【作者】 李新建；

【导师】 吴春梅；

【作者基本信息】 华中农业大学 ， 农业经济管理， 2013， 博士

【摘要】 期货市场运行绩效是期货市场质量的反映,关系到期货市场功能能否充分发挥,关系到期货市场能否持续健康发展。特别是在当前我国农业经济结构深刻调整的时期,农产品期货市场良好的运行绩效能够有效化解我国农业经济发展过程中的风险,增加农业产业竞争力,有助于解决我国“三农”问题。我国农产品期货市场还处于发展的关键时期,因此,全面了解掌握其市场运行状况,明确存在的相关问题,对保障市场健康运行,进一步提升市场运行绩效,提升市场的竞争力和地位至关重要。本文以我国农产品期货市场为研究对象,考察其产生和发展的历程,分析农产品期货市场对市场参与主体之一的涉农企业价值和业绩的影响,剖析其影响原因,通过横向比较、纵向对比和模型构建,从波动性、流动性和有效性三个视角全面、系统、深入研究我国农产品期货市场运行绩效。在对运行分析的基础上,结合典型案例分析,针对我国农产品期货市场运行的状况,从期货市场微观结构(市场参与主体、品种设计)、中观环境(交易成本、交易制度、交易方式)和宏观环境(现货市场、金融市场、宏观政策)系统提出我国农产品期货市场运行绩效的提升策略建议。主要研究工作及结论如下：(1)现阶段要大力提升农产品期货市场运行绩效,充分发挥农产品期货市场的基本功能,使农产品期货工具成为市场参与主体规避风险的主要工具。运用panel模型对我国涉农上市公司使用期货工具的实证研究发现,是否使用农产品期货工具进行风险管理对企业价值和业绩没有明显影响,但对企业业绩的某一指标(如ROA)还是起到了一定的作用。实证分析还发现,在我国177家上市涉农企业中,最近几年利用期货工具进行风险管理的不到40家,远低于世界83.3%的平均水平。从动机理论来看,由于使用期货工具对我国涉农企业的价值和业绩影响还不显著,影响到了市场参与主体利用期货工具的积极性,导致市场参与主体的不足,影响了市场运行的绩效和功能发挥。(2)从波动性看,我国部分农产品期货品种运行绩效有所提升,但是市场整体绩效还需加强。通过进行系统性的横向比较分析,发现芝加哥期货交易所市场作为一个成熟的期货市场,在一定的波动幅度内,市场活跃度好,其运行比较少出现极端的波动性变差,市场运行是比较平稳的。而在我国农产品期货市场中,与芝加哥期货市场相同品种的小麦、白糖、棉花、大豆、豆粕、玉米和豆油期货品种的波动性之间不存在显著差异,但总体上我国农产品期货品种波动性之间存在极显著的差异,而且我国农产品期货市场各个品种的波动性明显弱于对应的在CBOT上运行的品种,说明我国农产品市场整体还不够成熟,活跃度有待提升。另外,我国农产品期货市场的波动还存在长记忆性、杠杆效应和到期效应,而且还受到部分宏观经济政策的影响。(3)我国农产品期货市场流动性水平还是比较高,但是不够稳定。通过对我国农产品期货市场与芝加哥期货市场之间的流动性进行横向比较分析发现,我国农产品期货市场流动性的水平还是比较高的。但是通过对我国农产品期货市场不同的发展阶段的流动性进行纵向分析发现,流动性也会出现波动状态,反映出我国农产品期货市场运行质量还不是很稳定。而我国农产品期货市场在价格上涨和下跌时流动性整体上不存在显著差异。另外,从交易量波动性的基础上分析市场流动性水平发现,芝加哥期货交易所小麦期货市场的日交易量变化对价格波动没有显著影响,表明芝加哥期货市场作为一个成熟的期货市场,其市场确实具备了非常好的市场流动性。而我国郑州商品交易所的白糖和大连商品交易所的豆粕的日交易量变化对期货市场价格的波动产生了一定的负面影响,这也表明我国期货市场运行绩效有待提升。(4)农产品期货市场还不是弱式有效,但是部分品种的期货市场具有一定的价格发现功能,同品类期货品种之间具有较强波动溢出效应。首先运用单位根检验、序列相关性检验和游程检验三种方法进行分析检验,三种检验的结果一致说明我国农产品期货市场的价格波动还不符合随机游走过程,农产品期货市场还没有达到弱式有效。其次,通过对小麦、白糖、棉花、早籼稻、大豆、豆粕和玉米7个品种分析发现,小麦、早籼稻、豆粕和玉米的期货市场价格与现货市场价格之间没有引导作用。而白糖和大豆期货价格变动对现货价格变动有显著的引导作用,是单向引导关系；棉花期货价格变动与现货价格变动有显著的相互引导作用,即双向引导关系,且棉花现货价格的影响力略大于棉花期货的影响力。最后,在以豆油、菜籽油和棕榈油三个油脂期货为例,对同品类期货波动溢出进行研究,豆油期货与菜籽油期货之间的波动溢出传导性较强；豆油期货与棕榈油期货两者对彼此都有较大的波动溢出效应；棕榈油期货与菜籽油期货之间存在显著的波动溢出效应。(5)发展“期货农业”,培育期货市场参与主体、加强市场交易品种创新、完善交易所服务功能、通过提升期货市场运行绩效来提升竞争力。基于对我国农产品期货市场运行绩效实证分析和对期货市场参与主体——涉农企业及宏观经济政策对期货市场运行的基础上,结合典型案例分析,从期货市场的需求方——参与主体、期货市场的供给方——期货交易所、需求方和供给方的中介以及宏观制度系统分析提出提升市期货场运行绩效的策略：大力发展“期货农业”,让农产品期货市场深入到农业生产的各个环节,并积极培育和壮大期货市场参与主体、加强市场交易品种创新、完善交易所服务功能、提升涉农期货公司竞争力、积极提供政策扶持和制度保障等。主要创新点：(1)研究视角。首先,以往很少有研究从农产品期货市场参与主体角度分析期货市场的作用,本文以农产品期货市场参与主体之一的涉农企业为对象,深入分析是否使用期货工具对企业价值和业绩的影响,探讨农产品期货市场的运行绩效。其次,以往关于农产品期货市场运行绩效的研究针对某个或某几个具体品种研究多,而且针对市场运行绩效某一方面(波动性、流动性或有效性)的研究多,但就整个农产品期货市场运行绩效全面、系统的研究不多见,本文以我国农产品期货市场为研究对象,全面、系统、深入分析其运行绩效,为衡量我国农产品期货市场运行质量提供参考。再次,宏观经济政策对于期货市场的影响研究,以往主要从定性的角度分析,鲜有定量分析,本文通过选取宏观经济的财政政策指标和货币政策指标,构建模型,定量分析宏观经济对我国农产品期货市场的影响。最后,以往关于市场波动溢出的研究主要关注境内外市场的溢出效应和同一区域不同品种间的溢出效应,而针对同一区域内同类品种的波动溢出效应的研究还不多见,本文以我国的油脂类期货(豆油、菜籽油和棕榈油)为研究对象,探讨它们之间的波动溢出效应,为我国同类期货品种的上市运行提供参考。(2)研究方法。本文围绕我国农产品期货市场运行绩效这一核心问题,在研究中采取统计分析方法、计量分析方法、案例分析方法,综合运用制度经济学理论、企业价值理论、动因理论、价格波动理论、流动性理论、市场有效性理论和金融市场微观结构理论形成整合的理论分析框架,这种跨学科、多元化的研究方法在以往期货研究中极为少见。更多还原

【Abstract】 The performance of the futures market is a reflection of the quality of the futures market. It will influence whether the market functions can play actively and healthily, especially in the current economy of our country with profound structural adjustment. Its operating quality of the agricultural futures markets can effectively resolve the risk in the process of Chinese economic development, and increase the competitive ability of agricultural industry. Furthermore it can help to solve the "three rural issues".. Chinese agricultural futures market is still in a critical period of development, therefore, it is essential to understand the operation mechanism of the market, and make clear of the relevant issues. These research questions are critical for the healthy operation of corresponding market, and help to improve its performance and enhance the competitiveness of the market.Aim for the present situation, this paper takes the Chinese agricultural product futures market as the research object, examines its emergence and development process, and analyze its influence on the value and performance of a main participator-agricultural firms and try to find out the corresponding factors. We build models through horizontal and vertical comparison, analyze three perspectives, its volatility, liquidity and efficiency, to provide a comprehensive, system, and in-depth study on the operating situation of Chinese agricultural futures market. Based on the operation analysis, combined with a typical case analysis, in view of our country agricultural product futures market operation situation, we put forward the countermeasures to enhance the performance of China’s agricultural products futures market, especially on the microstructure (market participation, variety design), environment (transaction cost, transaction institution, and transaction types) and macro environment (spot market, macroeconomic policy, and financial market). Our main research work and conclusions are as follows:(1) It’s necessary to enhance the performance of the agricultural product futures market at this stage, and motivate the basic function of the futures market of agricultural products, in order to promote agricultural products futures tools as a major tool for market participants to avoid risks.The use of panel model for empirical research in Chinese Agricultural listing corporation who take advantage of futures tools found, there is no obvious relationship related to agricultural futures tools application and firm value and performance, but it will influence enterprise performance (such as ROA) with a certain role. The empirical analysis also found that, in the177listed enterprises in our country, in recent years the number of firms who use of futures risk management tools is less than40, far below the world average level of83.3%. Based on motivation theory, because there is no obvious role of the use of futures tool on the value and performance of Chinese agricultural enterprises, it will affected the activities of market participator who applied futures tool, which leads to the deficiency of market participators, and limits their impact on market performance and function.(2) From the volatility of some agricultural futures, their operational performance has improved, but the overall performance of the market need to be strengthened.Through the horizontal comparative analysis, CBOT as a mature futures market, its market play actively in certain volatility variation, its operation is less likely change to extreme, so its operation of the market is relatively stable. But in our country agricultural product futures market, there is no significant difference among different futures types, there is no significant difference among wheat, sugar, cotton, soybean, soybean meal, corn and soybean oil futures varieties. But on the whole there is significant difference between Chinese agricultural products, the futures market of agricultural products in all varieties significantly weaker than the corresponding operation in the CBOT species, indicating that Chinese agricultural products market is not mature enough, and need to enhance its activation. In addition, there are long memory, leverage and maturity effect existing in our country’s agricultural product futures market fluctuations, and also affected by macro economic policies.(3) Chinese agricultural futures market liquidity level is still relatively high, but it is not stable enough.Horizontal mobility between Chinese agricultural futures market and the Chicago futures market comparative analysis found that the level of Chinese agricultural futures market liquidity is still relatively high. However, longitudinal analysis through different stages of development of Chinese agricultural futures market liquidity, liquidity will fluctuate, it reflects China’s agricultural futures market operation quality is not in a stable situation. There is no difference in the overall liquidity when prices rise and fall. In addition, analysis of the level of liquidity in the market from the volatility of the trading volume on the basis of daily trading volume, found that the changes on the Chicago Board of Trade wheat futures market price fluctuations had no significant effect, indicating that the Chicago futures market can play as a mature futures market, the market does have a very good market liquidity. The daily volume change of Sugar of Chinese Zhengzhou Commodity Exchange and soybean meal of the Dalian Commodity Exchange have certain negative impact on the futures market price fluctuations, it also shows that Chinese futures market running performance should be improved.(4) Agricultural futures market is not weak efficiency, but some varieties of the futures market has a price discovery function, there is strong volatility spillover effect between the same category futures.Firstly,we apply unit root test, sequence correlation test and runs test to analysis Chinese agricultural product futures market, three kinds of test results shows that price fluctuations are not in accord with random walk process, the agricultural product futures market has not reached the weak efficiency. Secondly, through the analysis of wheat, sugar, cotton, rice, soybean, soybean meal,we found, between futures price and spot market price of early indica rice, wheat, soybean and corn without induce. While the sugar and soybean are a one-way causal relationship; futures price induce spot price significant. Cotton futures price and spot price have a mutual guidance effect, namely the bi-directional leading relationship, and cotton spot price is slightly larger than the influence of cotton futures influence. Finally, we conducts the research to the same category Futures volatility spillover effect among soybean oil, rapeseed oil and palm oil,found soybean oil futures and oil futures two market volatility spillover conductivity is strong; soybean oil and palm oil both have greater volatility spillover effect to each other; there is significant volatility spillover effect between the palm oil futures and oil futures.(5) The development of "futures agriculture", cultivate futures market participation, strengthen market trading products innovation, improve the exchange services, to enhance the competitiveness by improving the performance of futures market.Based on the empirical analysis from the perspective of futures market participators of Chinese agricultural product futures, the agricultural enterprises, and analysis of macroeconomic policies on the futures markets. Combined with a typical case analysis, we proposed to improve the futures field measures of performance, vigorously develop the "futures agriculture", make the agricultural product futures market deep into all aspects of agricultural production, actively nurture and develop futures market participation, strengthen market innovation, improve the service functions, improve the competitiveness of the exchange futures company, and actively provide policy support and system guarantee.The main innovation points:(1) Research perspectives. Firstly, previous research on a specific varieties of agricultural futures market, mostly focus on a specific question (volatility, liquidity or effectiveness), but there is seldom discussed the performance of the agricultural product futures market. Target on Chinese agricultural product futures market, systematic and comprehensive analysis of the performance of different varieties is necessary, it provided a reference for the measurement of Chinese agricultural products futures operation quality. Secondly, the past volatility spillover market studies mainly focus on the spillover effect of domestic and foreign markets and the spillover effect, especially the volatility spillover effect in the same region according to the varieties of the same future types, mostly discussed oil futures. We investigate volatility spillover effect between them, to provide reference for the similar futures varieties. Once again, previous studies seldom discuss agricultural firms who apply futures to avoid risk, we try to analysis from agriculture-related enterprises angle, explore the influence of the use of futures on enterprise value. Finally, the research of macro economic policies for the futures market, mostly from the qualitative perspective, this paper selects the macroeconomic fiscal policy indicators and indicators of monetary policy, constructing quantitative model, empirically analysis of the macroeconomic impact on Chinese agricultural product futures market.(2) Research methods. This paper focuses on the main question of operating performance of Chinese agricultural product futures market, this research try to apply comprehensive methods related to economics, enterprise value theory, motivation theory, price volatility theory, flow theory, efficient market theory, to integrate them intro framework and take several empirical analysis methods. This interdisciplinary, diversified method related to futures studies is extremely rare in the previous future research.更多还原