發(fā)布時(shí)間：2018-04-02 01:21

  本文選題：大豆期貨價(jià)格　切入點(diǎn)：大豆現(xiàn)貨價(jià)格　出處：《東北農(nóng)業(yè)大學(xué)》2017年碩士論文

【摘要】：大豆市場(chǎng)是中國(guó)糧食市場(chǎng)的重要組成部分,大豆市場(chǎng)運(yùn)行良好與否直接關(guān)系到糧食市場(chǎng)的發(fā)展。隨著我國(guó)經(jīng)濟(jì)的發(fā)展,大豆的需求量呈逐年上漲的趨勢(shì),國(guó)內(nèi)大豆供給已遠(yuǎn)遠(yuǎn)不能不滿足國(guó)內(nèi)發(fā)展的需求,再加之國(guó)內(nèi)大豆種植面積逐年萎縮,大豆產(chǎn)量不斷下降,我國(guó)對(duì)進(jìn)口大豆的依存度越來越高,目前中國(guó)已成為全球大豆最大進(jìn)口國(guó),國(guó)際大豆市場(chǎng)價(jià)格的劇烈波動(dòng)也對(duì)國(guó)內(nèi)大豆價(jià)格的影響越來越大,使得國(guó)內(nèi)大豆期現(xiàn)貨市場(chǎng)的聯(lián)動(dòng)性面臨日益嚴(yán)峻的考驗(yàn)。由于大豆期貨市場(chǎng)和現(xiàn)貨市場(chǎng)是大豆市場(chǎng)重要組成部分,本文以大豆期貨價(jià)格和現(xiàn)貨價(jià)格作為研究對(duì)象,通過大量的國(guó)內(nèi)外文獻(xiàn)資料閱讀,界定了期現(xiàn)貨價(jià)格擬合的概念,本文認(rèn)為期現(xiàn)貨價(jià)格擬合是指在期貨市場(chǎng)價(jià)格發(fā)現(xiàn)功能的作用下的期現(xiàn)貨價(jià)格的聯(lián)動(dòng)程度。在此基礎(chǔ)上,本文通過從大連商品期貨交易所和國(guó)家糧油信息中心搜集、計(jì)算、整理得到2007年至2015年大豆期現(xiàn)貨價(jià)格數(shù)據(jù)進(jìn)行走勢(shì)分析可知,大豆期現(xiàn)貨價(jià)格在金融危機(jī)爆發(fā)時(shí)期同時(shí)出現(xiàn)了大幅度快速上漲與大幅度急劇下跌的波動(dòng)趨勢(shì),而在金融危機(jī)過后的復(fù)蘇發(fā)展階段,盡管大豆期現(xiàn)貨價(jià)格從長(zhǎng)期呈現(xiàn)出緩慢回升趨勢(shì),但大豆期現(xiàn)貨價(jià)格的波動(dòng)幅度和趨勢(shì)在復(fù)蘇前期呈現(xiàn)出較為同步的變化,大豆期貨價(jià)格對(duì)現(xiàn)貨價(jià)格的引領(lǐng)作用并未得到體現(xiàn)。隨著時(shí)間的推移,大豆期貨價(jià)格基本呈現(xiàn)出先于現(xiàn)貨價(jià)格發(fā)生趨勢(shì)的變化,然而大豆現(xiàn)貨價(jià)格同一波動(dòng)趨勢(shì)時(shí)間較長(zhǎng),價(jià)格波動(dòng)趨勢(shì)轉(zhuǎn)變較慢。為深入分析大豆期現(xiàn)貨價(jià)格波動(dòng)原因,本文從影響大豆期現(xiàn)貨價(jià)格擬合的供求狀況、信息傳遞情況、人為操控、心理預(yù)期程度、政策效應(yīng)五個(gè)方面進(jìn)行分析,從而為實(shí)證結(jié)果的探究做鋪墊。在實(shí)證探究方面,鑒于大豆期現(xiàn)貨價(jià)格擬合是大豆期現(xiàn)貨聯(lián)動(dòng)性的體現(xiàn),本文分別從大豆期現(xiàn)貨價(jià)格的相關(guān)關(guān)系、均衡關(guān)系、引導(dǎo)關(guān)系、動(dòng)態(tài)效應(yīng)四個(gè)方面進(jìn)行實(shí)證探究,綜合分析大豆期現(xiàn)貨價(jià)格擬合關(guān)系。通過實(shí)證得出從2007年至2015年,我國(guó)大豆期現(xiàn)貨價(jià)格雖然整體擬合關(guān)系較好,期貨市場(chǎng)價(jià)格發(fā)現(xiàn)功能從長(zhǎng)期得到有效發(fā)揮,但存在著單向引導(dǎo)關(guān)系所導(dǎo)致的價(jià)格發(fā)現(xiàn)功能不完備以及大豆期現(xiàn)貨價(jià)格之間短期聯(lián)動(dòng)性較差、信息傳遞效率較低的問題。結(jié)合期現(xiàn)貨價(jià)格走勢(shì)及影響因素針對(duì)實(shí)證結(jié)果進(jìn)行原因分析可知:大豆期貨市場(chǎng)信息搜集機(jī)制發(fā)展不完善,大豆現(xiàn)貨市場(chǎng)組織化程度落后,大豆現(xiàn)貨生產(chǎn)主體期貨參與度較低。并在此基礎(chǔ)上,從大豆期現(xiàn)貨市場(chǎng)及市場(chǎng)參與主體的角度提出相關(guān)對(duì)策以提升大豆期現(xiàn)貨市場(chǎng)價(jià)格的聯(lián)動(dòng)性,增強(qiáng)大豆期現(xiàn)貨市場(chǎng)的緊密聯(lián)系程度,促進(jìn)國(guó)內(nèi)大豆市場(chǎng)的健康快速發(fā)展。
[Abstract]:The soybean market is an important part of China's grain market. Whether the soybean market is running well or not is directly related to the development of the grain market. With the development of China's economy, the demand for soybean is increasing year by year. Domestic soybean supply has far to meet the domestic development needs, plus the domestic soybean planting area shrinks year by year, soybean production continues to decline, China's dependence on imported soybeans is becoming higher and higher. At present, China has become the largest importer of soybeans in the world, and the sharp fluctuations in the international soybean market have increasingly affected the domestic soybean prices. As the soybean futures market and spot market are an important part of soybean market, this paper takes soybean futures price and spot price as the research object. This paper defines the concept of futures spot price fitting by reading a lot of domestic and foreign literatures. This paper considers that futures spot price fitting is the linkage degree of futures spot price under the function of price discovery in futures market. Through collecting and calculating from Dalian Commodity Futures Exchange and the National Grain and Oil Information Center, we can get the spot price data of soybean from 2007 to 2015 for trend analysis. During the financial crisis period, the spot price of soybeans also showed a trend of sharp and rapid rise and sharp decline, while in the stage of recovery and development after the financial crisis, Although the spot price of soybean shows a slow upward trend from a long time, the fluctuation range and trend of spot price in soybean period show more synchronous changes in the early stage of recovery. The leading role of soybean futures prices in spot prices has not been reflected. With the passage of time, soybean futures prices basically show a trend of change ahead of spot prices. However, the same trend of spot soybean prices fluctuates for a long time. The trend of price fluctuation changes slowly. In order to analyze the reason of spot price fluctuation in soybean period, this paper analyzes the supply and demand situation, information transmission, artificial manipulation, psychological expectation degree of spot price fitting in soybean period. In the empirical research, in view of the soybean spot price fitting is the embodiment of soybean spot price linkage, this paper respectively from the soybean spot price correlation, Through the empirical analysis of soybean spot price fitting relationship from 2007 to 2015, it is concluded that the overall fitting relationship of soybean spot price in China is better than that in China from 2007 to 2015. The function of price discovery in futures market has been brought into full play from a long time, but the price discovery function caused by unidirectional guidance relationship is incomplete and the short-term linkage between spot price of soybean is poor. According to the results of empirical analysis, the mechanism of information collection in soybean futures market is not perfect, and the degree of organization in spot market of soybean is backward. The participation of soybean spot producer futures is relatively low. On this basis, from the point of view of soybean spot market and market participants, the relevant countermeasures are put forward to promote the linkage of soybean spot market price. Strengthen the close contact degree of soybean spot market, promote the healthy and rapid development of domestic soybean market.
【學(xué)位授予單位】：東北農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F323.7;F724.5

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本文編號(hào)：1698160