中国农业大学学报2024，Vol.29Issue(9)：255-270,16.DOI:10.11841/j.issn.1007-4333.2024.09.22
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
摘要
Abstract
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.关键词
农产品期货/套期保值效果/影响因素/结构方程模型Key words
agricultural product futures/hedging performance/influencing factor/structural equation model分类
经济学引用本文复制引用
栾昕,鞠荣华..中国农产品期货市场套期保值效果的影响因素[J].中国农业大学学报,2024,29(9):255-270,16.基金项目
国家社会科学基金资助项目(21BJY211) （21BJY211）
