农产品期货波动溢出效应及其跨品种套利研究——基于大豆、豆油和豆粕期货价格相关性的分析  

Fluctuation overflow effect in agricultural futures market and its cross-variety arbitrage research——Analysis of Correlation between Soybean, Soybean Oil and Soybean Meal Futures

作　　者：黄巍华[1] 王伟 Huang Weihua;Wang Wei

机构地区：[1]广西财经学院金融与保险学院

出　　处：《价格理论与实践》2021年第8期123-126,共4页Price:Theory & Practice

摘　　要：探索期货品种产业链上下游间的关系对于风险防范和套期保值具有重要意义。作为生产、生活中重要的农产品,大豆、豆油与豆粕之间具有较强的关联性,期货价格之间也存在一定的联系。本文对大豆、豆油、豆粕期货价格相关性进行了理论分析,在此基础上,以大连商品交易所2015年1月至2021年5月两种期货主力合约价格为研究对象,通过平稳性检验、协整检验、ECM模型、格兰杰因果分析等方法对大豆、豆油、豆粕期货价格进行实证分析,充分说明三类期货的跨品种套利具有良好的操作空间;进而对套利操作策略进行详细说明和实际模拟演示,并取得良好的套利模拟效果。基于此,本文提出应引导大豆压榨企业参与期市套保,以降低投资风险,利用跨商品套利实现价格的理性回归。Exploring the relationship between the downstream of the futures variety industry chain is of great significance for risk prevention and hedging. As important agricultural products in production and daily life, soybeans, soybean oil and soybean meal have a strong correlation, and there is also a certain connection between futures prices. In this paper, the theoretical analysis of soybeans, soybean oil, soybean meal futures prices. On this basis, the main contract price of two futures main contract prices in January 2015 from January to 2021, 2015, through stationary testing, Co-test, ECM model, Granger causal analysis, etc. And actual simulation demonstrations and achieve good arbitrage simulation. Based on this, this paper proposes to guide soybean crushing enterprises to participate in the market, to reduce investment risks, and use cross-commodity arbitrage to realize prices.

关 键 词：农产品期货 大豆期货 豆粕期货 跨品种套利 

分 类 号：F323.7[经济管理—产业经济] F724.5