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论文编号：	5503
作者编号：	2120112436
上传时间：	2013/6/9 10:58:27
中文题目：	中国大豆期货市场与美国大豆期货市场价格关系的实证研究
英文题目：	An Empirical Study on The Relationship of Soybean Futures Price’s Relationship in China and US
指导老师：	齐岳
中文关键字：	大豆期货；豆粕期货；价格关系；相关性
英文关键字：	soybean futures; soybean meal futures; price relationship; correlation
中文摘要：	随着全球经济一体化进程稳步推进，大宗商品定价是否越来越高效得到了更多的关注，每个国家都在努力建设更为完善的金融体系，这其中发展中国家的发展空间最大，而且努力程度也最为显著。我国期货市场20年的发展较为坎坷，从最初的理论研究经历了后来的试点实践，现已取得了长足的发展。 某些大宗商品在不同国家同时交易。这样，对价格变动产生影响的信息会同时传递到不同的市场，同时产生市场影响，对大宗商品的价格同时作用。近些年我国政府对期货行业的关注越来越多，期货行业对我国国民经济的贡献也越来越大，相关的现货企业、金融企业、个体投资者均对期货偏爱有加。我国某些期货品种的全球影响力也在提升，尤其是国内大商所豆粕、大商所棕榈油、上期所铜等品种。 大豆作为我国最重要的农作物之一，涉及的行业广泛，主要包括油脂加工业、食品加工业、医药业、保健品业、饲料加工业、畜牧养殖业等，在我国的国民经济中扮演着重要的角色。我国的大豆需求旺盛并持续增长，当国产大豆无法满足国内需求时，我国的大豆进出口格局发生了巨大的变化，于20世纪末从大豆净出口国转变为净进口国，而且国内大豆对外依存度逐年增高。国际大豆价格波动剧烈，且我国进口大豆量持续高速增长，面对不稳定的市场价格，我国大豆产业如何可持续的实现产业国际化和市场化，是个值得思考的命题。 本论文从分析我国大豆期货市场的现状，为透彻分析我国大豆期货价格定价问题打好基础。接着，本文结合国外大豆期货市场的历史研究，分析了国内外豆类期货合约价格的关系。 本文发现大连商品交易所（DCE）的大豆、豆粕期货与美国芝加哥期货交易所（CBOT）大豆期货价格序列之间存在着高度相关性。而且大连豆粕与美豆之间的联系较大连大豆与美豆之间的联系紧密。据此本文提出建议，各方应充分发挥期货市场套期保值的功能，提高中国在国际大豆期货市场中的地位。进一步的研究可以从加强计量研究和扩充研究范围两方面努力。
英文摘要：	As the pace of global economic integration becomes more and more robust, whether commodity pricing is efficient gets more attention. Every country is trying its efforts to build a more sound financial system. Developing countries’ development is the most significant. China’s futures market has developed for 20 years. The development includes the initial theoretical study and practice. The same commodity trades in different countries’ markets at the same time. In this way, information will be passed to the different markets leading to different impact of price changes at the same time. The impact may include those on certain commodities and other financial assets. In recent years our government’s concern for the futures industry is more and more detailed, due to the futures industry and the increasing contribution of our national economy, stock companies, financial companies and individual investors. Some futures’ global influence is rising, including domestic Dalian soybean meal, palm oil, copper and other varieties. Soybean is one of the most important crop in China. The industry included is widely, including oil processing industry, food processing industry, pharmaceutical industry, health care products industry, feed industry, animal husbandry and aquaculture. It plays an important role in our national economy. China's soybean and continued demand growth in domestic soybean can’t meet domestic demand, China's soybean import and export structure has undergone tremendous changes. At the end of the 20th century, China becomes to a net soybean importer from net exporter, dependence on foreign and domestic soybean increased year by year. Due to the international soybean price volatility, and the continued rapid growth of China's soybean imports, the face of volatile market prices, China's soybean industry how to achieve sustainable industrial countries and market, is a proposition worth considering. This thesis starts from the development of China's soybean market, and then analyzes the history and current situation of the development of China's soybean futures market, to lay the foundation for a thorough analysis of China's soybean futures prices pricing. Further, this article will analyze the history and current situation of the international soybean futures market, designed to pave the way for the analysis of domestic and international soybean futures price relationships. It will focus on China's Dalian Commodity Exchange soybean futures contract price and the Chicago Futures Exchange U.S. soybean futures the relevance of the contract price. The study found that there is a high correlation between the Dalian Commodity Exchange (DCE) soybean futures prices and the Chicago Board of Trade (CBOT) soybean futures price series. And the link between the Dalian soybean meal with U.S. soybean is more close. It also made recommendations accordingly including the various efforts to fully play the futures market to hedge and to improve China's position in the international soybean futures market. In this paper, further research can strengthen the metrological research and expansion of the scope of the study.
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