中国农产品期货风险溢价与市场波动性研究——基于M-V与CAPM对市场效率的动态检验  

A Study on Risk Premium of Chinese Agricultural Produce Futures and Instability of the Market——Based on a Dynamic Examination of Market Efficiency by M-V and CAPM

作　　者：刘明[1] 黄政[2] 

机构地区：[1]陕西师范大学农村发展研究中心,陕西西安710062 [2]陕西师范大学国际商学院,陕西西安710062

出　　处：《陕西师范大学学报（哲学社会科学版）》2010年第6期129-139,共11页Journal of Shaanxi Normal University(Philosophy and Social Sciences Edition)

基　　金：国家社会科学基金项目(07BJY169);教育部人文社会科学基金项目(06JA790068);陕西省社会科学基金项目(06D005Z);陕西师范大学"211工程"三期重点建设项目(200903)

摘　　要：农产品期货市场具有"超额风险溢价",隐喻着影响期货价格的信号未能被市场及时发现并充分吸收。中国农产品期货市场运行低效,农产品期货市场效率随着同业拆借利率增长率上升和CRB期货指数波动加剧而减小,说明市场效率同时受国内货币市场与国际期货市场影响。农产品期货市场风险—收益和效率状况与宏观背景密切相关,微观机构违规或巨额亏损事件诱致羊群效应对期货市场具有系统性影响,对农产品期货市场提供信贷支持以改善流动性具有正向效果,增加期货品种以扩展资金配置空间、改善交易标的统计特性可以改进期货市场效率。提升市场效率的策略是放宽市场准入,通过优化市场机制与规则提高趋向均衡价格的时效,适当增加农产品期货品种、扩大交易范围,寻求"对冲"工具消解外部市场波动对国内市场的影响,央行要综合运用利率调节与数量手段减少货币市场波动。The market of agricultural produce futures is of premium of excessive risk, implying the market＇ s failure to timely discover and completely absorb the signals of affecting prices of futures. Because of effects of domestic currency market and foreign market of futures on market efficiency, Chinese market of agricultural produce futures works inefficiently, which results from the soar of increase ratio of agricultural loans and the intension of fluctuations of the indexes of CRB futures. The market risk, profits and efficiency of agricultural produce futures are closely associated with macro background. Malpractice or huge losses of micro organs are likely to lure the herding effect, that is, systematic effects on the market of futures. Thus providing loan support for the market of agricultural produce futures can produce some positive effects on improvement of capital flowing, varieties of futures can be increased to extend the room of money arrangement and statistic tenders cab be bettered to improve the market efficiency of futures. In this practice, the central bank should comprehensively utilize interests adjustment and amount means to lessen fluctuations in the currency market.

关 键 词：农产品期货市场 市场效率动态 风险溢价缺口 M—V模型 CAPM 

分 类 号：F323.7[经济管理—产业经济]