中国农产品期货市场套期保值效果的影响因素

Influence factors of hedging performance in China agricultural futures market

为厘清中国农产品期货市场套期保值效果的影响因素,利用结构方程模型,从基差风险、期货市场流动性、现货市场结构、期货市场制度、是否有对应的期货外盘、是否有对应的场内期权和投资者结构7个方面,分析各因素对农产品期货市场套期保值效果的直接和间接作用,探讨各因素的作用路径、作用方向和程度。结果表明:1)农产品期货市场基差风险和流动性是影响套期保值效果的中介因素;2)农产品完全竞争市场结构通过增加基差风险对套期保值效果产生间接的负向影响;3)不合理的农产品期货市场制度对套期保值效果产生直接的负向影响,并通过降低期货市场流动性对套期保值效果产生间接的负向影响;4)农产品有对应期货外盘对套期保值效果产生直接的正向影响,并通过提高期货市场流动性对套期保值效果产生间接的正向影响:5)农产品有对应期权合约通过降低基差风险和提高期货市场流动性对套期保值效果产生间接的正向影响。基于以上研究结论,本研究提出应监测农产品期货市场套期保值效果的中介因素,优化农产品期货市场制度,完善农产品风险管理工具等建议。

To clarify the factors affecting the hedging performance in China agricultural futures market,this study uses a structural equation model to analyze the direct and indirect effects of factors on the hedging performance in agricultural futures market from seven aspects,e.g.basis risk,futures market liquidity,spot market structure,futures market system,whether there are corresponding foreign futures,whether there are corresponding on-market options and investor structure.Furthermore,this study discusses the action path,direction and degree of each factor.The results show that:1)The basis risk and liquidity of agricultural futures market are the intermediary factors affecting the hedging performance.2)The perfectly competitive market structure of agricultural products has an indirect negative impact on hedging performance by increasing the basis risk.3)The irrational futures market system of agricultural products has a direct negative impact on hedging performance,and an indirect negative impact on the hedging performance by reducing the liquidity of the futures market.4)The corresponding foreign futures market of agricultural products has a direct positive impact on hedging performance,and an indirect positive impact on hedging performance by improving the liquidity of futures market.5)The corresponding option contract of agricultural products has an indirect positive impact on hedging performance by reducing basis risk and improving the liquidity of futures market.Based on the research conclusions,suggestions of monitoring the intermediary factors of the hedging performance in agricultural futures market,optimizing the system of agricultural futures market,and improving the risk management tools of agricultural products are put forward in this study.