我国商品期货市场对生鲜鸡蛋现货价格引导作用的实证研究

我国商品期货市场对生鲜鸡蛋现货价格引导作用的实证研究摘要中国首个生鲜类期货品种一一鸡蛋期货于2013年11月8日正式上市，不仅完善了我国农产品期货品种，也让中国期货市场的发展迈向成熟化。本文考察以及了解鸡蛋期货价格功能的现状，进一步充实鸡蛋期货市场的研究，为监管部门、期货市场以及现货市场上的交易者提供监管和投资参考，逐步完善我国鸡蛋期货市场和现货市场。实证分析部分本文选取大商所鸡蛋期货近月合约每日收盘价格以及全国鸡蛋现货每日平均价格，然后利用EViews10.软件对两组价格序列构建VAR模型进行实证分析，得出结论：鸡蛋期货价格可以引导现货价格，即鸡蛋期货市场具有价格发现功能，我国鸡蛋期货市场是有效的。根据研究结论，本文提出以下建议：(1)规范现货市场，完善期货市场。(2)促进鸡蛋期货市场与现货市场的结合。(3)增加机构投资者数量，完善相关投资领域。(4)推动鸡蛋“保险+期货”市场化。关键词：鸡蛋期货：现货价格：价格发现：VAR模型An Empirical Study on the Guiding Role of Commodity FuturesMarket on the Spot Price of Fresh Eggs in ChinaAbstractEgg futures,the first fresh food futures in China,was officially launched on November 8,2013,which not only improved the futures varieties of agricultural products in China,but alsohelped the development of China's futures market towards maturity.Paper investigates andunderstands the price discovery function of the egg futures market,and further enriches theresearch of the egg futures market,provides regulatory and investment reference forregulators,futures market and spot market traders,and gradually improve China's egg futuresmarket and spot market.In the part of empirical analysis,paper selects the daily closing price of the recentcontract of egg futures in Dalian Commodity Exchange,and the daily average price of eggspot in China.Then use EViews10.software to establish a VAR model for empirical analysisof two groups of price series,and draws the conclusion:the egg futures price can guide thespot price,which means the egg futures market has the function of price discovery,China'segg futures market is an effective market.According to the conclusion of the analysis,the following suggestions are put forward.:(1)Standardize the spot market and improve the futures market.(2)Promote the combinationof egg futures market and spot market.(3)Increase the number of institutional investors andimprove the investment field.(4)Promote the marketization of "insurance futures"for eggs.Keywords:Egg futures;Spot price;Price discovery;VAR model目录一、绪论.(一)研究背景.…(二)研究意义(三)研究内容..(四)研究方法及技术路线1.研究方法.。2.技术路线.。3(五)可能的创新之处与不足二、文献综述3(一)关于期货市场价格发现功能的研究方法(二)关于鸡蛋期货的研究4(三)文献研究评述5三、相关概念与理论基础.…(一)期货市场价格发现功能的含义.........。5(二)期货市场价格发现功能的理论基础.......…61.持有成本理论62.理性预期理论..7四、鸡蛋期货价格发现功能的实证分析..(一)数据来源及数据基础分析.…71.数据来源.2.描述性统计.3.相关性分析.…9(二)鸡蛋期货市场价格发现功能的实证分析91.单位根检验92.VAR向量自回归模型.·。。。103.Johansen协整检验....…114.格兰杰因果关系检验。11五、研究结论与对策建议.11(一)研究结论…11(二)对策建议…91.规范现货市场，完善期货市场.。92.促进鸡蛋期货市场与现货市场的结合.123.增加机构投资者数量，完善相关投资领域..e4.推动鸡蛋“保险+期货”市场化…13参考文献…14谢辞.15