中美玉米期货市场套保绩效比较研究  

Research on Hedge Performance of China and American Corn Future Market

作　　者：李圣军[1] LI Shengjun(Nation Grain ＆ Oils Information Center,Beijing 100038,China)

机构地区：[1]国家粮油信息中心,北京100038

出　　处：《农业经济与管理》2018年第4期87-96,共10页Agricultural Economics and Management

基　　金：国家自然科学基金面上项目(71773134)

摘　　要：根据2014年10月1日至2018年5月31日四个市场年度中美两国玉米期现价格,通过实证分析发现两国玉米期现价格同期相关系数分别为0.92和0.86,美国玉米期现价格相关度明显高于中国,而中国玉米期现价格则出现多次交叉。美国玉米期货价格波动强于现货,但期现价格及基差波动均小于中国。收储制度改革前后,中国玉米期货相对于现货价格波动实现"由弱转强"。中美两国基差正负不一,但标准差均明显低于期现价格。在60个套保间隔交易日内,收储制度改革前后美国最优套保率均在90%以上,最高达95.26%;2014/2015和2015/2016两个年度套保绩效保持在90%左右,近两年降至75%左右。收储制度改革后,中国最优套保率明显提高,由改革前40%以下提高至改革后近60%,但套保绩效有所降低,最高套保绩效由改革前25%以上降至20%以下。因此,必须完善期货交割,推广基差点价,加大培训教育,切实提高期现市场融合度。According to the price of China and American corn future and spot market from October 1, 2014 to May 31, 2018, by empirical analysis it could be found that future and spot price correlation coefficient was 0.92 and 0.86, respectively, American correlation coefficient was significant higher than that of China, China corn future and spot price appeared many crosses. The fluctuation of American corn future price was stronger than that of the spot price, but the fluctuation of future price, spot price and basis were all weaker than those of China, before and after the reform of corn storage institution, the fluctuation of future and spot price transferred from weaker to stronger. Basis of American and China had different positive or negative, but the standard deviation was obviously lower than future and spot price. Within 60 hedging days, whether before or after the reform of collection and storage institution, the American optimal hedge ratio remained above 90%, the highest level was 95.26%. In 2014/2015 and 2015/2016 market years, the hedging performance remained about 90%, which declined to 75% in recent two years. China optimal hedge ratio was obvious increased after reform of collection and storage institution, from less than 40% to more than 60%, but the hedging performance was decreased, from more than 25% to less than 20%. Therefore, it was necessary to improve delivery, promote base price, and increase training and education, so as to improve the integration of future market and spot market.

关 键 词：中美 玉米期货 套保 

分 类 号：F713.35[经济管理—产业经济]