中国期货市场的有效性研究—基于大豆期货市场的实证分析.docVIP

摘 要 成熟的社会主义市场经济需要规范和完善的商品期货市场。只有成熟和有效的期货市场，才能起到分散风险、稳定现货市场、价格发现、套期保值等作用。本文从有效市场理论出发，主要采用实证分析和对比分析的研究方法，通过对中国大豆期货收益率的分布与波动性的实证分析，论证了其时间序列存在ARCH效应，并运用GARCH模型对大豆期货进行了拟合分析和统计检验，检验结果表明大豆期货市场三个阶段的波动性均具有很高的持续性；通过GARCH(1 ,1)的市场有效性检验，论证了中国期货市场三个阶段均尚未达到弱式有效，市场风险较大。同时对三个阶段效率进行了对比分析，发现随着时间的推移，中国期货市场的效率有了一定提高。最后对中国期货市场的有效性进行了深入分析，并提出了具体的解决思路，以期为政府制定规范发展期货市场的政策提供有益建议。 「关键词」 Abstract: Normative and proper Futures market is really needed in mature socialistic market economy. Constant spot market , price discovery and price risk hedging can only be achieved in mature and effective futures market. Based on effective market theory, this article uses demonstration analysis and contrast method. By analyzing the distribution and volatility of the return rates of Chinese soybean futures , it has been found that there exists the ARCH effect in the return time series .Through fitting and statistic test，the GARCH(1 ,1)model shows that the fluctuations of the soybean futures markets have great persistence .By the GARCH(1 ,1)model, we verify that the three stages of the Chinese futures market dont reach the stage of weak market efficiency until now ,which proves to be of high risk . Meanwhile, through comparing the efficiency of the three stages of Chinese futures market, it has been found the efficiency of Chinese futures market has been improved a lot . In the final chapter, the efficiency of the Chinese futures market has been thoroughly analyzed and some specific approaches have been put forward, which intends to provide the government with some helpful suggestions for making policy of the normative development of the futures market. Key words: futures market；GARCH model；market efficiency 目 录 绪论…………………………………………………………………………1 1.1 选题依据和研究的现实意义………………………………….……..……1 1.2 国内外对期货市场有效性研究的状况……………………………...……4 1.2.1 国外研究状况…………………..……………………..……………...5 1.2.2 国内研究状况……………………………………...…………………6 1.2.3 本论文的立意和角度………………………………..……………….7 1.3 本论文的主要安排和研究方法…………………………………….….…8 1.3.1 中国期货市场发展历程……………………….……