本文選題：玉米期貨市場 + 價格發(fā)現(xiàn)功能��； 參考：《貴州財經(jīng)大學(xué)》2017年碩士論文

【摘要】：作為農(nóng)產(chǎn)品期貨市場的重要組成部分,玉米期貨市場在規(guī)避風(fēng)險,實現(xiàn)套期保值方面做出了一定的貢獻(xiàn)。我國是糧食生產(chǎn)大國和進(jìn)出口大國,農(nóng)產(chǎn)品價格的穩(wěn)定性直接關(guān)系到我國經(jīng)濟(jì)發(fā)展的走勢,每年國家都出臺農(nóng)產(chǎn)品價格支持政策,這在穩(wěn)定農(nóng)產(chǎn)品價格的同時,也給政府造成了巨大的財政負(fù)擔(dān),所以我國正逐步放開農(nóng)業(yè)支持政策,讓農(nóng)產(chǎn)品期貨市場發(fā)揮市場的調(diào)節(jié)功能,這不但給政府減輕了負(fù)擔(dān),又能夠使玉米價格真實地反應(yīng)玉米現(xiàn)貨市場的供求關(guān)系,還能夠增加玉米期貨市場的活力。本文的研究目的就是為了研究現(xiàn)階段我國玉米期貨市場的價格發(fā)現(xiàn)功能發(fā)揮的程度,并分析玉米現(xiàn)貨市場與期貨市場之間的價格波動溢出效應(yīng),對期貨市場價格發(fā)現(xiàn)功能進(jìn)一步確認(rèn),最后用最優(yōu)套期保值比率來衡量玉米期貨市場規(guī)避風(fēng)險和價格發(fā)現(xiàn)的總體效果。本文首先,從玉米期貨市場的價格發(fā)現(xiàn)功能出發(fā),深入分析我國玉米期貨市場的價格發(fā)現(xiàn)功能,通過引入空間狀態(tài)模型,運(yùn)用卡爾曼濾波法,估計玉米期貨市場的動態(tài)貢獻(xiàn)率,并對不同時期的動態(tài)貢獻(xiàn)率作出解釋;其次,進(jìn)一步分析玉米期貨市場與現(xiàn)貨市場之間的價格傳導(dǎo)過程,即波動溢出效應(yīng),運(yùn)用脈沖響應(yīng)函數(shù)和EGARCH模型估計了波動溢出效應(yīng)的方向與大小;最后,在第三章和第四章研究的基礎(chǔ)之上,對玉米期貨市場的最優(yōu)套期保值比率進(jìn)行估計,分別運(yùn)用了靜態(tài)模型和動態(tài)的GARCH模型,發(fā)現(xiàn)GARCH模型的擬合效果較好。在文章得出的主要結(jié)論為:玉米期貨市場的具備一定的價格發(fā)現(xiàn)功能,且在價格發(fā)現(xiàn)功能中處于主導(dǎo)地位;玉米期貨市場存在著從玉米期貨市場到現(xiàn)貨市場的單向波動溢出效應(yīng);GARCH模型估計的最優(yōu)套期保值比率效果最好,但玉米期貨市場的套期保值功能能夠降低玉米現(xiàn)貨市場風(fēng)險的比率還不是很高,這說明我國玉米期貨市場的套期保值功能還有很大的發(fā)揮空間。本文最后在玉米期貨市場價格發(fā)現(xiàn)功能和最優(yōu)套期保值功能研究的基礎(chǔ)上提出了合理化建議。
[Abstract]:As an important part of agricultural futures market, corn futures market has made a certain contribution in avoiding risks and realizing hedging. China is a large grain producing country and a big import and export country. The stability of agricultural product prices is directly related to the trend of our country's economic development. Every year, the state issues agricultural product price support policy, which at the same time stabilizes the agricultural product price. It has also caused a huge financial burden to the government. Therefore, our country is gradually liberalizing agricultural support policies and allowing the futures market of agricultural products to play a regulatory role in the market. This not only lightens the burden on the government, The price of corn can reflect the supply and demand of spot market and increase the vigor of corn futures market. The purpose of this paper is to study the extent of price discovery function of corn futures market in China at present, and to analyze the spillover effect of price fluctuation between spot market and futures market. The function of price discovery in futures market is further confirmed. Finally, the optimal hedge ratio is used to measure the overall effect of risk avoidance and price discovery in corn futures market. First of all, from the price discovery function of corn futures market, this paper deeply analyzes the price discovery function of corn futures market in China, and estimates the dynamic contribution rate of corn futures market by introducing spatial state model and using Kalman filter method. The dynamic contribution rate in different periods is explained. Secondly, the price conduction process between the corn futures market and the spot market is further analyzed, that is, volatility spillover effect. The direction and magnitude of volatility spillover effect are estimated by using impulse response function and EGARCH model. Finally, the optimal hedge ratio of corn futures market is estimated on the basis of the third and fourth chapters. The static model and the dynamic GARCH model are used, and it is found that the fitting effect of the GARCH model is better. The main conclusions in this paper are as follows: the corn futures market has a certain price discovery function and plays a leading role in the price discovery function; There is a one-way volatility spillover effect from corn futures market to spot market in maize futures market. GARCH model has the best effect in estimating the optimal hedge ratio. However, the hedge function of corn futures market can reduce the risk ratio of spot corn market is not very high, which indicates that the hedging function of corn futures market in China has a lot of room to play. Finally, based on the research on the function of price discovery and optimal hedging in corn futures market, some reasonable suggestions are put forward.
【學(xué)位授予單位】：貴州財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.6;F323.7

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本文編號：1822048