發(fā)布時間：2018-04-02 16:02

  本文選題：期貨價格　切入點：現(xiàn)貨價格　出處：《河南大學(xué)》2014年碩士論文

【摘要】：白糖作為我國重要的經(jīng)濟(jì)作物之一，既是居民日常生活的重要必需品，又是飲料、食品、制藥等工業(yè)經(jīng)濟(jì)中不可或缺的重要原料。因此，，白糖市場的穩(wěn)定發(fā)展既關(guān)系到百姓民生問題，也直接影響著國民經(jīng)濟(jì)相關(guān)產(chǎn)業(yè)的健康運行。然而，由于白糖“宿根”造成的生產(chǎn)特殊性極易導(dǎo)致供需失衡從而產(chǎn)生價格劇烈波動，給白糖的生產(chǎn)加工企業(yè)、流通企業(yè)、下游消費企業(yè)及居民百姓帶來了諸多不利影響。特別是近年來，中國期貨市場的發(fā)展，雖然比較快，但與國際期貨市場相比，由于起步較晚，發(fā)展還很不完善。因此，增強(qiáng)和完善期貨市場信息的透明度，避免過度投機(jī)和泡沫成分成為了完善我國白糖期貨市場、促進(jìn)實體產(chǎn)業(yè)優(yōu)化升級的必然趨勢。通過分析白糖市場行情及未來走勢，尋找白糖價格波動規(guī)律和周期性變化特征，同時利用國內(nèi)外期貨市場的價格發(fā)現(xiàn)和套期保值兩大功能，促進(jìn)我國白糖產(chǎn)業(yè)健康發(fā)展和優(yōu)化升級，從而化解白糖價格劇烈波動風(fēng)險，是本文研究的重要目的。 本文邏輯是首先通過對白糖進(jìn)行簡潔概述，深入、細(xì)致分析世界白糖供需狀況及巴西、印度、泰國等國際白糖主產(chǎn)國的生產(chǎn)、消費、進(jìn)出口、儲備、政策變動，接著對我國白糖的生產(chǎn)供需基本情況進(jìn)行詳細(xì)分析，由此總結(jié)出影響白糖價格的主要因素。 在此基礎(chǔ)上開始對白糖價格變動的本質(zhì)規(guī)律進(jìn)行探索：通過對國內(nèi)外期貨市場進(jìn)行介紹，對期現(xiàn)貨價格關(guān)聯(lián)性的內(nèi)在理論進(jìn)行闡述，著重分析我國白糖基差變動、月間價差、季節(jié)性變動等規(guī)律，同時對未來價格進(jìn)行展望分析。 （1）lngjxh、lnlzxh、lnmtqh、lnztqh存在協(xié)整關(guān)系，即它們之間存在長期穩(wěn)定的均衡關(guān)系。 （2）通過因果關(guān)系檢驗表明，白糖期貨市場價格傳導(dǎo)機(jī)制的傳導(dǎo)速度快于現(xiàn)貨市場白糖價格傳導(dǎo)速度。其中國內(nèi)白糖現(xiàn)貨價格主要受鄭糖期貨價格和國際白糖期貨價格影響。而國際白糖現(xiàn)貨價格對國內(nèi)白糖現(xiàn)貨價格的影響則相對較慢。 （3）通過誤差修正模型還發(fā)現(xiàn)，國際白糖現(xiàn)貨價格走高反倒引起國內(nèi)白糖價格走低的結(jié)論不符合事實。究其原因，一方面因為我國白糖現(xiàn)貨市場與國際白糖市場并未完全接軌，比如我國白糖實行配額內(nèi)進(jìn)口和配額外進(jìn)口，同時白糖走私現(xiàn)象也比較嚴(yán)重，導(dǎo)致我國白糖現(xiàn)貨價格與國際白糖現(xiàn)貨價格關(guān)系同事實和基本邏輯不符。另一方面原因則可能是模型有待進(jìn)一步深入和修正。 最后本文綜合國內(nèi)外白糖市場格局、我國白糖產(chǎn)業(yè)現(xiàn)狀、我國白糖的價格規(guī)律，給出涉糖企業(yè)如何利用期貨市場促進(jìn)白糖產(chǎn)業(yè)優(yōu)化升級、穩(wěn)定發(fā)展的若干建議： （1）白糖生產(chǎn)、加工及貿(mào)易企業(yè)利用期貨市場指導(dǎo)生產(chǎn)經(jīng)營。對蔗農(nóng)和上游生產(chǎn)企業(yè)而言，通過分析遠(yuǎn)期合約價格走勢、遠(yuǎn)期合約月間價差水平、期現(xiàn)基差水平，合理預(yù)估未來白糖現(xiàn)貨價格走勢，從而實現(xiàn)利潤最大化的目的。 （2）白糖產(chǎn)業(yè)利用期貨市場完成現(xiàn)貨銷售采購模式的創(chuàng)新。由于白糖期貨市場具有實物交割平倉機(jī)制，因此期現(xiàn)貨價格及貨物具有統(tǒng)一性。利用期貨市場的實物交割平倉機(jī)制，涉糖企業(yè)可以實現(xiàn)現(xiàn)貨采購和銷售模式的創(chuàng)新。 例如在基差水平為負(fù)且基差水平絕對值大于買斷費用時，上游企業(yè)可以通過在鄭州商品交易市場注冊標(biāo)準(zhǔn)倉單，同時在期貨市場上賣出保值的方式銷售白糖現(xiàn)貨，從而達(dá)到利潤最大化的目的。 在基差水平處于正常波動范圍，達(dá)不到買斷的時機(jī)時，中間貿(mào)易商可以通過在期貨盤面利用點價的模式，同時鎖定上游白糖現(xiàn)貨采購價格和下游白糖銷售價格，從而實現(xiàn)利潤提前鎖定的目的。 （3）期貨市場具有套期保值功能，涉糖企業(yè)如何利用期貨市場化解價格波動風(fēng)險是企業(yè)和產(chǎn)業(yè)穩(wěn)步發(fā)展的關(guān)鍵之一。 如在白糖牛市周期或者白糖榨季末期，白糖現(xiàn)貨供應(yīng)趨緊，價格上行壓力較大，白糖下游消費企業(yè)通過在期貨盤面買入保值，從而防范價格上行風(fēng)險。 （4）涉糖企業(yè)利用期貨市場還可實現(xiàn)貿(mào)易融資。涉糖企業(yè)在資金緊張時，通過將符合白糖交割品級的白糖現(xiàn)貨拉至指定交割倉庫，將白糖現(xiàn)貨注冊成標(biāo)準(zhǔn)倉單。同時將白糖的標(biāo)準(zhǔn)倉單質(zhì)押至銀行、投資公司、貿(mào)易公司等，可獲得相應(yīng)的資金現(xiàn)款，從而實現(xiàn)融資的需求。待資金寬松時再贖回現(xiàn)貨，從而使得企業(yè)多了一條解決資金燃眉之急的重要方法。
[Abstract]:As one of the important economic crops in our country , white sugar is an important and important raw material for the daily life of the inhabitants . Therefore , the development of the white sugar market is not only related to the people ' s livelihood , but also affects the healthy operation of the relevant industries of the national economy .

In this paper , the production , consumption , import and export , reserve and policy change of the world white sugar producing countries such as Brazil , India , Thailand and so on are analyzed in detail through the concise summary of white sugar , then the basic information of production and supply of white sugar in China is analyzed in detail , and the main factors that affect the price of white sugar are summarized .

On the basis of this , the essence of the price change of white sugar is explored : through the introduction of the futures market at home and abroad , the internal theory of the correlation of the current stock price is explained , and the regularity of the fluctuation of the white sugar base difference , the monthly price difference and the seasonal fluctuation are emphatically analyzed , and meanwhile , the future price is analyzed .

( 1 ) There is a cointegration relationship between lngjxh , lnlzxh , lnmtqh , lnztqh , that is , there is a long - term stable equilibrium relationship .

( 2 ) Through the causality test , the conduction velocity of the price conduction mechanism of the white sugar futures market is faster than the price conduction velocity of the white sugar in the spot market . The spot price of domestic white sugar is mainly influenced by the futures price of Zhengzhou sugar and the international white sugar futures price , and the effect of the spot price of international white sugar on the spot price of domestic white sugar is relatively slow .

( 3 ) The conclusion that the price of white sugar in China is low is not in accord with the fact through the error correction model . The reason is that , on the one hand , China white sugar spot market and the international white sugar market are not completely connected , such as the import and export of white sugar in China , and the phenomenon of white sugar smuggling is serious , which leads to the fact that the current price of white sugar in China is inconsistent with the fact and the basic logic . On the other hand , it may be that the model is to be further deepened and corrected .

At last , the present situation of white sugar industry at home and abroad , the present situation of sugar industry in China and the price rule of white sugar in China are discussed . Some suggestions on how to use futures market to promote the optimization and upgrading of white sugar industry and stabilize development are given .

( 1 ) The production , processing and trading enterprises of white sugar use the futures market to guide the production and operation . For the sugarcane and upstream production enterprises , by analyzing the forward contract price trend , the forward contract price difference level , the current base difference level , the future white sugar spot price trend is reasonably estimated , so as to realize the aim of maximizing profit .

( 2 ) The white sugar industry uses the futures market to complete the innovation of the spot sales procurement mode . As the white sugar futures market has the real - kind delivery flat - bin mechanism , the spot price and the goods have the unity . By using the real - kind delivery of the futures market , the sugar - related enterprises can realize the innovation of the spot purchase and sale mode .

For example , when the base difference level is negative and the absolute value of the base difference level is larger than the purchase cost , the upstream enterprise can sell the white sugar spot goods by selling the standard warehouse receipts in the Zhengzhou commodity trading market , and meanwhile , selling the white sugar spot goods in the futures market so as to achieve the aim of maximizing the profit .

When the base difference level is in the normal fluctuation range and cannot reach the buying time , the intermediate trader can realize the purpose of early locking of the profit by using the mode of the spot price on the futures coil , and simultaneously locking the spot purchase price and the downstream sugar selling price of the upstream white sugar .

( 3 ) The futures market has hedging function , how to use the futures market to resolve price fluctuation risk is the key to the steady development of enterprises and industry .

For example , in the period of white sugar cattle market or the end of the white sugar squeezing season , the supply of white sugar becomes tight , the price is higher , and the downstream consumer enterprise of white sugar can prevent the price upward risk by buying and maintaining the futures coil .

( 4 ) The sugar enterprises can also realize the trade financing through the futures market . In the case of the shortage of funds , sugar enterprises are registered as standard warehouse receipts by pulling the white sugar present goods according to the white sugar delivery grade to the designated delivery warehouse . Meanwhile , the standard warehouse of the white sugar is pledged to the bank , the investment company , the trading company , and the like , so as to realize the financing requirement . When the fund is loose , the cash is redeemed , so that the enterprise has more and more important methods to solve the problem .

【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F724.5;F426.82;F224

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