大豆期货基差与流动性关系研究_方晚秋.docx
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1、关于学位论文独创声明和学术诚信承诺本人向河南大学提出硕士学位申请。本人郑重声明:所呈交的学位论文是本 人在导师的指导下独立完成的,对所研究的课题有新的见解。据我所知,除文中 特别加以说明、标注和致谢的地方外,论文中不包括其他人已经发表或撰写过的 研究成果,也不包括其他人为获得任何教育、科研机构的学位或证书而使用过的 材料。与我一同工作的同事对本研究所做的任何贡献均已在论文中作了明确的说 明并表示了谢意。在此本人郑重承诺:所呈交的学位论文不存在舞弊作伪行为,文责自负。学位申请人(学位论文作者)签名:艿I择)炎火211年厶月日关于学位论文著作权使用授权书本人经河南大学审核批准授予硕士学位。作为学位
2、论文的作者,本人完全了解并同意河南大学有关保留、使用学位论文的要求,即河南大学有权向国家图书馆、科研信息机构、数据收集机构和本校图书馆等提供学位论文(纸质文本和电子文本)以供公众检索、查阅。本人授权河南大学出于宣扬、展览学校学术发展和进行学术交流等目的,可以采取影印、缩印、扫描和拷贝等复制手段保存、汇编学位论文(纸质文本和电子文本)。(涉及保密内容的学位论文在解密后适用本授权书)学位获得者(学位论文作者)签名: 方成獻201 ?年,月曰学位论文指导教师签名:2011年备月曰study on correlation between soybean futuresbase difference a
3、nd liquidityA Dissertation Submitted tothe Graduate School of Henan Universityin Partial Fulfillment of the Requirementsfor the Degree ofMaster of EconomicsByFang wanqiuSupervisor: Prof. Cai shengxunJune,2019摘要在世界经济全球化的今天,期货市场日益壮大,但随之而来的就是风险的增加。与 其他市场相比,期货市场的风险也被其独特的杠杆效应放大。我国大豆期货的价格的影 响因素比较多,例如美国大豆期
4、货价格、美元指数以及国内大豆产量和需求等,另外, 因为大豆的期货价格与大豆种植者、消费者、加工商等上下游参与者以及大豆期货市场 参与者的利益也有很强的相关性,所以大豆期货市场的风险度量问题成为了期货市场参 与者、大豆种植者、消费者、加工商以及监管者都很关心的问题。中国是一个大豆消费 大国,因此对国际大豆价格也有一个很深远的影响。所以研究我国大豆期货是有意义的。一直以来,学者们都在探究期货基差与流动性之间是否存在关系。以往研究表明, 短期内交易摩擦的存在和流动性的缺失可能会导致价格偏离。同样如果流动性得到了改 善,价格偏离的情况也能得到改善。在这个范围内,期货价格与现货价格应该趋同。反 过来,基
5、差也可以导致套利交易的发生,这样也会对流动性产生一定程度的影响。但是 在多数的国外研究文献中,股指期货备受青睐,但是对于农产品期货的研究就比较少。 中国作为世界上最大的农业国,农产品的价格也是备受关注。因此本文想通过对大豆期 货基差与流动性之间的相关性关系进行研究,来验证一价定律在我国农产品市场上是否 成立。与金融期货相比,农产品期货与现货基差的影响因素更多,例如储藏成本、运输 成本、气候和战争等,随之而来的摩擦也就更大。另外,金融期货的流动性比较大,而 农产品期货的流动性就比较差,所以在短期内可能会出现偏离或者失效。文章先是对本文要研究的基差和流动性进行了详细介绍,在前人理论基础上归纳总 结
6、,找到了适合我国大豆期货市场的基差和流动性指标。接着将实证部分需要用到的向 量自回归模型、格兰杰检验、脉冲分析、方差分解模型的理论部分进行了细致的阐述, 以便应用在实证过程中。在对基差与流动性关系进行实证过程中,对数据进行描述性统 计、向量自回归模型等一系列分析论证。结果表明,在5%显著性水平下,2017年到期 的六个合约中只有1703合约显示基差是流动性的单向格兰杰因果关系,1711合约流动 性是基差的单向格兰杰因果关系。其余四个合约基差与流动性的交互作用很小。脉冲结 果显示,1701、1705、1707、1709合约的基差与流动性的交互作用比较小,但是1703 合约基差对流动性的冲击比较大
7、,1711合约流动性对基差的冲击比较大,也进一步佐证了前面格兰杰因果检验的结论。方差分解的结果显示流动性对基差的贡献率都比较小, 也就是说各个合约的基差几乎只受自身冲击的影响。相对来说,1711合约流动性对基差 的贡献率最大,即1711合约的流动性变量外生冲击对基差的波动影响程度最大。而基 差对流动性波动的方差分解表明1703合约基差波动对流动性的贡献度最大,1711合约 次之。但是2018年到期的六个合约基差与流动性之间的关系相比2017年更明显一点。 这与前面的格兰杰检验结果和脉冲结果基本吻合,进一步证明商品期货基差与流动性之 间存在一定的关系,但是在本文关系不是特别明显,可能的原因是在短
8、期内基差与流动 性之间的关系存在偏离。本文试图通过实证分析,得到大豆期货基差与流动性之间的关系,对我国期货市场 的运行提出合理的建议。希望通过现货市场和期货市场政策双管齐下使得大豆期货市场 更加成熟。关键词:大豆期货,基差,流动性,Grange因果检验ABSTRACTIn todays world economic globalization, the futures market is growing, but the subsequent increased risk is compared with other markets, the risk of futures market ha
9、s been its unique leverage magnified the influence factors of Chinas soybean futures prices is more, such as the us dollar index of soybean futures prices and domestic soybean production and demand, etc., in addition, because of the soybean futures prices and soybean growers processors, such as the
10、participants of upstream and downstream of the consumers and the interests of the soybean futures market participants also has a strong correlation, so the soybean futures market risk measurement problem became the futures market participants soybean growers toconsumersAsamajorconsumerofsoybeans,Chi
11、na hasasignificantimpactonthe internationalsoybean price。For a long time, scholars in the futures basis of study on the relationship between the liquidity and,most ofscholars agree that in the short term between asset pricesand no-arbitrage price deviation related to tradefriction,andliquidity atthe
12、 same time alsois tosay there wasalink assetpricedeviation can improve liquidity in the market gradually returned to normal level in this range, the futures price and spot price should be convergence, in turn, basis can also lead to arbitrage, and this will be a certain degree of impact on liquidity
13、 However,in most foreign research literatures, stock index futuresare favored, butthere are few studies on agricultural products futures. As the largest agricultural country in the world, the price of agriculturalproducts is also concerned. So this article wants to soybean futuresbasisto study the c
14、orrelation relationship between liquidity and, to verify whether the law of one price in our country agricultural productson the market and financialfutures,compared the influence factors ofagricultural futuresand spot basis more, such as storage cost transportation cost such as climate and war, the
15、 resulting friction is biggeralso, the liquidity of financial futures are big, and agricultural products futures are illiquid, so in the shorttermtheremay bede viationorfailure.This article first has carried on the definition to basis and liquidity, and then the measures were introduced, and the det
16、ail comparison on the liquidity index, finally determined the basis and liquidity index then the empirical part of the need to use the vector autoregressive model, granger test impulse analysis and variance decomposition model theory part has carried on the detailed elaboration, in order to apply in
17、 the empiricalprocess.Empirical process, first hascarried on the descriptive statistics to basis and liquidity sequence,after its stationarity test, through the establishment of vector autoregressive model, using granger causality test methods of impulse response analysis and variance decomposition
18、of soybean futures basis makes an empirical analysis on the relationship between the liquidity and granger causality test shows that under the significance level of5%, 1701,1705,1709contractbasisandthere is no liquidity grangecausality ,namely the basis and the interaction of the flow is very small.
19、But 1703 contract shows that liquidity is the granger cause of basis, and the basis is the granger reason of liquidity 1711 contract basis is the granger cause of liquidity, and liquidity is the basis of granger reason, namely the contract 1703 and 1711 have shown the basis and liquidity analysis sh
20、ow that there is two-way causalrelationship between pulse,1701, 1705, 1707 the interaction between the basis difference of the 1709 contract and liquidity is relatively small, but the impact of the basis difference of the 1703 contract on liquidity is relatively large, and the impact of the liquidit
21、y of the 1711 contract on the basis difference is relatively large, which further supports the conclusion ofthe granger causality test above.The results ofvariance decomposition showthat the liquidity of 1701, 1703, 1705, 1707, 1709 and 1711 contracts contributed 0.034249%, 2.688607%,0. 299683%,0.83
22、2695%, 0.609756%, and 7.726615% to the basis fluctuation, respectively. In general, the liquidity contributed little to the basis fluctuation, that is, the basis difference of each contract was almost1、affected by its own impact.Relatively speaking, 1711 contract basis contributed most of liquidity,
23、 namely1711 contract basis of exogenous variables impact on liquidity of influence degree of the largest and the granger test results are basically consistent and the pulse, further proof that commodity futures basis and there is a certain relationship between the liquidity, but in this relationship
24、 is not particularly evident, possible reason isthatintheshorttermbasisontherelationshipbetweentheliquidityanddeviationexists.This paper attempts to obtain the relationship between the basis difference and liquidity of soybean futures through empirical analysis, and puts forward reasonable Suggestio
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- 大豆 期货 流动 性关系 研究 晚秋
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