發(fā)布時(shí)間：2017-12-31 17:29

  本文關(guān)鍵詞：投機(jī)因素對(duì)大豆期貨價(jià)格影響的實(shí)證分析　出處：《南京農(nóng)業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 投機(jī) 大豆期貨 價(jià)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(jià)格的劇烈波動(dòng)會(huì)對(duì)各國(guó)造成不良影響,而期貨市場(chǎng)具有風(fēng)險(xiǎn)規(guī)避和價(jià)格發(fā)現(xiàn)功能,對(duì)大豆期貨市場(chǎng)的研究有助于規(guī)避現(xiàn)貨市場(chǎng)的生產(chǎn)經(jīng)營(yíng)風(fēng)險(xiǎn),同時(shí)有利于各國(guó)制定并完善相關(guān)期貨市場(chǎng)政策,防范市場(chǎng)風(fēng)險(xiǎn)。 本文在描述分析了大豆期貨價(jià)格影響因素的基礎(chǔ)上,選取匯率、庫存、投機(jī)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(jī)因素對(duì)大豆期貨價(jià)格的顯著影響。為進(jìn)一步研究投機(jī)因素對(duì)大豆期貨價(jià)格的影響程度及投機(jī)主體對(duì)大豆期貨價(jià)格影響差異,將投機(jī)進(jìn)一步分成傳統(tǒng)投機(jī)和新型投機(jī),分別運(yùn)用凈頭寸和投資者情緒指標(biāo),通過ADF檢驗(yàn),協(xié)整檢驗(yàn)、VAR模型,脈沖響應(yīng)函數(shù)以及格蘭杰因果檢驗(yàn)等方法進(jìn)行分析,多角度定量分析了投機(jī)因素對(duì)大豆期貨價(jià)格的影響及相互因果關(guān)系。 研究發(fā)現(xiàn),大豆期貨價(jià)格受投機(jī)因素的顯著影響,格蘭杰檢驗(yàn)結(jié)果表明,投機(jī)性更強(qiáng)的指數(shù)基金交易者(新型投機(jī)者)單向引導(dǎo)大豆期貨價(jià)格,大豆期貨價(jià)格單向引導(dǎo)非商業(yè)持倉(cāng)(傳統(tǒng)投機(jī)者)。脈沖響應(yīng)函數(shù)表明以非商業(yè)持倉(cāng)為代表的傳統(tǒng)投機(jī)力量和以指數(shù)基金交易者為代表的新型投機(jī)力量對(duì)大豆期貨價(jià)格均具有正向反饋?zhàn)饔?兩者的共同作用代表了投機(jī)力量對(duì)大豆期貨價(jià)格的顯著影響,而以投資者情緒指標(biāo)衡量的新型投機(jī)者對(duì)大豆期貨價(jià)格的影響較之以凈頭寸指標(biāo)衡量的結(jié)果程度更深,更加符合新型投機(jī)者的交易特點(diǎn),因而本文認(rèn)為投資者情緒指標(biāo)更具合理性和準(zhǔn)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(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F326.11;F724.5

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本文編號(hào)：1360749