农产品期货价格波动性分析

Fluctuation Analysis of Futures Price of Agricultural Products

利用ARCH类模型对大连期货市场“黄豆一号”价格波动性的分析表明,我国农产品期货市场也存在国外成熟期货市场的特征,即波动“丛集性”、“尖峰厚尾”、“杠杆效应”等。用行为金融理论中的正反馈效应和“损失厌恶”分别分析了“丛集性”和“杠杆效应”产生的原因,表明投资者对一些信息(如宏观政策的出台等)过于重视,同时暗示了我国期货市场的投机性较强,还存在较大市场风险,需要监管部门与市场各方进一步加强风险预警与防范。此外,对波动性的研究,有利于政府的金融决策及宏观政策制定,也为研究对农产品期货的定价做好前期准备工作。

The analysis to the price fluctuation of ＂soybean No. 1＂ in Dalian futures market by ARCH model shows that the futures market of agriculture products in our country also has characters of abroad mature futures market, i.e.： ＂volatility clustering＂, ＂high peaks and fat tailed＂, ＂leverage effect＂.etc. Separately analyzed how ＂volatility clustering＂ and ＂leverage effect＂ produce with the method of ＂Positive feedback effect＂ and ＂loss aversion＂ of the behavior finance theory .The result indicated that the investors pay too much attention to some information（for example, macroscopic policy etc）, at the same time, suggested that our country futures market speculation is strong and have the big market risk, to which the department of supervisors and markets of all members need to pay more attention. Besides, the research of fluctuation, is always benefit for the government financial decision-making and macroscopic policy establishing, and is also benefit for the research of the agriculture products futures price-making.