| 粮食金融化背景下投机行为与国际粮价波动——以大豆期货为例 |
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| 引用本文： | 李霜,祁华清,樊琦.粮食金融化背景下投机行为与国际粮价波动——以大豆期货为例[J].粮食科技与经济,2014,39(6):20-23. |
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| 作者姓名： | 李霜 祁华清 樊琦 |
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| 作者单位： | 武汉轻工大学经济与管理学院,湖北武汉,430023 |
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| 基金项目： | 国家科技部软科学研究项目“基于粮食金融化趋势的我国粮食安全战略量化研究”，湖北省教育厅人文社会科学项目“中国需求对国际粮价异常波动的影响途径与量化研究” |
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| 摘 要： | 利用CFTC公布的COT持仓报告数据检验了2006年6月至2013年7月大豆期货价格和投机性持仓两者间的关系,通过构造投机多头头寸变化率、投机多头头寸占比和投机净头寸3种度量投机力量的指标,发现3种指标均与大豆期货价格正相关,其中投机多头头寸变化率能更好地预测大豆价格的变动.由于投机行为有推高粮食价格的潜在危害,监管机构应当加强监管防止投机资金对粮食衍生品市场的过度投机.
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| 关 键 词： | 投机行为 粮价波动 粮食金融化 大豆期货 |
The Impact of Speculation on International Grain Price,Analysis of the Soybean Future with the Background of Grain Financialization |
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| Li Shuang,Qi Huaqing,Fan Qi.The Impact of Speculation on International Grain Price,Analysis of the Soybean Future with the Background of Grain Financialization[J].Grain Technology and Economy,2014,39(6):20-23. |
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| Authors: | Li Shuang Qi Huaqing Fan Qi |
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| Institution: | (School of Economics and Management, Wuhan Polytechnic University, Wuhan, Hubei 430023) |
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| Abstract: | Using COT position report published by the CFTC,this paper investigates the relationship between soybean future prices and speculative positions from 2006 June to 2013 July. By constructing three different indexes,including long positions change held by speculators, percent of long position and percent net long position, the result reveals that three indicators are positively correlated with soybean future prices. Speculative long positions change rate in particular could better predict the soybean price changes. Because of the potential hazards of the speculation pushing up grain prices,regulators should strengthen supervision to prevent excessive speculation in the grain derivatives market. |
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| Keywords: | speculation grain price fluctuation grain financialization soybean future |
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