中国农产品期货市场效率问题研究——基于社会福利损失模型的实证分析  

Research on the Efficiency of China’s Agricultural Futures Market——Empirical Analysis Based on Social Welfare Loss Model

作　　者：刘晓雪[1] 王誓言 

机构地区：[1]北京工商大学

出　　处：《价格理论与实践》2018年第4期102-105,共4页Price:Theory & Practice

基　　金：教育部人文社科青年基金项目(13YJC790097);北京社科基金一般项目和北京市教委重点项目(SZ20171001107);国家社会科学基金一般项目(14BJY135)

摘　　要：本文从社会福利效应视角,基于社会损失指数模型衡量我国农产品期货市场效率。根据实证得出四个结论：一是谷物、软商品和林产品、油脂油料期货市场效率呈由低到高排序;二是多数期货品种在距离到期3-4个月时市场效率最高,价格信号最有效;三是超过3-4个月后,随着距到期时间增加,市场效率多呈下降趋势,但降幅减小;四是随上市年限延长,大豆和早籼稻期货市场效率有所改善,油脂油料期货市场效率较高且稳健。市场流动性水平、现货市场化程度、行业套期保值参与度及农产品期货1-5-9合约活跃影响着期货市场效率状况。This paper measures the efficiency of China＇s agricultural futures market based on the social loss index model from the perspective of social welfare effect. According to the empirical results,four conclusions are drawn： First, the efficiency of grain, soft commodities and forest products, oilseeds futures market is ranked from low to high. Second, most futures varieties have the highest market efficiency when the distance is 3-4 months. The signal is most effective. Third, after more than 3-4 months, as the expiration time increases, the market efficiency tends to decline, but the decline decreases. Fourth, with the extension of the listing period, the soybean and early indica futures market efficiency Improvement, the oilseeds futures market is more efficient and robust. Some factors affect the efficiency of the futures market, such as Market liquidity level, spot marketization degree, industry hedging participation and the 1-5-9 contracts of agricultural futures actively traded.

关 键 词：农产品期货市场 市场效率 社会福利效应 社会损失模型 预测偏差 

分 类 号：F323.7[经济管理—产业经济] F724.5