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  本文關(guān)鍵詞：投機因素對大豆期貨價格影響的實證分析　出處：《南京農(nóng)業(yè)大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 投機 大豆期貨 價格

【摘要】：大豆作為重要的農(nóng)作物及油料作物之一,在人們的生產(chǎn)生活中扮演越來越重要的角色,其價格的劇烈波動會對各國造成不良影響,而期貨市場具有風險規(guī)避和價格發(fā)現(xiàn)功能,對大豆期貨市場的研究有助于規(guī)避現(xiàn)貨市場的生產(chǎn)經(jīng)營風險,同時有利于各國制定并完善相關(guān)期貨市場政策,防范市場風險。 本文在描述分析了大豆期貨價格影響因素的基礎(chǔ)上,選取匯率、庫存、投機和原油指數(shù)等代表性變量,通過建立多元回歸模型分析了投機因素對大豆期貨價格的顯著影響。為進一步研究投機因素對大豆期貨價格的影響程度及投機主體對大豆期貨價格影響差異,將投機進一步分成傳統(tǒng)投機和新型投機,分別運用凈頭寸和投資者情緒指標,通過ADF檢驗,協(xié)整檢驗、VAR模型,脈沖響應(yīng)函數(shù)以及格蘭杰因果檢驗等方法進行分析,多角度定量分析了投機因素對大豆期貨價格的影響及相互因果關(guān)系。 研究發(fā)現(xiàn),大豆期貨價格受投機因素的顯著影響,格蘭杰檢驗結(jié)果表明,投機性更強的指數(shù)基金交易者(新型投機者)單向引導大豆期貨價格,大豆期貨價格單向引導非商業(yè)持倉(傳統(tǒng)投機者)。脈沖響應(yīng)函數(shù)表明以非商業(yè)持倉為代表的傳統(tǒng)投機力量和以指數(shù)基金交易者為代表的新型投機力量對大豆期貨價格均具有正向反饋作用,兩者的共同作用代表了投機力量對大豆期貨價格的顯著影響,而以投資者情緒指標衡量的新型投機者對大豆期貨價格的影響較之以凈頭寸指標衡量的結(jié)果程度更深,更加符合新型投機者的交易特點,因而本文認為投資者情緒指標更具合理性和準確性。
[Abstract]:Soybean, as one of the important crops and oil crops, plays a more and more important role in people's production and life. The futures market has the function of risk aversion and price discovery. The research on soybean futures market is helpful to avoid the risk of production and operation in spot market and to make and perfect the relevant futures market policies. Guard against market risks. On the basis of describing and analyzing the influencing factors of soybean futures price, this paper selects the representative variables such as exchange rate, inventory, speculation and crude oil index. In order to further study the influence degree of speculative factors on soybean futures price and the difference of speculative subject to soybean futures price, this paper analyzes the significant influence of speculative factors on soybean futures price by establishing multiple regression model. The speculation is further divided into traditional speculation and new speculation, using net positions and investor sentiment indicators, through the ADF test, cointegration test to test the VAR model. The impulse response function and Granger causality test were used to analyze the influence of speculative factors on soybean futures price. The study found that soybean futures prices are significantly affected by speculative factors, Granger test results show that more speculative index fund traders (new speculators) one-way guide soybean futures prices. Soybean futures price unidirectional guide non-commercial positions (traditional speculators). The impulse response function shows that the traditional speculative forces, represented by non-commercial positions, and the new speculative forces, represented by index fund traders, have positive feedback on soybean futures prices. The combination of the two represents the significant impact of speculative forces on soybean futures prices. The impact of new-type speculators on soybean futures prices measured by investor sentiment indicators is deeper than that measured by net position indicators, which is more in line with the trading characteristics of new-type speculators. Therefore, this paper believes that investor sentiment indicators are more reasonable and accurate.
【學位授予單位】：南京農(nóng)業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F326.11;F724.5

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本文編號：1360749