中国油脂期货市场效率研究
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摘要
中国是世界上最主要的油脂油料生产和消费国,油脂生产消费对国外市场依赖程度极大,植物油(含进口油籽折油)市场对外依存度超过60%。目前中国食用油自给率约为40%。一般认为达到60%的自给率才是安全的。中国已提出用5年左右时间把食油自给率恢复到50%左右。自2003/04年度以来,就单一国家进口而言,中国成为世界植物油进口第一大国,到2007年,中国国内豆油、棕榈油、菜籽油三大食用油脂的进口量均位列世界第一位,进口总量占全球贸易量的18%。2007年开始的全球金融危机,也引起了国内主要油脂油料产品价格的大幅涨跌。如果没有一个成熟完善的期货市场,没有在国际油脂市场上的话语权,价格波动风险将无法回避。一国期货市场的效率高低是判断一国期货市场发展成熟和完善程度的主要标准。提高期货市场效率,让期货市场有效运行,价格发现和套期保值功能充分发挥,最终形成具有国际定价权的期货市场,是发展和完善中国油脂期货市场的根本目的。
期货市场效率的评价涉及到多个方面,本文基于有效性市场理论、金融市场微观结构理论、行为金融学理论构建了油脂期货市场效率评价体系,主要从信息效率、运行效率、功能效率与国际定价效率四个方面来评价中国油脂期货市场效率
中国油脂期货市场从产生以来价格波动出现了典型的牛市、熊市和调整市特征,本文在研究中国油脂期货市场效率问题时将期货市场分为市场价格上升阶段(牛市),市场价格下降阶段(熊市)和市场价格调整阶段(调整市)三个阶段来研究中国油脂期货市场的效率不对称特征。研究的主要结论如下：
1、对中国油脂期货市场信息效率评价。信息效率是市场效率的基础,本文在对期货市场的信息效率进行分析时,采用带虚拟变量的TARCH模型对期货市场的周日历效应进行了检验。结果表明,中国油脂期货市场存在周日历效应,不同价格波动阶段分别存在正的“周一效应”或负的“周二效应”或二者兼备,市场不符合弱式有效条件。中国油脂期货市场信息效率较低。
2、对中国油脂期货市场运行效率的评价。本文选择从交易成本和市场流动性的角度对中国油脂期货市场的运行效率进行了研究和评价,在对中国油脂期货市场存在的各项显性交易成本进行分析的基础上,采用价格冲击模型构建了基于交易成本的市场流动性分析模型,通过实证研究发现,中国油脂期货市场的流动性现状可以总结为：熊市的交易频率最高,其次是调整市,牛市最低；而在牛市阶段和熊市阶段单位交易量和单位交易频率变动均引发了较大的价格波动,此时市场的交易成本较高,波动风险增大,市场流动性较差。综合比较来看,调整市阶段的市场流动性最好,其流动性效率最高。
3、对中国油脂期货市场功能效率评价。本文对中国油脂期货市场价格发现功能和套期保值功能实现的程度及效率进行了验证。选择近交割月合约、第二期合约和第四期合约为研究对象,采用自回归和移动平均(ARMA)模型和误差修正模型(ECM)对中国油脂期货市场牛市、熊市和调整市下的价格发现效率分别进行了评估。实证结果表明,中国油脂期货市场在不同时期价格发现效率不同,不同品种期货市场价格发现效率也不同。其中,棕榈油期货在牛市和熊市中价格发现不足,在调整市中近交割月合约具有价格发现效率；豆油期货在牛市中价格发现过度,在熊市中近交割月合约和第二期合约具有价格发现效率,在调整市中价格发现不足；菜籽油期货在牛市中价格发现过度,在熊市和调整市中价格发现不足。
本研究使用带常数项、趋势项和参数项漂移的变结构协整对传统的套期保值模型进行了误差修正,选择主力合约为研究对象,对中国油脂期货市场豆油、棕榈油、菜籽油的动态最优套期保值率进行了计算。结果表明中国油脂期货市场套期保值的效率较低。中国油脂期货市场可以降低现货市场的风险,但不能完全消除风险,无法实现完美的套期保值。三种油脂期货市场最优套期保值率比较而言,棕榈油期货市场套期保值效率相对较高,豆油期货市场套期保值效率居中,菜籽油期货市场套期保值效率最低。
4、对中国油脂期货市场国际定价效率的评价。一个具有国际定价权的成熟完善的期货市场是中国发展油脂期货市场的最高目的。本文采用SVAR模型对国内外油脂期货市场价格传导机制进行了研究,同时考虑了价格传导中不同市场价格间即期和滞后效应。在模型构建中将汇率视为外生变量考虑在内。实证结果表明中国油脂期货市场不具备大豆油、菜籽油和棕榈油期货的国际定价权,国际定价效率低。美国芝加哥期货交易所(CBOT)和加拿大温尼伯期货交易所(ICE)分别是世界豆油和菜籽油的定价中心,马来西亚大马商品交易所(BMD)不具备棕榈油期货的国际定价权。人民币汇率升值对国内油脂期货价格有较大的影响但对国外油脂期货市场价格影响不显著。
5、提高中国油脂期货市场效率的对策建议。中国油脂期货市场总体效率低下,市场发展不成熟。通过和国际成熟期货市场比较,本文从培育中国油脂期货市场交易主体、增加油脂期货市场上市品种、创新油脂期货市场交易制度和交易规则、加强油脂期货市场监管等方面提出了有针对性的对策建议。在增加油脂新品种方面探讨了中国花生油期货品种上市的可行性。
China is the world's leading countries in producing and consuming oil, and greatly depend on foreign markets, especially the external dependence of Vegetable oil market exceed more than 60%. Self-sufficiency rate of China's current oil is about 40%, generally when self-sufficiency rate reach 60%, we can think it is safe. China has put forward to return oil the self-sufficiency rate to 50% during 5 years. Since the year of 2003/2004, in terms of a single and imported country, China has become the world's superpower country who imports more vegetable oil than other countries, and the imported volume of Soy Oil、Palm Oil、Rapeseed Oil ranked the first in the world, account for 18% of total global trade. The global financial crisis which start from 2007 also Caused Substantially Change of the major domestic fuel oil price. If we do not have a mature and sound futures market, not have the right to speak in the international oil market, we will be unable to avoid Risk of price fluctuation. The efficiency of the futures market of a country is the main criteria to judge a country's level of development and maturity of futures market. Fundamental purpose of oil futures markets'Development and improve is to Improve the efficiency of futures markets and effectively operate in the futures market, to fully play the function of Price discovery and hedging, so finally form the futures market which have the right to price in international.
Since the Evaluation of Futures market's efficiency involves a number of aspects, this article constructs the system of the oil futures market efficiency's evaluation based on the market theory of Effectiveness、Financial market Microstructure Theory、Behavioral Finance, we Evaluated the efficiency of China's oil futures market from Four aspects: Information Efficiency、operating efficiency、Functional efficiency、International pricing efficiency.
Price's volatility bear the characteristics of the typical bull market, bear market and adjustment market since Chinese oil futures market come into being, this article divided the futures market into three stages, which includes the stage of Market prices'rising、Market prices'decline and Market price adjustments, to Study asymmetric characteristics of Chinese oil futures market efficiency. The main conclusions are as follows:
1. Evaluation of Chinese oil futures market's information efficiency. As Information efficiency is the basis of market efficiency, this article tested Week Effect in the futures market using a mode of TARCH with dummy variables when we analyzed the information efficiency in the futures market. The results show that Week Effect exists in the Chinese oil futures market; there were the positive "Monday effect" or negative "Tuesday effect," or both exists during the different stages of price volatility, and Market do not meet the weak and valid conditions. China has the low efficient information oil futures market.
2. Evaluation of Chinese oil futures market's operational efficiency. This paper research and evaluate the Chinese oil futures market's operational efficiency from the transaction's cost and liquidity. Based on the analysis of the dominant presence of transaction costs in Chinese oil futures market, we constructed the model of analyzing market's liquidity based on transaction cost by the Model of price shocks Through empirical analysis, we can draw such conclusion as below, the liquidity situation of the oil futures market in our country could be summarized as transaction frequency of the bear market is the highest, followed by adjusting market and the bull market is the lowest, however the variation of the unit business volume and the unit transaction frequency has triggered the huge price fluctuations in the bull market stage and the bear market stage, at the meantime the market transaction cost is relatively high, the fluctuation risk increases and the market fluidity is relatively poor. Comprehensively speaking, the market fluidity of the adjusting market stage is the best and the efficiency of liquidity is also the highest.
3. Evaluation of Chinese oil futures market's function efficiency. In this paper, we verify the degree of implementation and efficiency of the Chinese oil futures market's price discovery and hedging functions. We Select recent front-month contract、Second Contract and Phase IV contract as study's object, and apply model of ARMA and ECM to evaluate efficiency of the Chinese oil futures market's price discovery separately in bear market, bull market and adjustment market. The empirical results show that Chinese oil futures market price discovery efficiency is different at different times, and futures market price discovery efficiency of different varieties are different. Palm oil futures prices are insufficient found in a bull market and bear market, and the efficient of the price discovery are efficient in Adjustment market in recent front-month contract; Soybean oil futures price discovery in the bull market are excessive, in recent front-month contract and the second contract are efficient in price's discovery In a bear market, the price's discovery are insufficient in Adjustment market; Rapeseed oil futures price's discovery are excessive in the bull market, In a bear market and adjustment market are insufficient.
The study use the variable structure co-integration with a constant term, trend term and parameter term drift to correct the error of traditional hedging model, choose the main contract as the research object; calculate the dynamic optimal hedge ratio of soy oil, palm oil and rapeseed oil in Chinese oil futures market. The results show that the hedge efficiency of Chinese oil futures market is low. We can reduce the risk of spot market, but can't completely eliminate the risk and achieve perfect hedge in Chinese oil futures market. Compare with the dynamic optional hedge ratio of the three oil futures market, the hedge efficiency of palm oil futures market is high; the hedge efficiency of soy oil futures market is in middle, the hedge efficiency of rapeseed oil futures market is lowest.
4. The evaluation of international pricing efficiency on Chinese oil futures market. The highest purpose of the development of Chinese oil futures market is a mature and perfect futures market that possesses the right of international pricing. Using SVAR model, the paper study the price transmission mechanism of national and international oil futures market, consider the spot effect and lag effect between the different market prices in price transmission. The exchange rate is as a external variable in the model. The empirical results show that the Chinese oil futures market doesn't have the right of international pricing on soy oil futures, rapeseed oil futures and palm oil futures; the efficiency of international pricing is low. CBOT and ICE is the pricing center of soy oil and rapeseed oil futures. BMD don't have the right of international pricing on palm oil futures. The influence of the appreciation of RMB exchange rate on national oil futures market is great, but the influence on international oil futures market is not significant.
5. The suggestions of improving the efficiency of Chinese oil futures market. The overall efficiency of Chinese oil futures market is very low, and the development of market is immature. Compare with the mature international futures market, the paper give the targeted suggestions on fostering the market player of oil futures market, increasing the varieties of oil futures market, innovating the market trading system and trading rules of oil futures market, strengthening the regulation of oil futures market and so on. In terms of increasing the new varieties of oil futures, we probe the feasibility of the listing of peanut oil futures in China.
期货市场效率的评价涉及到多个方面,本文基于有效性市场理论、金融市场微观结构理论、行为金融学理论构建了油脂期货市场效率评价体系,主要从信息效率、运行效率、功能效率与国际定价效率四个方面来评价中国油脂期货市场效率
中国油脂期货市场从产生以来价格波动出现了典型的牛市、熊市和调整市特征,本文在研究中国油脂期货市场效率问题时将期货市场分为市场价格上升阶段(牛市),市场价格下降阶段(熊市)和市场价格调整阶段(调整市)三个阶段来研究中国油脂期货市场的效率不对称特征。研究的主要结论如下：
1、对中国油脂期货市场信息效率评价。信息效率是市场效率的基础,本文在对期货市场的信息效率进行分析时,采用带虚拟变量的TARCH模型对期货市场的周日历效应进行了检验。结果表明,中国油脂期货市场存在周日历效应,不同价格波动阶段分别存在正的“周一效应”或负的“周二效应”或二者兼备,市场不符合弱式有效条件。中国油脂期货市场信息效率较低。
2、对中国油脂期货市场运行效率的评价。本文选择从交易成本和市场流动性的角度对中国油脂期货市场的运行效率进行了研究和评价,在对中国油脂期货市场存在的各项显性交易成本进行分析的基础上,采用价格冲击模型构建了基于交易成本的市场流动性分析模型,通过实证研究发现,中国油脂期货市场的流动性现状可以总结为：熊市的交易频率最高,其次是调整市,牛市最低；而在牛市阶段和熊市阶段单位交易量和单位交易频率变动均引发了较大的价格波动,此时市场的交易成本较高,波动风险增大,市场流动性较差。综合比较来看,调整市阶段的市场流动性最好,其流动性效率最高。
3、对中国油脂期货市场功能效率评价。本文对中国油脂期货市场价格发现功能和套期保值功能实现的程度及效率进行了验证。选择近交割月合约、第二期合约和第四期合约为研究对象,采用自回归和移动平均(ARMA)模型和误差修正模型(ECM)对中国油脂期货市场牛市、熊市和调整市下的价格发现效率分别进行了评估。实证结果表明,中国油脂期货市场在不同时期价格发现效率不同,不同品种期货市场价格发现效率也不同。其中,棕榈油期货在牛市和熊市中价格发现不足,在调整市中近交割月合约具有价格发现效率；豆油期货在牛市中价格发现过度,在熊市中近交割月合约和第二期合约具有价格发现效率,在调整市中价格发现不足；菜籽油期货在牛市中价格发现过度,在熊市和调整市中价格发现不足。
本研究使用带常数项、趋势项和参数项漂移的变结构协整对传统的套期保值模型进行了误差修正,选择主力合约为研究对象,对中国油脂期货市场豆油、棕榈油、菜籽油的动态最优套期保值率进行了计算。结果表明中国油脂期货市场套期保值的效率较低。中国油脂期货市场可以降低现货市场的风险,但不能完全消除风险,无法实现完美的套期保值。三种油脂期货市场最优套期保值率比较而言,棕榈油期货市场套期保值效率相对较高,豆油期货市场套期保值效率居中,菜籽油期货市场套期保值效率最低。
4、对中国油脂期货市场国际定价效率的评价。一个具有国际定价权的成熟完善的期货市场是中国发展油脂期货市场的最高目的。本文采用SVAR模型对国内外油脂期货市场价格传导机制进行了研究,同时考虑了价格传导中不同市场价格间即期和滞后效应。在模型构建中将汇率视为外生变量考虑在内。实证结果表明中国油脂期货市场不具备大豆油、菜籽油和棕榈油期货的国际定价权,国际定价效率低。美国芝加哥期货交易所(CBOT)和加拿大温尼伯期货交易所(ICE)分别是世界豆油和菜籽油的定价中心,马来西亚大马商品交易所(BMD)不具备棕榈油期货的国际定价权。人民币汇率升值对国内油脂期货价格有较大的影响但对国外油脂期货市场价格影响不显著。
5、提高中国油脂期货市场效率的对策建议。中国油脂期货市场总体效率低下,市场发展不成熟。通过和国际成熟期货市场比较,本文从培育中国油脂期货市场交易主体、增加油脂期货市场上市品种、创新油脂期货市场交易制度和交易规则、加强油脂期货市场监管等方面提出了有针对性的对策建议。在增加油脂新品种方面探讨了中国花生油期货品种上市的可行性。
China is the world's leading countries in producing and consuming oil, and greatly depend on foreign markets, especially the external dependence of Vegetable oil market exceed more than 60%. Self-sufficiency rate of China's current oil is about 40%, generally when self-sufficiency rate reach 60%, we can think it is safe. China has put forward to return oil the self-sufficiency rate to 50% during 5 years. Since the year of 2003/2004, in terms of a single and imported country, China has become the world's superpower country who imports more vegetable oil than other countries, and the imported volume of Soy Oil、Palm Oil、Rapeseed Oil ranked the first in the world, account for 18% of total global trade. The global financial crisis which start from 2007 also Caused Substantially Change of the major domestic fuel oil price. If we do not have a mature and sound futures market, not have the right to speak in the international oil market, we will be unable to avoid Risk of price fluctuation. The efficiency of the futures market of a country is the main criteria to judge a country's level of development and maturity of futures market. Fundamental purpose of oil futures markets'Development and improve is to Improve the efficiency of futures markets and effectively operate in the futures market, to fully play the function of Price discovery and hedging, so finally form the futures market which have the right to price in international.
Since the Evaluation of Futures market's efficiency involves a number of aspects, this article constructs the system of the oil futures market efficiency's evaluation based on the market theory of Effectiveness、Financial market Microstructure Theory、Behavioral Finance, we Evaluated the efficiency of China's oil futures market from Four aspects: Information Efficiency、operating efficiency、Functional efficiency、International pricing efficiency.
Price's volatility bear the characteristics of the typical bull market, bear market and adjustment market since Chinese oil futures market come into being, this article divided the futures market into three stages, which includes the stage of Market prices'rising、Market prices'decline and Market price adjustments, to Study asymmetric characteristics of Chinese oil futures market efficiency. The main conclusions are as follows:
1. Evaluation of Chinese oil futures market's information efficiency. As Information efficiency is the basis of market efficiency, this article tested Week Effect in the futures market using a mode of TARCH with dummy variables when we analyzed the information efficiency in the futures market. The results show that Week Effect exists in the Chinese oil futures market; there were the positive "Monday effect" or negative "Tuesday effect," or both exists during the different stages of price volatility, and Market do not meet the weak and valid conditions. China has the low efficient information oil futures market.
2. Evaluation of Chinese oil futures market's operational efficiency. This paper research and evaluate the Chinese oil futures market's operational efficiency from the transaction's cost and liquidity. Based on the analysis of the dominant presence of transaction costs in Chinese oil futures market, we constructed the model of analyzing market's liquidity based on transaction cost by the Model of price shocks Through empirical analysis, we can draw such conclusion as below, the liquidity situation of the oil futures market in our country could be summarized as transaction frequency of the bear market is the highest, followed by adjusting market and the bull market is the lowest, however the variation of the unit business volume and the unit transaction frequency has triggered the huge price fluctuations in the bull market stage and the bear market stage, at the meantime the market transaction cost is relatively high, the fluctuation risk increases and the market fluidity is relatively poor. Comprehensively speaking, the market fluidity of the adjusting market stage is the best and the efficiency of liquidity is also the highest.
3. Evaluation of Chinese oil futures market's function efficiency. In this paper, we verify the degree of implementation and efficiency of the Chinese oil futures market's price discovery and hedging functions. We Select recent front-month contract、Second Contract and Phase IV contract as study's object, and apply model of ARMA and ECM to evaluate efficiency of the Chinese oil futures market's price discovery separately in bear market, bull market and adjustment market. The empirical results show that Chinese oil futures market price discovery efficiency is different at different times, and futures market price discovery efficiency of different varieties are different. Palm oil futures prices are insufficient found in a bull market and bear market, and the efficient of the price discovery are efficient in Adjustment market in recent front-month contract; Soybean oil futures price discovery in the bull market are excessive, in recent front-month contract and the second contract are efficient in price's discovery In a bear market, the price's discovery are insufficient in Adjustment market; Rapeseed oil futures price's discovery are excessive in the bull market, In a bear market and adjustment market are insufficient.
The study use the variable structure co-integration with a constant term, trend term and parameter term drift to correct the error of traditional hedging model, choose the main contract as the research object; calculate the dynamic optimal hedge ratio of soy oil, palm oil and rapeseed oil in Chinese oil futures market. The results show that the hedge efficiency of Chinese oil futures market is low. We can reduce the risk of spot market, but can't completely eliminate the risk and achieve perfect hedge in Chinese oil futures market. Compare with the dynamic optional hedge ratio of the three oil futures market, the hedge efficiency of palm oil futures market is high; the hedge efficiency of soy oil futures market is in middle, the hedge efficiency of rapeseed oil futures market is lowest.
4. The evaluation of international pricing efficiency on Chinese oil futures market. The highest purpose of the development of Chinese oil futures market is a mature and perfect futures market that possesses the right of international pricing. Using SVAR model, the paper study the price transmission mechanism of national and international oil futures market, consider the spot effect and lag effect between the different market prices in price transmission. The exchange rate is as a external variable in the model. The empirical results show that the Chinese oil futures market doesn't have the right of international pricing on soy oil futures, rapeseed oil futures and palm oil futures; the efficiency of international pricing is low. CBOT and ICE is the pricing center of soy oil and rapeseed oil futures. BMD don't have the right of international pricing on palm oil futures. The influence of the appreciation of RMB exchange rate on national oil futures market is great, but the influence on international oil futures market is not significant.
5. The suggestions of improving the efficiency of Chinese oil futures market. The overall efficiency of Chinese oil futures market is very low, and the development of market is immature. Compare with the mature international futures market, the paper give the targeted suggestions on fostering the market player of oil futures market, increasing the varieties of oil futures market, innovating the market trading system and trading rules of oil futures market, strengthening the regulation of oil futures market and so on. In terms of increasing the new varieties of oil futures, we probe the feasibility of the listing of peanut oil futures in China.
引文
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6 数据来源：中国期货业发展报告2009,中国财政经济出版社,2009年11版,31—32
7 资料来源：网易财经。网址：http://money.163.com/09/0803/19/5FQKT4K400253B0H.html
8 资料来源：大连新闻网。网址：www.daliandaily.com.cn
9 资料来源：和讯期货网。网址：http://futures.hexun.com/2009-11-09/121618560.html
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13 黄伟,基于隐性交易成本的期货市场交易策略研究,上海交通大学博士论文,2009,1
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4 李艺,汪寿阳.大宗商品国际定价权研究,北京：科学出版社,2007年,176-177
5 朱国华,褚块海.期货市场学,上海：上海财经大学出版社,2004年,474
6 数据来源：中国期货业发展报告2009,中国财政经济出版社,2009年11版,31—32
7 资料来源：网易财经。网址：http://money.163.com/09/0803/19/5FQKT4K400253B0H.html
8 资料来源：大连新闻网。网址：www.daliandaily.com.cn
9 资料来源：和讯期货网。网址：http://futures.hexun.com/2009-11-09/121618560.html
10 郭晓利,论中国期货市场创新发展,期货日报,2002年5月28日
11 刘二斌,交易费用范式下金融产品与金融中介机构变迁的研究,厦门大学博士论文,2006,4
12 彭新育,沈群,有关交易成本测度的评述,生态经济,2008年8期,41-46
13 黄伟,基于隐性交易成本的期货市场交易策略研究,上海交通大学博士论文,2009,1
24 曲三省,增加农民收入与发展农产品期货市场研究,价格月刊,2008年第1期,42—44
25 杨健,中国发展期货基金的可行性,证券日报,2006年11月4日
26 数据来源：中期公司2009年年报
27 田晓军,期货新品种上市机制研究,证券市场导报,2005年9月,17-22
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