鲜活农产品拍卖市场价格波动研究
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摘要
拍卖作为一种常见的价格形成与资源分配机制,能有效降低交易成本和提高交易效率,被广泛地应用于当今农产品、古董、土地、矿产开采权、公司产权等领域的交易。自20世纪80年代时钟降价方式引入到荷兰花卉市场以来,拍卖制在世界各地农产品市场体系建设中发挥着重要作用,正成为我国鲜活农产品流通体系中的重要交易形式之一。同国外相比,我国鲜活农产品拍卖市场的市场环境同国外存在较大区别,由此导致我国鲜活农产品拍卖市场的价格呈较大的波动水平,严重地影响了我国鲜活农产品拍卖市场的运作能力与水平。鉴于我国鲜活农产品拍卖市场普遍效益不佳的现实,系统研究我国鲜活农产品拍卖市场的价格波动的规律与影响因素,具有重要的理论意义和现实意义。
论文主要包括以下三方面的内容：
第一,各交易日间价格波动规律研究。首先,从经典的弹性理论即蛛网模型研究了供给与需求给价格变化带来的影响,从理论上对价格变化进行解释,并分析了选择性给均衡价格带来的影响。其次,基于协整理论和Granger因果分析研究了价格与供给量、成交量和流拍率之间的关系。然后,采用条件异方差模型分析价格序列、供给量序列、成交量序列和流拍率序列的波动聚集性。最后,研究了价格预期对供给的影响和供给预期对价格的影响。考虑到市场总体、品类和具体品种可能存在差异,蛛网模型、协整理论和Granger因果检验、波动聚集性分析和预期的影响分析分别从市场总体、品类和具体产品进行了全面分析。
第二,交易日内价格波动分析。首先,定义了交易日内价格波动分析三个重要指标即价格波动幅度、价格变动率、价格波动幅度变动率,以及价格反常现象和价格的相关性。然后,研究了不同等级、不同供货商、不同品种在价格波动幅度、价格变动率、价格反常现象、价格相关性的联系与区别,并分别从同质产品、异质产品研究了价格波动幅度变动率的规律。最后,对序贯拍卖的价格趋势和波动趋势进行了分析,论文假设了九类供需情景,研究了价格、波动与序数的关系,并分析异质产品对价格趋势和波动趋势的影响。
第三,从拍卖理论角度对价格波动进行了解释。论文基于我国鲜活农产品的实情,首先研究了不同佣金设置方式对期望成交价格的影响,并提出佣金比例设置策略。其次,研究了不同佣金方式下的最优保留价、卖方期望收益和投标者报价,并讨论了卖方估价与流拍处理机制问题。其次,研究了风险态度的影响,包括卖方风险厌恶对其质量检验、保留价设置的影响,买方风险厌恶对投标者报价的影响。最后,讨论了序贯拍卖的价格序列趋势,以及替代性或互补性对投标者报价的影响。
论文研究全部基于企业的实际交易数据进行研究,得到以下主要结论：
第一,论文提出的基于选择性的扩展蛛网模型使求解的均衡价格更符合实际,并能解释供货商和购买商的选择行为。实例的协整和Granger因果检验结果表明,价格与供货量具有长期的均衡关系,供货量是成交均价的内生变量。实例的收益率、供应量、成交量、流拍率等序列存在明显的ARCH效应,供货量、成交量负面效应大于正面效应,而流拍率主要呈现正面的杠杆效应。预期的影响模型证实了论文的基本假设,即购买商的供货预期对价格有负向影响,供货商的价格预期对供货量有正向影响。
第二,价格波动幅度、价格变动率、价格波动幅度变动率、价格反常现象和价格相关性等不仅能有效刻画不同等级、不同供货商、不同品种之间价格变化的联系与区别,并可作为供货商评价的重要指标。品种品质、供货商品牌和产品质量是我国鲜活农产品拍卖市场交易日内价格波动最重要的三个影响因素。序贯拍卖的价格变化不仅受供给与需求均衡的影响,还与拍卖顺序、供应数量、拍卖是否连续有关,由于组货方面的原因,异质产品的加入也将影响序贯拍卖的价格波动。
第三,较小的卖方佣金比率需更大的买方佣金比率才能取得同等的效果,拍卖市场应根据买方、卖方群体的有效划分设置差异化的佣金比率,拍后Supermarket在提高卖方收益的同时降低了对卖方的约束力,拍卖市场应将买方纳入其质量体系的制定,卖方在产品定级上的投机行为不能提高其期望收益。佣金策略和保留价机制可用于调整参与者风险态度。导致价格反常现象的原因有很多种,产品的互补性会使投标者报价上升,替代性会使投标者报价下降。更大的供应量与更多的买方人数的有效匹配能降低序贯拍卖的价格波动,拍卖市场应采取有效策略提高供应、增加买方人数。
论文的创新之处在于：
第一：以实际交易数据为依据,从弹性理论、协整理论和Granger因果关系、条件异方差模型的角度深入分析了我国鲜活农产品拍卖市场的价格波动现象,将预期与风险态度相关联,并将之作为风险态度对价格形成影响分析的前提。
第二：定义了交易日内价格波动的三个重要绩效指标：价格波动幅度、价格变动率和价格波动幅度变动率,定义了价格反常现象,勾勒了交易日内价格波动的分析框架,分析了不同情景下序贯拍卖的价格波动现象,并将之作为序贯拍卖价格形成分析的前提。
第三：以中国鲜活农产品的实际背景为参考,研究佣金的影响、保留价的影响、风险态度的影响,以及序贯拍卖中价格形成和替代性、互补性对价格波动的影响,并据此给出佣金比例设置、场外市场定价、流拍处理、质量检验等的相关对策和建议,对我国鲜活农产品拍卖市场相关机制的设计具有指导意义。
Auction, as a common mechanism of price discovery and resource allocation, can reduce the transaction costs and improve the transaction efficiency effectively. Now, auction is widely used in trades of agricultural products, antique, land, the rights of mineral exploitation, company equity and so on. Since the clock auction of descending price was introduced into Dutch flower market in1980s, auction have played an important role in developing the agricultural circulation circulation in the world, and is becoming one of the important deal modes in fresh agricultural circulation system in China. Compared with the environment of fresh agricultural auction markets abroad, it is so different in China that there is a great fluctuation in the deal price of agricultural products. Because of the price fluctuation, the operational capability of fresh agricultural market is seriously affected. Considering the reality of the bad financial position in Chinese auction markets, studying the regulations of price fluctuation and its influencing factors has great significance in theory and practice.
This paper includes the following three parts:
(1) The regulations of price fluctuations among trading days. First, this paper studies the impacts of supply and demand on price changes using a classical theory of elasticity called cobweb model. The study explains price changes in theory and analyzes impacts of participants'choices on price changes. Then, based on the cointegration and Granger causality tests, the relationships between price and supply, volume or unsold rate are analyzed. After that, it analyzes the price series, supply series, volume series and unsold rate series by constructing conditional heteroskedasticity model. Finally, after excluding the factors mentioned above, we study the impacts of price expectation on supply fluctuations and the impacts of supply expectation on price fluctuations separately. Taking into account the differences among overall market, category and specific products, we gives a comprehensive analysis in overall market, category and specific products using cobweb model, cointegration and Granger causality tests, conditional heteroskedasticity model and the influence model of expectation separately.
(2) The regulations of price fluctuations in a trading day. Firstly, we defined and analyzed three important indicators, prices'anomaly and correlation of price. The three important indicators refer to the fluctuation range of price, the change rate of price fluctuation and the change rate of price fluctuation range. Then, the differences and relationships are showed among different grades, different suppliers and different products in price fluctuation range, the change rate of price fluctuation and the change rate of price fluctuation range. Besides, the regulations of the change rate of price fluctuation range are also studied from the perspectives of homogeneous and heterogeneous products. At last, this paper analyzes the trends of the price and the volatility in sequential auction. It assumes nine categories of supply and demand scenarios to study the relationships between price, volatility and ordinal, and analyzes the heterogeneous products'impacts on the trends of the price and the volatility.
(3) The interpretations of price fluctuation from the perspective of auction theory. Based on the facts of fresh agricultural products in China, the paper studies the effects of different commission strategies on the deal price. Then some modes of setting commission rate are given. Secondly, it discusses the setting of optimal reservation price under different commission strategies, and focuses on the problems of the sellers' valuation and unsold handling mechanisms. Moreover, the risk attitudes of participants are also discussed, including the effects on the bidders'quoted price under the risk-aversion buyers, the quality inspection and the reservation price under the risk-aversion sellers. Finally, the paper discusses the price trends of Holland's sequential auction, and the impacts of the characteristics of substitutions or co-supplement of goods on the bidders'quoted price.
All the studies are based on the actual deal data from a real auction market, and the conclusions are as the followings:
(1) The extended cobweb model based on the characteristic of choices can not only make the balance price fitting on practice more, but explain the choosing behavior of participants. The results of case of cointegration and Granger causality tests shows that, the price and supply have long-term co-integration relationship, supply is an endogenous variable of price. There exists obvious ARCH effect among the series of yield rate, supply, trading volume and unsold rate. The negative effect of supply and trading volume is bigger than positive effect, and unsold rate is mainly characterized by a positive leverage effect. The influence model of expectation proves the basic hypothesis of the paper, that is, the supply expectation of the buyers has negative effect to price, and the price expectation of the suppliers has positive effect to supply.
(2) Price fluctuation range, the change rate in price fluctuation, the change rate in price fluctuation range, the anomaly in price and the correlation of price can not only effectively portray the difference and relations of the changes in price between different grades, different suppliers and different products, but regard as the important indexes of suppliers evaluation. The character of products, the brand of suppliers, and the quality of products are three more important factors of the price fluctuation in a trading day. The variable prices in sequential auction are not only related to the impacts of supply and demand, but also to the order of auction, supply, and whether the auction is continuous. Besides, due to the packaging products, heterogeneous products will also affect the price volatility in sequential price.
(3) The low commission rate of sellers needs a high commission rate of buyers to gain the same effect. Auction market should set a different commission rate according to the effective division of groups of sellers and buyers. Supermarket can increase the sellers'profit, but reduce the constraint force of the sellers at the same time. The auction market should bring the buyer into its quality evaluation system. The speculative behaviors of the sellers can't increase its expected profit. It can use commission strategies and the reservation price mechanisms to decrease the risk attitude of participants. There exist many reasons to "price abnormally". The characteristics of substitutions of goods leads the bidders'quoted price to decline, but the characteristics of co-supplement of goods make the bidders'quoted price to increase. The effective matching of more supplies and more buyers can reduce the price fluctuation in sequential auction. The auction market needs to use effective strategies to increase supplies and the number of buyers.
The followings are the innovations of this paper:
(1) Based on the actual transaction data, this paper deeply analyzes the price fluctuation phenomenon of fresh agricultural market in China from the perspective of elastic theory, co-integration theory and Granger causal relationship, conditional heteroskedasticity model. Then it gives some hypothesis and proves them.
(2) The definitions of three important performance indexes of price fluctuation in a trading day are given:the range of price fluctuation, the change rate of price fluctuation and the change rate of price fluctuation range. This paper also defines the phenomenon of price anomaly, describes the analysis framework of price fluctuation in a trading day, and analyzes the price fluctuation phenomenon in sequential auction with different situation.
(3) Reference to the actual background of Chinese fresh agricultural products, we research on the effects of commission, reserve price, risk attitudes, changes of risk, alternative and complementarities in sequential auction. According to these above, we give the relevant strategies and suggestions in allusion to setting of commission rate, market pricing outside, auction failure managing, quality testing and "shill bidding" defending. These strategies and suggestions can guide the mechanism design of fresh agricultural products market in China.
论文主要包括以下三方面的内容：
第一,各交易日间价格波动规律研究。首先,从经典的弹性理论即蛛网模型研究了供给与需求给价格变化带来的影响,从理论上对价格变化进行解释,并分析了选择性给均衡价格带来的影响。其次,基于协整理论和Granger因果分析研究了价格与供给量、成交量和流拍率之间的关系。然后,采用条件异方差模型分析价格序列、供给量序列、成交量序列和流拍率序列的波动聚集性。最后,研究了价格预期对供给的影响和供给预期对价格的影响。考虑到市场总体、品类和具体品种可能存在差异,蛛网模型、协整理论和Granger因果检验、波动聚集性分析和预期的影响分析分别从市场总体、品类和具体产品进行了全面分析。
第二,交易日内价格波动分析。首先,定义了交易日内价格波动分析三个重要指标即价格波动幅度、价格变动率、价格波动幅度变动率,以及价格反常现象和价格的相关性。然后,研究了不同等级、不同供货商、不同品种在价格波动幅度、价格变动率、价格反常现象、价格相关性的联系与区别,并分别从同质产品、异质产品研究了价格波动幅度变动率的规律。最后,对序贯拍卖的价格趋势和波动趋势进行了分析,论文假设了九类供需情景,研究了价格、波动与序数的关系,并分析异质产品对价格趋势和波动趋势的影响。
第三,从拍卖理论角度对价格波动进行了解释。论文基于我国鲜活农产品的实情,首先研究了不同佣金设置方式对期望成交价格的影响,并提出佣金比例设置策略。其次,研究了不同佣金方式下的最优保留价、卖方期望收益和投标者报价,并讨论了卖方估价与流拍处理机制问题。其次,研究了风险态度的影响,包括卖方风险厌恶对其质量检验、保留价设置的影响,买方风险厌恶对投标者报价的影响。最后,讨论了序贯拍卖的价格序列趋势,以及替代性或互补性对投标者报价的影响。
论文研究全部基于企业的实际交易数据进行研究,得到以下主要结论：
第一,论文提出的基于选择性的扩展蛛网模型使求解的均衡价格更符合实际,并能解释供货商和购买商的选择行为。实例的协整和Granger因果检验结果表明,价格与供货量具有长期的均衡关系,供货量是成交均价的内生变量。实例的收益率、供应量、成交量、流拍率等序列存在明显的ARCH效应,供货量、成交量负面效应大于正面效应,而流拍率主要呈现正面的杠杆效应。预期的影响模型证实了论文的基本假设,即购买商的供货预期对价格有负向影响,供货商的价格预期对供货量有正向影响。
第二,价格波动幅度、价格变动率、价格波动幅度变动率、价格反常现象和价格相关性等不仅能有效刻画不同等级、不同供货商、不同品种之间价格变化的联系与区别,并可作为供货商评价的重要指标。品种品质、供货商品牌和产品质量是我国鲜活农产品拍卖市场交易日内价格波动最重要的三个影响因素。序贯拍卖的价格变化不仅受供给与需求均衡的影响,还与拍卖顺序、供应数量、拍卖是否连续有关,由于组货方面的原因,异质产品的加入也将影响序贯拍卖的价格波动。
第三,较小的卖方佣金比率需更大的买方佣金比率才能取得同等的效果,拍卖市场应根据买方、卖方群体的有效划分设置差异化的佣金比率,拍后Supermarket在提高卖方收益的同时降低了对卖方的约束力,拍卖市场应将买方纳入其质量体系的制定,卖方在产品定级上的投机行为不能提高其期望收益。佣金策略和保留价机制可用于调整参与者风险态度。导致价格反常现象的原因有很多种,产品的互补性会使投标者报价上升,替代性会使投标者报价下降。更大的供应量与更多的买方人数的有效匹配能降低序贯拍卖的价格波动,拍卖市场应采取有效策略提高供应、增加买方人数。
论文的创新之处在于：
第一：以实际交易数据为依据,从弹性理论、协整理论和Granger因果关系、条件异方差模型的角度深入分析了我国鲜活农产品拍卖市场的价格波动现象,将预期与风险态度相关联,并将之作为风险态度对价格形成影响分析的前提。
第二：定义了交易日内价格波动的三个重要绩效指标：价格波动幅度、价格变动率和价格波动幅度变动率,定义了价格反常现象,勾勒了交易日内价格波动的分析框架,分析了不同情景下序贯拍卖的价格波动现象,并将之作为序贯拍卖价格形成分析的前提。
第三：以中国鲜活农产品的实际背景为参考,研究佣金的影响、保留价的影响、风险态度的影响,以及序贯拍卖中价格形成和替代性、互补性对价格波动的影响,并据此给出佣金比例设置、场外市场定价、流拍处理、质量检验等的相关对策和建议,对我国鲜活农产品拍卖市场相关机制的设计具有指导意义。
Auction, as a common mechanism of price discovery and resource allocation, can reduce the transaction costs and improve the transaction efficiency effectively. Now, auction is widely used in trades of agricultural products, antique, land, the rights of mineral exploitation, company equity and so on. Since the clock auction of descending price was introduced into Dutch flower market in1980s, auction have played an important role in developing the agricultural circulation circulation in the world, and is becoming one of the important deal modes in fresh agricultural circulation system in China. Compared with the environment of fresh agricultural auction markets abroad, it is so different in China that there is a great fluctuation in the deal price of agricultural products. Because of the price fluctuation, the operational capability of fresh agricultural market is seriously affected. Considering the reality of the bad financial position in Chinese auction markets, studying the regulations of price fluctuation and its influencing factors has great significance in theory and practice.
This paper includes the following three parts:
(1) The regulations of price fluctuations among trading days. First, this paper studies the impacts of supply and demand on price changes using a classical theory of elasticity called cobweb model. The study explains price changes in theory and analyzes impacts of participants'choices on price changes. Then, based on the cointegration and Granger causality tests, the relationships between price and supply, volume or unsold rate are analyzed. After that, it analyzes the price series, supply series, volume series and unsold rate series by constructing conditional heteroskedasticity model. Finally, after excluding the factors mentioned above, we study the impacts of price expectation on supply fluctuations and the impacts of supply expectation on price fluctuations separately. Taking into account the differences among overall market, category and specific products, we gives a comprehensive analysis in overall market, category and specific products using cobweb model, cointegration and Granger causality tests, conditional heteroskedasticity model and the influence model of expectation separately.
(2) The regulations of price fluctuations in a trading day. Firstly, we defined and analyzed three important indicators, prices'anomaly and correlation of price. The three important indicators refer to the fluctuation range of price, the change rate of price fluctuation and the change rate of price fluctuation range. Then, the differences and relationships are showed among different grades, different suppliers and different products in price fluctuation range, the change rate of price fluctuation and the change rate of price fluctuation range. Besides, the regulations of the change rate of price fluctuation range are also studied from the perspectives of homogeneous and heterogeneous products. At last, this paper analyzes the trends of the price and the volatility in sequential auction. It assumes nine categories of supply and demand scenarios to study the relationships between price, volatility and ordinal, and analyzes the heterogeneous products'impacts on the trends of the price and the volatility.
(3) The interpretations of price fluctuation from the perspective of auction theory. Based on the facts of fresh agricultural products in China, the paper studies the effects of different commission strategies on the deal price. Then some modes of setting commission rate are given. Secondly, it discusses the setting of optimal reservation price under different commission strategies, and focuses on the problems of the sellers' valuation and unsold handling mechanisms. Moreover, the risk attitudes of participants are also discussed, including the effects on the bidders'quoted price under the risk-aversion buyers, the quality inspection and the reservation price under the risk-aversion sellers. Finally, the paper discusses the price trends of Holland's sequential auction, and the impacts of the characteristics of substitutions or co-supplement of goods on the bidders'quoted price.
All the studies are based on the actual deal data from a real auction market, and the conclusions are as the followings:
(1) The extended cobweb model based on the characteristic of choices can not only make the balance price fitting on practice more, but explain the choosing behavior of participants. The results of case of cointegration and Granger causality tests shows that, the price and supply have long-term co-integration relationship, supply is an endogenous variable of price. There exists obvious ARCH effect among the series of yield rate, supply, trading volume and unsold rate. The negative effect of supply and trading volume is bigger than positive effect, and unsold rate is mainly characterized by a positive leverage effect. The influence model of expectation proves the basic hypothesis of the paper, that is, the supply expectation of the buyers has negative effect to price, and the price expectation of the suppliers has positive effect to supply.
(2) Price fluctuation range, the change rate in price fluctuation, the change rate in price fluctuation range, the anomaly in price and the correlation of price can not only effectively portray the difference and relations of the changes in price between different grades, different suppliers and different products, but regard as the important indexes of suppliers evaluation. The character of products, the brand of suppliers, and the quality of products are three more important factors of the price fluctuation in a trading day. The variable prices in sequential auction are not only related to the impacts of supply and demand, but also to the order of auction, supply, and whether the auction is continuous. Besides, due to the packaging products, heterogeneous products will also affect the price volatility in sequential price.
(3) The low commission rate of sellers needs a high commission rate of buyers to gain the same effect. Auction market should set a different commission rate according to the effective division of groups of sellers and buyers. Supermarket can increase the sellers'profit, but reduce the constraint force of the sellers at the same time. The auction market should bring the buyer into its quality evaluation system. The speculative behaviors of the sellers can't increase its expected profit. It can use commission strategies and the reservation price mechanisms to decrease the risk attitude of participants. There exist many reasons to "price abnormally". The characteristics of substitutions of goods leads the bidders'quoted price to decline, but the characteristics of co-supplement of goods make the bidders'quoted price to increase. The effective matching of more supplies and more buyers can reduce the price fluctuation in sequential auction. The auction market needs to use effective strategies to increase supplies and the number of buyers.
The followings are the innovations of this paper:
(1) Based on the actual transaction data, this paper deeply analyzes the price fluctuation phenomenon of fresh agricultural market in China from the perspective of elastic theory, co-integration theory and Granger causal relationship, conditional heteroskedasticity model. Then it gives some hypothesis and proves them.
(2) The definitions of three important performance indexes of price fluctuation in a trading day are given:the range of price fluctuation, the change rate of price fluctuation and the change rate of price fluctuation range. This paper also defines the phenomenon of price anomaly, describes the analysis framework of price fluctuation in a trading day, and analyzes the price fluctuation phenomenon in sequential auction with different situation.
(3) Reference to the actual background of Chinese fresh agricultural products, we research on the effects of commission, reserve price, risk attitudes, changes of risk, alternative and complementarities in sequential auction. According to these above, we give the relevant strategies and suggestions in allusion to setting of commission rate, market pricing outside, auction failure managing, quality testing and "shill bidding" defending. These strategies and suggestions can guide the mechanism design of fresh agricultural products market in China.
引文
1《中华人民共和国农产品质量安全法》,2009年
2为描述的需要,论文中品种有时也被称为产品。
5茆诗松、程依明、濮晓龙,《概率论与数理统计教程》,高等教育出版社,2004：259-261
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