新上市主要农产品期货价格泡沫及其特征  

Price Bubbles in Newly-listed Agricultural Futures and Their Characteristics

作　　者：倪子越 张有望 李崇光[1] NI Ziyue;Zhang Youwang;LI Chongguang(College of Economics&Management,Huazhong Agricultural University,Wuhan 430070;College of Economics&Management,Northeast Agricultural University,Harbin 150030)

机构地区：[1]华中农业大学经济管理学院,湖北武汉430070 [2]东北农业大学经济管理学院,黑龙江哈尔滨150030

出　　处：《湖南农业大学学报（社会科学版）》2019年第4期83-90,共8页Journal of Hunan Agricultural University(Social Sciences)

基　　金：国家自然科学基金项目(71673103;71803058);华中农业大学自主科技创新基金项目(2662017QD023)

摘　　要：基于GSADF方法,考察了中国2013年后上市的农产品期货价格泡沫的存在性,并对泡沫的特征进行了分析,结果表明:有5个品种发生了总计18次价格泡沫,纤维板期货无论在发生泡沫的次数还是总泡沫天数上都是最高的,苹果期货出现泡沫的频率最高,并且存在“打新”现象,而胶合板期货价值偏离基本价格面的程度最重。从泡沫特征来看:2018年的泡沫天数最多,而2016年12月泡沫比重最高,其余大部分月份的泡沫比重都较低;各品种总泡沫长度差距明显,纤维板期货的总泡沫长度最长且泡沫次数最多,棉纱期货则完全相反,并且单次泡沫长度大多不到10天;价格泡沫事件的次数在不同交易所间反向变动,表明投机资本在不同品种和不同交易所间存在轮动效应。Based on the GSADF test,the article examines the existence of price bubbles in Chinese agricultural futures listed after 2013 and their features.The results show that during the sampling period,eighteen price bubbles occurred in five Chinese agricultural futures.In terms of price bubbles,the times and days of fiberboard futures ranked the highest while the frequency of the apple futures market occurs the highest,with speculation in its newly listing period;and plywood futures deviate from its fundamentals most heavily.As for characteristics of price bubbles it can be found that:(1)the year 2018 witnessed the most total days of price bubbles whereas December 2016 found the highest proportion of price bubbles with lower percentages in the rest of months;(2)Stark difference can be found in the length of all futures’total bubbles.The Fiberboard futures market leads both in bubbles’total length and times while cotton yarn futures market is completely opposite.(3)Times of price bubble change reversely among different futures exchanges,which indicates venture capital takes turns in speculating the varieties and exchanges of different futures.

关 键 词：农产品期货 价格泡沫 泡沫特征 期货监管 

分 类 号：F724.5[经济管理—产业经济]