中日天然橡胶期货市场风险比较研究  

Comparative Study on Risks of Natural Rubber Futures Market between China and Japan

作　　者：杨雪[1] 乔娟[1] 

机构地区：[1]中国农业大学经济管理学院,北京100193

出　　处：《技术经济》2009年第6期80-84,共5页Journal of Technology Economics

基　　金：国家自然科学基金项目(70473088)

摘　　要：本文利用相关性分析、协整检验等方法以及基差分析和成交量与交割率分布等指标,分别对中日天然橡胶期货市场价格的非正常波动和流动性风险状况进行了比较分析。结果表明:中国天然橡胶期货市场价格的非正常波动风险与日本市场相比较低;中国天然橡胶期货市场的流动性水平在不断增强,但中日两国天然橡胶期货市场的成交量和交割率的分布差异较大,给持有不同目的的交易者带来的风险均有差异。In this paper, relativity analysis, Co-integration test and basis analysis have been used to evaluate abnormal price fluctuation, and liquidity risk is measured by trading volume and delivery rate. The results show that：abnormal price fluctuation risk of natural rubber futures mar- ket in China is lower than that in Japan;there is great difference on distribution of trading volume and delivery rate between two countries＇ markets,and the liquidity level of natural rubber futures market in China is being improved step by step, which leads to different risks for traders with various goals.

关 键 词：天然橡胶 橡胶期货 期货市场风险 中国 日本 

分 类 号：F724.5[经济管理—产业经济] F713.35F224