【作者】 黄晓千；

【导师】 陈守东；

【作者基本信息】 吉林大学 ， 数量经济学， 2010， 博士

【摘要】 期货市场具有价格发现、套期保值的经济职能,在套期保值者和投机者共同参与的市场中,风险得以转移,价格被发现,信息效率得以提高,对于农产品而言,意义尤为重大,然而功能缺失的期货市场不仅无法起到应用的作用,反而容易造成风险积聚,价格波动剧烈,市场不稳定的严重后果。正是基于这个原因,本文从我国农产品期货市场的功能和效率的角度入手,研究农产品期货市场的作用、功能和效率,从理论上深入分析了农产品期货市场功能形成的理论基础,构建大量的实证模型,研究农产品期货市场的信息效率、价格发现功能和套期保值功能,文章共分为7章。第一章是农业和金融,属于介绍性和归纳性的内容,首先给出农业发展的特征,进一步给出金融对农业的作用和原理,最后,针对期货和衍生工具的功能和理论进行分析,并给出农业和期货及衍生工具之间的关系,最后,针对我国目前的期货市场,加以简单的介绍。第二章是农产品期货市场——功能和理论基础,首先给出农产品期货市场价格形成机制的分析,介绍了农产品期货市场的形成和演变,透视农产品期货价格形成过程,并分析了农产品期货交易的动机,进一步介绍农产品期货的类型和期货交易制度,利用行为金融理论分析农产品期货交易中的特征；其次,给出农产品期货市场的理论模型,介绍了行为资产定价模型,分析了行为资产定价模型的理论含义、特征,为实证研究的展开奠定理论基础。第三章是农产品期货市场的信息有效性检验,通过市场有效性假说,来验证我国农产品期货市场价格序列的有效性,基于随机游动的理论框架,构造顺序和反转,游程检验,方差比检验,自相关检验四个检验方法和统计量,验证我国农产品期货市场价格波动的特征。本章的第一部分是市场有效性理论和相关效率的界定,第二部分给出有效市场相关理论和研究方法,从鞅和随机游动假设出发,并综述了已有的研究成果,第三部分给出价格序列的顺序和反转,游程检验,方差比检验,自相关检验四个检验方法,最后,利用各种方法,对我国农产品期货市场的信息效率进行了检验,结果表明：顺序和反转检验以及游程检验的结果都表明大连商品交易所的期货价格序列不具备有效市场特征,然而对于对数收益率序列的统计检验则表明两个市场收益率都具有随机游动的特征,市场都相对有效,然而大连商品交易所的市场效率要低于芝加哥期货交易所的市场效率。第四章是农产品期货市场价格波动的实证分析,研究期货市场价格波动的方法主要包括ARMA模型、ARCH模型、协整和误差修正模型等,本章首先对农产品期货市场的价格波动进行了理论上的分析,进一步介绍了各种研究农产品期货市场价格波动的实证方法,最后,利用给出的方法对农产品期货市场的价格波动状态进行分析和研究。GARCH模型的估计结果表明,无论是国内市场还是国外市场,都具有“市场记忆性”特征,冲击持续时间较长,市场反应速度也都较快,然而不同的地方在于,我国期货市场是由于其参与者数量较少,期货品种较少而导致的表面有效,而国外市场则是在大量参与者的基础上实现的实际有效市场。协整分析的结果表明,国内市场和国外市场的价格对数序列之间不存在明显的长期稳定关系,造成这一现象的原因在于缺乏国内市场价格对国外市场价格波动的反馈机制,Granger因果关系检验的结果验证了这一结论,国外市场收益率序列是国内市场收益率序列的Granger原因,而国内市场收益率序列不是国外市场收益率序列的Granger原因的原假设则都被接受。第五章是农产品期货市场价格发现效率的实证分析,本章首先给出价格发现功能的理论框架,对相关文献进行了综述,进一步对价格发现的实证模型进行介绍,包括GS模型,Granger因果关系检验,Chan模型,GGS模型等主要方法,最后利用给出的实证模型进行实证检验,对我国农产品期货市场的价格发现效率进行实证分析。任何一种模型的估计结果都支持了期货价格领先于现货价格,期货市场起到主导作用的结论；然而同时得到的结论还有,现货价格不能对期货价格起到反馈的作用,期货价格波动和现货价格波动似乎无关。综合来看,期货市场和现货市场价格的领先-滞后关系表明我国无论是期货市场还是现货市场,都没有达到成熟市场的状态,因此,增加期货市场参与者数量,放松对期货市场的管制,以及数据和样本的范围扩大,都可能改善这一估计结果。第六章是农产品期货市场套期保值效率的实证分析,本章给出了套期保值的相关理论分析,并阐述了基差和套期保值的关联,进一步分别分析了静态和动态的最优套期保值比率模型,进而给出了套期保值的估算方法,最后,针对我国期货市场,进行套期保值效率的实证分析。结论表明,套期保值比率不会随着期限增加而呈现规律特征,这意味着我国期货市场套期保值行为和理论上的分析不符,事实上,期限越长,其承担的风险就会越大,因此套期保值比率应该随之上升,然而没有出现这种情况的原因只能是期货市场风险也相对较高,市场不具备效率市场的特征。从套期保值绩效的比较分析中可以看出,传统套期保值和GARCH模型估计的最优套期保值比率要明显优于不套期保值的状态,也优于OLS估计的最优套期保值比率状态,不进行套期保值时,风险最高,OLS估计的最优套期保值比率风险次之,GARCH模型估计的套期保值比率和传统的套期保值比率无法比较其优劣特征,这也从另一个方面论证了期货市场本身的价格波动不确定性较强,投资者无法得到最好的套期保值效果。第七章是我国农产品期货市场的问题和对策,归纳和总结了我国农产品期货市场问题的原因和症结所在,认为之所以存在这些问题,主要原因在于政府主导的农产品期货市场存在着大量问题,如现货市场不成熟、期货品种较少、市场制度不完善等等,这些问题阻碍着农产品期货市场效率的发挥。解决措施应该主要从完善农产品现货市场,适度管制的期货市场两个角度入手。文章的最后是结论,给出了主要研究结论。更多还原

【Abstract】 Futures market has the economic function of price discovery and hedging. Risk will be transferred, price will be found, information efficiency will be enhanced in the market which the hedgers and speculators participate together. For agricultural products, these functions have particularly significant. However, if the futures markets are deficient in its function, the futures market not only will not be able to play the role of the application, but likely to cause a series of serious consequences of the accumulation of risks, price volatility and market instability.Based on this reason, the paper research the role of agricultural futures markets, functions and efficiency, depth analysis the theoretical basis of the agricultural futures market functions, build a large number of empirical models, research the information efficiency, price discovery and hedging functions in agricultural futures market from the point of the function and efficiency in China’s agricultural futures market. The paper includes seven chapters.The first chapter is agriculture and finance. These are the introductory and summary contents. First, we introduced the characteristics of agricultural development. Second, given finance to have the role to agriculture and its principles. Finally, analyzed the function and theory of futures and derivatives, and given the relationship between agriculture and the futures and derivatives. Then we simply introduced China’s current futures market.Chapter 2 is agricultural products futures market-function and theoretical basis. First, we analyzed price formation mechanism in agricultural products futures market, introduced the formation and evolution of agricultural products futures market, analyzed agricultural products futures price formation process, analyzed agricultural products futures trading motives, Further introduced the types of agricultural products futures and futures trading systems, and analyzed the characteristics of agricultural products futures trading that used behavioral financial theory. Second, we given the theoretical model of agricultural products futures markets, introduced behavior asset pricing model, analyzed the theoretical implications and characteristics of behavior asset pricing models that laid the theoretical basis for empirical research.Chapter 3 is the information validation examination of agricultural products futures market. We verified the effectiveness of price series of china’s agricultural futures markets from the market validity hypothesis. Based on the theoretical framework of random walk, we constructed test methods and statistic of sequences and reversals, runs test, variance ratio test, autocorrelation test, to verify price volatility characteristics of China’s agricultural products futures market. In this chapter, part lis market efficiency theory and definition of related efficiency. Part 2 given efficient market related theory and research method, started from martingale and random walk hypothesis, and overviewed the research results. Part 3 given four test methods including price series sequences and reversals, runs test, variance ratio test, autocorrelation test. Finally, we used a series of methods to test information efficiency of China’s agricultural products futures market. The results of sequences and reverse test and runs test indicate that the futures price series of Dalian Commodity Exchange have not effective market characteristics. However, for statistical tests of log yields series indicate that two markets have the characteristics of random walk, and the market is relatively efficient, but Dalian Commodity Exchange’s market efficiency is lower than the Chicago Futures Exchange’s.Chapter 4 is agricultural products futures market price fluctuations empirical analysis. The research methods include ARMA models, ARCH models, cointegration and error correction models etc. This chapter theoretically analyzed price fluctuations of the agricultural products futures markets, introduced researching empirical methods of price fluctuations of the agricultural products futures markets. And then used these methods to analyze and research price fluctuations state of agricultural products futures markets.GARCH model estimation results indicate that both domestic markets and foreign markets have "market memory" characteristic, the impact duration is longer, the market reaction speed is faster also. However, a different place is that China’s futures market is the surface effective due to be short of participants and futures products, while the foreign market is the actual effective market that based on a large number of participants.Cointegration analysis results indicate that prices log series do not exist obvious long stability relationship between domestic market and foreign market. This phenomenon is due to the lack of price volatility feedback mechanism of domestic market prices to the foreign market. Granger causality test results confirm this conclusion. Foreign market yield series is Granger cause of the domestic market’s. The original assumptions are accepted that domestic market yield series is not Granger cause of the foreign market’s.Chapter 5 is empirical analysis of the price discovery efficiency of agricultural products futures markets. First, we given the theoretical framework of the price discovery function, reviewed the relevant literature, and introduced empirical model of price discovery including GS models, Granger causality test, Chan model, GGS models etc. And then we used empirical model to empirical test and empirically analyzed price discovery efficiency of China’s agricultural futures market.Any kind of model estimation results supports the result that the futures prices lead actuals prices and futures markets play a leading role. At the same time we obtained the conclusions that the actuals prices can not play the role of feedback to the futures price, and futures price volatility does not relate to actuals price volatility.As conclusion, the leading-lag relation of the futures market and actuals market price indicates that both China’s futures market and indicate market have not reached the status of a mature market. So increasing the number of futures market participants, relaxing controls on the futures market, and expanding the scope of data and samples may improve the estimation results.Chapter 6 is empirical analysis of the hedging efficiency of agricultural products futures markets. We given the related theoretical analysis of the hedging, describes the relation between basis and hedging, further analyzed the static and dynamic model of the optimal hedge ratio separately, and given the estimation method of hedging. And then we empirically analyzed hedging efficiency of China’s futures market.Conclusions indicate that hedge ratio would not show the regularity features with the duration increasing. This means that hedging behavior and theoretical analysis does not match in China’s futures market. In fact, their risk would be greater with the period longer, so hedge ratio should be followed up. However, this situation does not appear, the reason only is that the futures market risk is relatively high and the market does not have the characteristics of efficient market.From the comparative analysis of hedging performance can be seen that traditional hedging and the optimal hedge ratio that the GARCH model estimate should be much better than the status of non-hedging, also better than the optimal hedge ratio that the OLS estimate. When does not hedge, the risk is highest, and the risk of the optimal hedge ratio that OLS estimates followed. GARCH model estimating the hedge ratio and the traditional hedge ratio can not be compared. This also demonstrates the price fluctuation in the futures market is highly uncertain from another aspect and investors can not accept the best hedging effect.Chapter 7 summarized and summed up the problem and countermeasure China’s agricultural futures markets. There are these problems mainly because the government-led agricultural futures markets bring a large number of problems, for example, actuals market immature, futures varieties less, the market system imperfect, and so on. These problems hamper the efficiency of agricultural futures markets. agricultural futures markets should be improved by solving the problems of agricultural products and measurably control from government。In the final section of the paper, we give the main conclusion.更多还原