硕士学位论文-中美豆粕期货市场风险溢出效应分析参考.docVIP

硕士学位论文 中美豆粕期货市场风险溢出效应分析 2014年12月 MASTER DISSERTATION Analysis of?soybean futures?market?risk spillover effect between China and US December 2014 摘要 在全球化市场大氛围下我国期货市场益成熟我国大豆产量1600万吨，消费量有5000多万吨，进口4000万吨，对外达到%。我国进口大豆都是转基因大豆，全部用来压榨豆油和豆粕，国产大豆只有一半用来压榨，从我国大豆压榨原料来说，进口大豆占非常大的比例，接近90%。品种为豆一、豆二，豆一为国产大豆，成交活跃的是豆一国产大豆在我国大豆总的消费中占比不到30%，因而豆品种现货参与基础并广泛。相反，我国豆粕年消费量3000多万吨，消费，豆粕成交活跃，主力合约持仓百万手中。研究思路结构价格以及收益率数据’?linkage?between different countries?is much stronger than ever before. with the gradual?standardization?of domestic futures market,?Chinas agricultural?product futures market?is increasingly achieving mature, Soybean meal?market of Dalian Commodity Exchange(DCE) has also become an important?hedging tool of the domestic feed?processing enterprises and?oil?enterprises. In recent years,?Chinas?annual soybean?output is about 16 million tons,?but?the annual consumption is?about 50 million?tons?per year?.China need to?import nearly 40 million?tons of soybeans,?the foreign dependency rate has reached 75%.?Chinas?soybean imports?is?genetically modified soybean,?soybean oil and meal?are?used to?crush,?half of domestic soybean?is used to squeeze,??from our?raw material of soybean’s squeezing, soybean imports?accounted for?a big proportion, close to 90%.?The upper content provides an?opportunity to study the?Risk Spillover Effect between soybean meal market of Dalian Commodity Exchange?and Chicago Commodity .?(Note: the above data?is from China Feed Industry Information Network, /) Because Chinas soybean futures varieties consist of soy one and soy two, and soy one is domestic soybean whose volume is active, However , it accounts for less than 30 percent of consumption of Chinas total soybean, thus less enterprises participate in the soy one futures and it is not widespread. In contrast, the annual consumption of soybean meals is up to more than 3000 tons , which is distributed in relatively widespread circulation area, Dalian soy