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论文编号：	10169
作者编号：	2120162758
上传时间：	2018/6/11 10:12:08
中文题目：	中国玉米期货市场定价效率及中美市场间联动效应研究
英文题目：	Empirical Research on the Pricing Efficiency of Domestic Corn Futures Markets and Their Comovement with American Futures Markets
指导老师：	王永进
中文关键字：	玉米期货市场，定价效率，价格发现功能，联动性
英文关键字：	corn futures market, pricing efficiency, price discovery function, comovement
中文摘要：	在粮食、饲料和深加工领域，玉米的产值最高，需求量和使用量最大，在农作物市场上的流传时间长，在国际农产品期货市场上也彰显出了极强的活跃性。因此，本文选取玉米期货作为研究对象。当期货市场发展到一个较高水平的时候，农产品的价格走向就能够得到精准的预估，农业生产活动的规划和实施也能从中寻找到可靠的向导，这对农业生产资源的优化配置和农业生产经营安全性的提升，都是非常有利的。同时我们能够评判中国期货市场对国际农产品价格的影响情况，有利于中国在世界农产品定价活动中占据主动权，为中国的粮食安全和经济安全提供了坚实的保障。 在理论部分，本文首先整理了国内外学者对于期货市场定价效率及金融市场间联动性的相关研究，阐述了期货市场定价效率和金融市场间联动性的理论基础，并对中美玉米期货市场概况进行了回顾。 在实证部分，本文首先选取了2010年1月至2017年12月区间，以大连商交所历年来的玉米期货的周交易价格信息和国内粮油价格体系内的周玉米现货交易价格为依据，在Johansen协整检验，平稳性检验和Granger因果检验的支撑下，借用方差分解和脉冲响应函数，对国内玉米期货价格在现货市场中受到的动态影响进行探究。接着，本文选取了同区间美国CBOT玉米期货的每日收盘价数据作为研究对象，应用双变量EC-SVAR模型、脉冲响应函数以及方差分解，对中美玉米期货市场之间的联动效应进行实证分析。本文的主要结论如下：（1）中国玉米期货市场对玉米现货市场的影响要远大于玉米现货市场对玉米期货市场的影响，玉米期货市场的价格发现功能更强；（2）玉米现货价格对玉米期货价格具有预测作用，但由于受到管制，导致其对玉米期货价格的引导作用不明显；（3）芝加哥玉米期货市场与大连商品交易所当期之间存在相互影响，且芝加哥市场当期对大连市场的影响大于大连市场当期对芝加哥市场的影响；（4）芝加哥市场相对大连市场能更快速地吸收新信息，信息主要从芝加哥市场传递至大连市场，即芝加哥玉米期现货市场的效率高于大连商品交易所的效率。
英文摘要：	As an agricultural country, the agricultural development of China has a bearing on the people’s livelihood of the entire country. As an important food crop, feed raw material, and deep processing raw material for economic development, corn is the agricultural product with the largest production volume, the largest consumption, and the longest time-to-market. It is also a relatively active agricultural futures variety in the world. Therefore, this paper selects corn futures as the research object. The mature futures market can form effective expectations for the future price of agricultural products, thus guiding the production arrangements of agricultural producers, and can reduce the risk of agricultural production and management and promote the effective allocation of production resources through hedging. At the same time, exploring the linkage between China's agricultural product futures market and the international futures market can clearly reflect the influence of China’s futures market in the process of international price formation, and seek ways to improve the international pricing power of China’s staple agricultural products from the perspective of improving the futures market. It is of great significance to reduce the outflow of national wealth and safeguard China's food security and economic security. In the theoretical research part, this article first collated domestic and foreign scholars on the futures market pricing efficiency and the correlation between the financial market linkage study, expounded the futures market pricing efficiency and the theoretical basis of the linkage between the financial markets, and the China-US corn futures market. The development was reviewed and the current status of the two operations was analyzed. In the empirical research part, this paper firstly selects the weekly closing price of corn futures main contract in the historical trading data of Dalian Commodity Exchange from January 2010 to December 2017, and the weekly average corn spot in the national grain and oil price monitoring system. Through the stationarity test, Johansen cointegration test, Granger causality test, impulse response function and variance decomposition, this paper makes an empirical analysis of the dynamic impact of corn spot market on corn futures prices in China. Then, this paper selects the daily closing price data of the US CBOT corn futures in the same interval as the research object, and applies the bivariate EC-SVAR model, impulse response function and variance decomposition to empirically analyze the linkage effect between the Chinese and US corn futures markets. The main conclusions of this paper are as follows: (1) China's corn spot market has a price discovery function. The impact of the corn futures market on corn spot is much greater than that of the corn spot market on the corn futures market. The price discovery function of the corn futures market is stronger; (2) The spot price of corn has a predictive effect on the price of corn futures, but due to the regulation, the guiding effect on the price of corn futures is not obvious; (3) There was mutual influence between the Chicago corn futures market and the Dalian Commodity Exchange during the current period, and the Chicago market's current impact on the Dalian market was greater than the current Dalian market's impact on the Chicago market; (4) The Chicago market can absorb new information more quickly than the Dalian market. The information is mainly transmitted from the Chicago market to the Dalian market, that is, the efficiency of the Chicago corn spot market is higher than that of the Dalian Commodity Exchange.
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