摘要
市场信息溢出效应（Market Information Spillover Effects）是指市场的信息具有溢出效应，从而影响相关市场价格。市场信息溢出效应体现了虚拟经济之间、虚拟经济与实体经济之间、实体经济之间的关系。而市场信息溢出效应又受市场微观结构的影响。研究农产品期货市场微观结构和市场信息溢出效应对于完善农产品期货市场相关制度，发挥价格发现和风险规避功能，维护金融市场安全，争取农产品定价权，具有重要理论和现实意义。本文在研究市场微观结构对信息溢出效应的影响的基础之上，研究了中国玉米期货市场微观结构和中国玉米期货市场与相关市场的信息溢出效应，具体包括中国玉米期货市场与美国玉米期货市场信息溢出效应，中国玉米期货市场与中国玉米现货市场信溢出效应以及中国玉米期货市场与美国玉米现货市场信息溢出效应。
市场信息溢出效应是市场特别是金融市场一个重要现象，反映了市场对信息处理和市场在价格形成过程中的效率。市场微观结构决定了市场的微观结构特征，市场微观结构特征又决定了市场信息溢出效应，这是本文的基本观点之一。本文首先从市场微观结构理论角度对市场信息溢出效应进行了研究，将市场信息分为公有信息和私有信息，研究了市场信息影响农产品期货价格的方式与路径，特别是采用贝叶斯学习模型分析了私有信息传播的方式和路径，并提出了影响市场信息溢出效应的市场微观结构特征，即市场间的相关程度、市场的透明性、流动性和交易费用，并进一步采用博弈论的分析方法构造一个两阶段的不完全信息动态博弈模型对市场微观结构特征在市场信息溢出过程中的作用进行了研究。说明市场微观结构特征对信息溢出效应的影响。
本文对中国玉米期货市场的微观结构进行了研究。根据制度经济学的观点，交易者交易行为是市场制度的产物。本文重点考察中国玉米期货市场相关制度对市场微观结构特征的影响。包括交易制度的指令驱动交易机制和报价驱动交易机制、信息披露制度的公开信息披露制度、大户报告制度、风险预警制度以及风险管理制度的涨跌停板制度、限仓制度、强行平仓制度和保证金制度对中国玉米期货市场微观结构特征的影响。
本文对中国玉米期货市场与相关市场，即美国玉米期货市场、中国玉米现货市场和美国玉米现货市场信息溢出效应采用计量经济学时间序列的建模方法进行了研究。具体采用了Janhenson协整检验，Granger因果关系检验研究了中国玉米期货与美国玉米期货价格、绝对收益和收益率的信息溢出效应、中国玉米期货与中国玉米现货价格、绝对收益和收益率的信息溢出效应以及中国玉米期货与美国玉米现货价格、绝对收益和收益率的信息溢出效应。研究中国玉米期货市场与美国玉米期货市场间的信息溢出效应，可以比较我国农产品期货市场与平行市场的信息处理和价格发现的效率；研究中国玉米期货市场与中国玉米现货市场的信息溢出效应可以考察中国农产品期货市场在国内大宗农产品现货价格形成过程中的价格发现功能的发挥有效性；研究中国玉米期货市场与美国玉米现货市场信息溢出效应可以发现我国农产品期货市场在国际大宗农产品现货价格形成过程中的作用。
在对中国玉米期货市场与美国玉米期货市场信息溢出效应研究过程中，发现中国玉米期货市场与美国玉米期货市场的价格、绝对收益和收益率具有长期的均衡关系，美国玉米期货绝对收益、收益率分别是中国玉米期货绝对收益、收益率Granger原因。说明美国期货市场的信息处理效率要大于中国期货市场。在对中国玉米期货市场与中国玉米现货市场信息溢出效应的研究过程中，发现中国玉米期货市场与中国玉米现货市场价格、绝对收益和收益率之间具有长期均衡关系，中国玉米期货绝对收益、收益率是中国玉米现货绝对收益、收益率的Granger原因，说明了中国农产品期货市场在国内大宗农产品现货价格实现过程中实现了价格发现的功能。在对中国玉米期货市场与美国玉米现货市场信息溢出效应的实证研究过程中，发现中国玉米期货市场与美国玉米现货市场的价格、绝对收益和收益率具有长期均衡关系，但是在因果关系检验过程中，没有发现中国玉米期货绝对收益、收益率与美国玉米现货绝对收益、收益率之间明显的因果关系，说明我国农产品期货市场在国际大宗农产品现货价格发现过程中作用有待于提高。本文进一步从市场微观结构方面的差异及的角度分析了我国农产品期货市场与相关市场信息溢出效应的成因。
Market Information Spillover Effect is that the market information has Spillover effectwhich will influence relating market prices. Market information spillover effect reflects therelationship of the virtual economy and the virtual economy, the virtual economy and theentity economy, the entity economy and the entity economy. The market informationspillover effects are influenced by microscopic structure. Researching of the agriculturalfutures market microstructure and market information spillover effects are of theoretical andpractical significance for perfecting agricultural futures market regulations and improving theprice discovery and risk aversion function of the agricultural futures market and safeguardingthe financial market safety and fighting for the agricultural products pricing power.Based onthe study of influence of market microstructure on the information spillover effect, the thesisstudies the China's corn futures market microstructure and the market information effectsbetween the China's corn futures market relevant markets that including China's corn futuresmarket and U.S. corn futures market information spillover effect, China's corn futures marketand China's corn spot market information spillover effect and China's corn futures marketspillover effect and China's corn futures market and the U.S. corn futures market informationspillover effect.
Market information spillover effects are the important phenomena of the marketespecially the financial market which reflect the efficiency of information processing and theprice forming of market. Market microstructures decide the market microstructurecharacteristics and market microstructure characteristics affect market information spillovereffects. This is a basic viewpoint of the thesis. The thesis researches the market informationspillover effects from the market microstructure theory angle and divides market informationinto public information and private information and studies the way and the path that themarket information affects the agriculture product prices, especially uses the bayesianlearning model to analyze the way and path private information affects the agriculture productprices. Further, the thesis put forward the market microscopic structure characteristics theaffect the market information effects which including relating degree between market andmarket transparency and market liquidity and the market transaction cost. Furthermore, thepaper use the game theory to construct a two stage incomplete information dynamic modelstudies the role of the market microstructure characteristics in the process of the marketinformation spillover and testifies the influence of the market microstructure characteristicson the information spillover effects.
The thesis researches the China's corn futures market microstructure. According the viewof the Institutional Economics, the trading behavior of traders is the product of the marketsystem. The paper focuses on the influence of China's corn futures market related system onthe market characteristics which including trading mechanism that are the order-driventrading system and offer drive trading system, information disclosure system that are openinformation disclosure system and large public report system and risk early warning system and risk management system that are price limit system and limit warehouse system, forcedunwind system and earnest money system.
The paper uses the econometric time sequence modeling method studies informationspillover effects of China's corn futures market and the relevant market, namely, the U.S.cornfutures market and China's corn spot market and U.S. corn spot market. In detail, the thesisuses the Janhenson cointegration test and the Granger causality test studies China's cornfutures and U.S. corn futures price and absolute returns and rate of return and China's cornspot price and absolute returns and rate of return and U.S. corn spot price and absolute returnsand rate of return spillover effects. Study of China's corn futures market and U.S. corn futuresmarket information spillover effects can compare our country agricultural futures market andparallel market information processing and price discovery efficiency; study of China's cornfuture market and China's corn spot market information spillover effects can investigate Chinaagricultural futures market price discovery function validity in domestic; study of China'scorn futures market and U.S. corn spot market information spillover effects can find the roleof the China's agricultural products future market in international agricultural commoditiesspot price forming process.
In the study process of information spillover effects of China's corn futures market andU.S. corn futures market, the long-term equilibrium relationship between the China's cornfutures market and American corn futures market price, absolute returns and the the rate ofreturn be found and it shows that U.S. corn futures absolute returns and the the rate of returnare the Granger reasons of China's corn futures market absolute returns and the the rate ofreturn which depicts that the United States futures market information processing is moreefficiency than China's futures market. In the study process of information spillover effects ofChina's corn futures market and China's corn spot market, the long-term equilibriumrelationship between the China's corn futures market and China's corn spot market price,absolute returns and the the rate of return be found and it shows that China's corn futureabsolute returns and the the rate of return are the Granger reasons of China's corn spot marketabsolute returns and the the rate of return which depicts that the China's corn future markethas the price discovery function in domestic. In the study process of information spillovereffects of China's corn futures market and U.S. corn spot market, the long-term equilibriumrelationship between the China's corn futures market and American corn spot market price,absolute returns and the the rate of return be found and no apparent causality be foundbetween the China's corn futures market absolute returns and the the rate of return and U.S.corn spot absolute returns and the the rate of return and which depicts that China's cornfutures market price discovery function in international agricultural commodities spot marketneed to be improved. The paper further analyses the reasons of the information spillovereffects from the perspective of the differences of the market microscopic structure.
引文
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