我国玉米期货市场价格发现功能研究分析研究.doc

摘 要 随着新政策的变化和国际市场的竞争竞争的影响，我国玉米的价格也变得更加不稳定。而玉米期货市场与价格的变动息息相关，其价格发现功能是否能良好发挥影响着我国未来期货市场的发展，因此我们有必要对其进行全面而系统地研究。本文选取了2016年 1月4日至 2018 年12月24日的玉米期、现货价格周数据，然后运用相关性分析、协整检验、ADF检验、误差修正模型以及格兰杰因果检验的实证研究方法对这154组数据进行分析。在了解目前我国期货市场的概况后，结合本文的研究结果可以得出结论：我国玉米期货市场目前的价格发现功能的确存在，但是其运行效率较低；期货对现货的预期性较弱。本文的最后为提高价格发现功能，使期货市场良好发展提供了建议和具体的对策。 关键词：玉米期货；价格发现功能；实证分析 ABSTRACT With the change of the new policy and the influence of the competition in the international market, the price of corn in China has become more unstable. However, the corn futures market is closely related to the price changes, and whether its price discovery function can play a good role in influencing the future development of China's futures market, so it is necessary to conduct a comprehensive and systematic study on it. In this paper, weekly data of corn period and spot price on January 4, 2016 and December 24, 2018 were selected, and the 154 groups of data were analyzed by empirical research methods including correlation analysis, co-integration test, Augmented Dickey-Fuller test, error correction model and Granger causality test. After understanding the current situation of China's futures market, combined with the research results of this paper, it can be concluded that the current price discovery function of China's corn futures market does exist, but its operating efficiency is low. Futures on the spot of the expected weaker. At the end of this paper, it provides Suggestions and specific countermeasures for improving the price discovery function and making the futures market develop well. Key words:Corn Futures；Price Discovery Function；Empirical Analysis 目 录 27150_WPSOffice_Level1 第 一 章 引言 1 5251_WPSOffice_Level2 1.1 研究背景和研究意义 1 29190_WPSOffice_Level3 1.1.1 研究背景 1 19147_WPSOffice_Level3 1.1.2 研究意义 1 17814_WPSOffice_Level2 1.2 文献综述 2 24027_WPSOffice_Level3 1.2.1 国外对期货市场价格发现功能的研究 2 7567_WPSOffice_Level3 1.2.2 国内对期货市场价格发现功能的研究 3 24407_WPSOffice_Level2 1.3 论文研究方法和内容 4 2050_WPSOffice_Level3 1.3.1 研究方法 4 12