign scholars on the futures market contagion risk effect research. This paper analyzes the basic theory of contagion risk in futures market, introduces and reviews the origin of futures market in China and the main steel futures market in the world. This paper summarizes the general research methods of contagion risk. Firstly, the basic statistical description of steel futures is carried out, and then the correlation analysis is carried out. The Granger causality test is used to analyze the contagion risk of international steel futures market, and then the price contagion effect of international steel futures is analyzed according to the model of contagion risk of steel futures market. First of all, the heteroscedasticity test should be carried out, and then the GARCH model suitable for the research of international steel futures market should be constructed on the basis of ARCH model for further analysis. Then through the construction of the international steel futures market impulse response function more in-depth analysis of the international steel futures price contagion risk. Finally, for the international steel futures market contagion risk empirical results. From the macro level of government, the level of meso enterprises, micro level of individual investors put forward stratified response strategy. For the government, in the development of supervision system. We should establish a strict futures hedging supervision system, put an end to the phenomenon of excessive speculation, formulate an internal control system to protect the healthy development of enterprises, in addition, improve the market structure, in order to increase the activity of the market. Make the structure of market investors more reasonable, better play the role of steel futures market, but also should further improve the delivery system of steel futures to prevent malicious refusal to occur. We should reform the system of state-owned enterprises and set up independent functional departments in order to achieve better hedging efficiency. In addition, in the strategy of hedging, we should pay attention to choice. According to the specific situation of enterprises. For micro-investors, we should not only pay attention to the price changes of other domestic steel futures, but also refer to the price fluctuations of other steel futures in other countries. After many references, the more scientific and reasonable operation decision is obtained.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F713.35;F764.2

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