我国粮食期货市场与现货市场价格关系的研究
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摘要
粮食期货市场以其特有的价格发现、风险转移功能对减缓现货市场价格波动、调节市场供求发挥着重要作用。目前,我国粮食期货市场已进入稳步发展的新历史阶段,粮食市场体系出现了不完善的现货市场与快速发展的期货市场并存局面。在这一背景下,研究我国粮食期货市场与现货市场价格关系,分析当前期货市场价格发现功能的发挥程度,探讨期货价格与现货价格的影响因素,为进一步发展和完善我国粮食市场体系提供理论依据,具有十分重要的现实意义。
为此,本文首先对期货市场功能、期货市场与现货市场的关系进行理论分析和探讨,并提出我国粮食期货市场与现货市场价格关系的研究方法。其次,分别从内源和外源两个角度,对影响我国粮食期货价格和现货价格的因素进行系统分析,以寻求影响两个市场价格形成及效率的原因所在。再次,对我国粮食期货价格与现货价格关系进行实证分析,通过对期货与现货价格相关性、期货价格有效性、期货与现货价格之间引导关系的分析,来说明我国粮食期货市场价格发现功能的实际结果。最后,从市场体系建设的角度出发,提出进一步改进和完善粮食期货市场和现货市场,充分发挥粮食期货市场价格功能的对策和措施。
本文的主要研究结论是:(1)有些粮食品种的现货市场价格受政策影响显著。经对我国粮食现货市场价格影响因素的分析发现,我国大豆和玉米的市场价格基本能够按照市场规律而变动,水稻和小麦价格明显受到国家各项农业政策的影响,其价格无法充分体现出市场的作用。(2)不同粮食品种期现货价格关系的表现有所差异。大豆、玉米的期货与现货价格的关系比较密切,期货价格对现货价格发挥了一定作用。相比之下,受国家粮食价格政策等影响,小麦期货价格对现货价格所起的作用较小,小麦期货市场的价格发现功能也较弱。(3)粮食期货价格对现货市场作用有待进一步加强。虽然我国粮食期货市场功能得以初步显现,期货价格对现货市场的积极作用已被社会广泛认识。但是,由于我国期货市场在其发展道路上经历过波折,在市场的成熟度和完善度上还尚有不足,期货价格对现货市场的指导性以及期货市场的有效性还有待进一步提高。
因此,我国粮食期货市场的进一步发展,不仅要依赖于期货市场自身建设的完备,还要依赖于现货市场体系的不断优化和完善。需要发展粮食订单期货,扩大粮食期货交易主体规模;创新品种上市机制,增加粮食期货交易品种数量;完善市场设施建设,促进全国统一粮食市场形成;加强储备粮的调控,减少政府对价格的直接干预。
本文的创新之处主要体现在:第一,通过从我国粮食期货与现货价格的关联分析入手,探明我国粮食期货市场价格发现功能发挥的程度,并以此为切入点,就我国粮食期货与现货价格影响因素进行深入研究,探索改进和完善我国粮食市场体系、充分发挥期货价格对现货市场作用的途径和方法。这是从另一个角度为我国粮食市场体系发展提供新的思路和启发。第二,通过从期货与现货价格相关性、期货价格有效性、期货与现货价格引导性三个方面,对大豆、玉米、小麦期货与现货价格关系进行定量分析,并对分析结果进行比较,全面系统地反映了我国粮食期货市场价格发现功能发挥的现状。第三,通过从内源和外源两个角度,对粮食现货价格影响因素进行系统分析,从中发现影响我国不同粮食品种价格波动的原因不同。明确指出造成小麦、水稻市场价格波动主要原因是政府粮食价格政策的变动,这一结论为进一步完善我国粮食市场体系建设提供了决策依据。
With its unique function of price discovery and risk shifting, grain futures market plays an important role to slow down the price volatility in the spot market and to regulate the supply and demand of market. At present, China grain futures market has entered a new stable development historical stage. However, the imperfections of the spot market and the rapid development of the futures market coexists in the grain market system. In this context, it is of great practical significance to study the price relationship of the grain futures market and spot market, to analyze the price discovery function degree of the current futures market, to explore the impact of factors of the futures prices and spot prices, and to provide a theoretical basis for the further development and improvement of China grain market system.
In this paper, firstly we make theoretical analysis and discussion about the function of the futures market, futures market and spot market, then build the methods of analysis between China's grain futures market and spot market price. Secondly, we make systemic analysis on endogenous and exogenous factors which impact on China grain futures prices and spot prices formation and efficiency. Thirdly, we carry out the empirical analysis about the relevance of futures and spot prices, the effectiveness of futures prices, the relationship between the futures and spot price, in order to illustrate the actual results of China grain futures market price discovery function. Finally, from the point of view of the market system, we propose suggestions and measures to further improve and perfect the grain futures market and spot market, so as to bring into full function of the grain futures market prices.
The main conclusion of this paper is following: (1) the grain policy has important influence for the price of the grain spot market, especially for certain grains. Based on the analysis of influence factors of spot market price, we find out market price of corn and soybeans can change according to the market rules and basic. The prices of rice and wheat are clearly influenced by the national agricultural policy; the price can not fully reflect the role of the market. (2) the relationship of future and spot price for certain grains are different. The relationship of the spot and futures prices of soybean and corn is relatively close, and the futures prices play an important role in the spot price. By contrast, the futures prices of wheat play a slight role in the spot price, price finding function of forward market of wheat is also weak. (3) The role which grain futures price play in spot market should be further strengthened. Although the function of grain future market appears preliminarily, the positive role which grain futures price play in spot market has been widely known. But the guiding of grain futures price to the spot market and the validity of future market should be further increased, because of immaturity market development.
The further development of grain future market in China not only depends on the completeness of future market construction, also depends on completeness of spot market system. It needs to develop the order of grain futures and to expand the amount of grain futures trading; It need to innovate the listed mechanism of the varieties to increase the varieties of grain futures trading; It need to complete the construction of market facilities to Promote the forming of national food market; It need to strengthen the regulation of grain reserves to reduce the direct price intervention of government.
This paper reflected in its innovations: first, this paper prove up the degree of price finding function in our grain forward market through the correlation analysis of the spot and futures prices; And taking it as the breakthrough point, this paper deeply study the affecting factor of the grain spot and futures price to explore and complete the grain market system and to fully bring into play the ways and methods of the futures price related the spot market. It provides new ideas and inspiration to the development of grain market system from a new Angle .Second, through the correlation of the spot and futures prices, the effectiveness of futures price and the guiding of futures and spot price, this paper make quantitative analysis to the spot and futures prices of Soybeans, corn, wheat and compare the results of analysis, and systematically reflect the current situation of futures price finding function. Third, from the Angle of, this paper systematically analyze the endogenous and exogenous factors of grain spot price, and find out that the reasons which affect the fluctuation in prices in different grain varieties are different. This paper clearly point out the main reasons that cause fluctuation in prices in wheat, rice market are the changes of the government policy in food prices. This conclusion provides decision-making basis for further completing the grain market system construction.
为此,本文首先对期货市场功能、期货市场与现货市场的关系进行理论分析和探讨,并提出我国粮食期货市场与现货市场价格关系的研究方法。其次,分别从内源和外源两个角度,对影响我国粮食期货价格和现货价格的因素进行系统分析,以寻求影响两个市场价格形成及效率的原因所在。再次,对我国粮食期货价格与现货价格关系进行实证分析,通过对期货与现货价格相关性、期货价格有效性、期货与现货价格之间引导关系的分析,来说明我国粮食期货市场价格发现功能的实际结果。最后,从市场体系建设的角度出发,提出进一步改进和完善粮食期货市场和现货市场,充分发挥粮食期货市场价格功能的对策和措施。
本文的主要研究结论是:(1)有些粮食品种的现货市场价格受政策影响显著。经对我国粮食现货市场价格影响因素的分析发现,我国大豆和玉米的市场价格基本能够按照市场规律而变动,水稻和小麦价格明显受到国家各项农业政策的影响,其价格无法充分体现出市场的作用。(2)不同粮食品种期现货价格关系的表现有所差异。大豆、玉米的期货与现货价格的关系比较密切,期货价格对现货价格发挥了一定作用。相比之下,受国家粮食价格政策等影响,小麦期货价格对现货价格所起的作用较小,小麦期货市场的价格发现功能也较弱。(3)粮食期货价格对现货市场作用有待进一步加强。虽然我国粮食期货市场功能得以初步显现,期货价格对现货市场的积极作用已被社会广泛认识。但是,由于我国期货市场在其发展道路上经历过波折,在市场的成熟度和完善度上还尚有不足,期货价格对现货市场的指导性以及期货市场的有效性还有待进一步提高。
因此,我国粮食期货市场的进一步发展,不仅要依赖于期货市场自身建设的完备,还要依赖于现货市场体系的不断优化和完善。需要发展粮食订单期货,扩大粮食期货交易主体规模;创新品种上市机制,增加粮食期货交易品种数量;完善市场设施建设,促进全国统一粮食市场形成;加强储备粮的调控,减少政府对价格的直接干预。
本文的创新之处主要体现在:第一,通过从我国粮食期货与现货价格的关联分析入手,探明我国粮食期货市场价格发现功能发挥的程度,并以此为切入点,就我国粮食期货与现货价格影响因素进行深入研究,探索改进和完善我国粮食市场体系、充分发挥期货价格对现货市场作用的途径和方法。这是从另一个角度为我国粮食市场体系发展提供新的思路和启发。第二,通过从期货与现货价格相关性、期货价格有效性、期货与现货价格引导性三个方面,对大豆、玉米、小麦期货与现货价格关系进行定量分析,并对分析结果进行比较,全面系统地反映了我国粮食期货市场价格发现功能发挥的现状。第三,通过从内源和外源两个角度,对粮食现货价格影响因素进行系统分析,从中发现影响我国不同粮食品种价格波动的原因不同。明确指出造成小麦、水稻市场价格波动主要原因是政府粮食价格政策的变动,这一结论为进一步完善我国粮食市场体系建设提供了决策依据。
With its unique function of price discovery and risk shifting, grain futures market plays an important role to slow down the price volatility in the spot market and to regulate the supply and demand of market. At present, China grain futures market has entered a new stable development historical stage. However, the imperfections of the spot market and the rapid development of the futures market coexists in the grain market system. In this context, it is of great practical significance to study the price relationship of the grain futures market and spot market, to analyze the price discovery function degree of the current futures market, to explore the impact of factors of the futures prices and spot prices, and to provide a theoretical basis for the further development and improvement of China grain market system.
In this paper, firstly we make theoretical analysis and discussion about the function of the futures market, futures market and spot market, then build the methods of analysis between China's grain futures market and spot market price. Secondly, we make systemic analysis on endogenous and exogenous factors which impact on China grain futures prices and spot prices formation and efficiency. Thirdly, we carry out the empirical analysis about the relevance of futures and spot prices, the effectiveness of futures prices, the relationship between the futures and spot price, in order to illustrate the actual results of China grain futures market price discovery function. Finally, from the point of view of the market system, we propose suggestions and measures to further improve and perfect the grain futures market and spot market, so as to bring into full function of the grain futures market prices.
The main conclusion of this paper is following: (1) the grain policy has important influence for the price of the grain spot market, especially for certain grains. Based on the analysis of influence factors of spot market price, we find out market price of corn and soybeans can change according to the market rules and basic. The prices of rice and wheat are clearly influenced by the national agricultural policy; the price can not fully reflect the role of the market. (2) the relationship of future and spot price for certain grains are different. The relationship of the spot and futures prices of soybean and corn is relatively close, and the futures prices play an important role in the spot price. By contrast, the futures prices of wheat play a slight role in the spot price, price finding function of forward market of wheat is also weak. (3) The role which grain futures price play in spot market should be further strengthened. Although the function of grain future market appears preliminarily, the positive role which grain futures price play in spot market has been widely known. But the guiding of grain futures price to the spot market and the validity of future market should be further increased, because of immaturity market development.
The further development of grain future market in China not only depends on the completeness of future market construction, also depends on completeness of spot market system. It needs to develop the order of grain futures and to expand the amount of grain futures trading; It need to innovate the listed mechanism of the varieties to increase the varieties of grain futures trading; It need to complete the construction of market facilities to Promote the forming of national food market; It need to strengthen the regulation of grain reserves to reduce the direct price intervention of government.
This paper reflected in its innovations: first, this paper prove up the degree of price finding function in our grain forward market through the correlation analysis of the spot and futures prices; And taking it as the breakthrough point, this paper deeply study the affecting factor of the grain spot and futures price to explore and complete the grain market system and to fully bring into play the ways and methods of the futures price related the spot market. It provides new ideas and inspiration to the development of grain market system from a new Angle .Second, through the correlation of the spot and futures prices, the effectiveness of futures price and the guiding of futures and spot price, this paper make quantitative analysis to the spot and futures prices of Soybeans, corn, wheat and compare the results of analysis, and systematically reflect the current situation of futures price finding function. Third, from the Angle of, this paper systematically analyze the endogenous and exogenous factors of grain spot price, and find out that the reasons which affect the fluctuation in prices in different grain varieties are different. This paper clearly point out the main reasons that cause fluctuation in prices in wheat, rice market are the changes of the government policy in food prices. This conclusion provides decision-making basis for further completing the grain market system construction.
引文
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①业内人士称,套期保值者与投机者的比例为2:1或3:1时为适度(陶琲等,2003)。
①引自田国强.现代经济学与金融学前沿发展[M].北京,商务印书馆,2002。
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①资料来源:中国国际期货经纪有限公司,2007年12月26日。
①数据来源:大连商品交易所,2007年。
①资料来源:《中国农业发展报告2008》,农业部。
①资料来源:第一财经日报,2008年4月18日。
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①引自田国强.现代经济学与金融学前沿发展[M].北京,商务印书馆,2002。
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①资料来源:中国国际期货经纪有限公司,2007年12月26日。
①数据来源:大连商品交易所,2007年。
①资料来源:《中国农业发展报告2008》,农业部。
①资料来源:第一财经日报,2008年4月18日。
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