后临储时代玉米期货市场价格发现功能
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摘要
后临储时代的玉米市场特征可概括为市场定价、政府调控,先去库存、后求平衡和内外一体、抵住进口。在此大背景下,玉米期现市场总体相关度较低,期现动态相关系数以负相关为主;引导关系以期货单向引导现货为主,期现融合度不高。同时,期货市场价格发现功能尚未很好发挥,期现价格均值均不是交割日现货价格,而且期现价格均值也不相同;偏离度方面期货也总体高于现货,基差风险高于期现价格风险,但期现价格随交割期的临近均呈现向交割日现货价格收拢的态势。据此提出鼓励产业客户参与、规范发展现货市场和加大期货市场监管力度,以密切期现价格关系。
The corn market in the post-temporary storage era can be summarized as market pricing and government regulation,firstly cutting inventory then achieving balance, integration internal external and offset import. In this big background, the correlation of corn future and spot price is low in the post-temporary times, the dynamic correlation of future and spot price is negative; the guidance relationship is mainly spot price one-way guided by future price, the integration of future and spot market is not high. At the same time,the mean of future and spot price both are not the spot price of delivery date, the mean of future and spot price are not the same; the deviation of future price is higher than the spot, the basis risk is also higher than future and spot price, however, the future and spot price are both close to the spot price of delivery date. so, to this end, the article propose to encourage participation of industrial customers,standardized the spot market and strengthen the supervision of futures market in order to close the relation of future and spot price.
The corn market in the post-temporary storage era can be summarized as market pricing and government regulation,firstly cutting inventory then achieving balance, integration internal external and offset import. In this big background, the correlation of corn future and spot price is low in the post-temporary times, the dynamic correlation of future and spot price is negative; the guidance relationship is mainly spot price one-way guided by future price, the integration of future and spot market is not high. At the same time,the mean of future and spot price both are not the spot price of delivery date, the mean of future and spot price are not the same; the deviation of future price is higher than the spot, the basis risk is also higher than future and spot price, however, the future and spot price are both close to the spot price of delivery date. so, to this end, the article propose to encourage participation of industrial customers,standardized the spot market and strengthen the supervision of futures market in order to close the relation of future and spot price.
引文
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[11]单磊.期货的经济属性与经济功能——基于现代金融理论的视角[J].中国流通经济,2015,(3):108-113.
[12]程琳.从期货市场反观我国粮食政策的扭曲效应——基于结构突变的视角[J].学习与探索,2016,(3):47-51.
[13]荆林波.对套期保值者的理论分析[J].财贸经济,1999,(6):45-48.
[14]So R,Tse Y.Price Discovery in He Hangseng Index Markets:Index Futures and the Tracker Fund[J].Journal of Futures Market,2004,(9):887-907.
[15]阎云仙.中国玉米期货市场价格发现功能的实证分析——基于有向无环图的应用[J].中国农村经济,2010,(7):36-46.
[16]黄建新,周启清.中美玉米期货市场对现货市场价格影响的实证分析[J].宏观经济研究,2014,(7):136-143.
[2]安毅,常清.期货投资基金与期货市场发展探讨[J].证券市场导报,2011,(10):50-55.
[3]Peck,A.E.Futures Market,Supply Response,and Price Stability[J].The Quarterly Journal of Economics,1976,(3):407-423.
[4]Turnovsky,S.J.The Determination of Spot and Futures Price with Storable Commodities[J].Econometrica,1983,(5):1363-1387.
[5]庞贞燕,刘磊.期货市场能够稳定农产品价格波动吗——基于离散小波变换和GARCH模型的实证研究[J].金融研究,2013,(11):126-139.
[6]王燕青,姚灵,简林强,武拉平.临时收储政策及其改革对农产品期货市场的影响[J].农业现代化研究,2017,(1):81-88.
[7]查婷俊,徐建玲.大豆期货市场有效性的多维度分析[J].华南农业大学学报(社会科学版),2016,(3):88-102.
[8]吕东辉,杨印生,王旭.农产品期货价格形成机理研究[J].农业技术经济,2005,(2):19-23.
[9]王健,黄祖辉.我国大豆期货市场价格发现功能的实证研究[J].农业技术经济,2006,(3):42-46.
[10]陈标金,谭莹.中国农产品期货市场有限套利的证据[J].华南农业大学学报(社会科学版),2016,(3):103-111.
[11]单磊.期货的经济属性与经济功能——基于现代金融理论的视角[J].中国流通经济,2015,(3):108-113.
[12]程琳.从期货市场反观我国粮食政策的扭曲效应——基于结构突变的视角[J].学习与探索,2016,(3):47-51.
[13]荆林波.对套期保值者的理论分析[J].财贸经济,1999,(6):45-48.
[14]So R,Tse Y.Price Discovery in He Hangseng Index Markets:Index Futures and the Tracker Fund[J].Journal of Futures Market,2004,(9):887-907.
[15]阎云仙.中国玉米期货市场价格发现功能的实证分析——基于有向无环图的应用[J].中国农村经济,2010,(7):36-46.
[16]黄建新,周启清.中美玉米期货市场对现货市场价格影响的实证分析[J].宏观经济研究,2014,(7):136-143.