中美大豆期货价格的均衡关系分析.pdfVIP

中美大豆期货价格的均衡关系分析 [摘要] 随着中国的发展，当今的中国期货市场早已摆脱了发展初期“稚嫩”的 外表。从初创阶段的法制不健全、风险认知不足，逐渐稳步发展到如今多元化、程 序化、专业化的中国期货市场，越来越多的期货衍生品应运而生。期货也因其具的 有价格发现和规避风险的功能在金融市场上占据了一定地位，深受广大投资者的青 睐。因此，期货的价格趋势和均衡关系也成为投资者们密切关注的焦点。农业发展 作为国家关注的重点，其期货价格也牵动着国民经济的命脉。我国作为大豆进口量 最大的国家，期货价格必会受到如此庞大进口量的影响。本文通过我国大豆期货和 作为我国大豆主要进口国之一美国的大豆期货之间的价格趋势变化，分析得出两者 的关系，进而通过协整检验来建立ECM 模型，得出中美大豆期货价格的均衡关系。 [关键词] 大豆期货；ADF 检验；协整检验；ECM 模型 Analysis of the equilibrium relation between Chinese and American soybean futures prices [Abstract] With the development of China, Chinese futures market has long been out of the immature appearance of the early stage of development. From the initial stage of the imperfect legal system, lack of risk awareness, and gradually developed to the present, diversified, procedural and specialized Chinese futures market, more and more futures derivatives came into being. Futures also occupy a certain position in the financial market because of their functions of price discovery and risk aversion, and are favored by the majority of investors. Therefore, the price trend and equilibrium relationship of futures have become the focus of investors attention. Agricultural development as the focus of national attention, its futures prices also affect the lifeblood of the national economy. As the largest importer of soybean in China, the futures price will be affected by such a huge import volume. This paper analyzes the relationship between the price trends of soybean futures and soybean futures in the United States, which is one of the major importers of soybean in China. Then the ECM model is established by cointegration test, and the equilibrium relation between Chinese and American soybean futures prices is obtained. [Keywords] Soybean futures; ADF test; Cointegration test; ECM model 目录 前言1 一、中美期货市场概述1 （一）我国期货市场演进过程1 （二）