异质信念、投机均衡与农产品期货定价*
HETEROGENEOUS BELIEFS,SPECULATIVE EQUILIBRIUM AND AGRICULTURAL COMMODITY FUTURES PRICING

摘要 农产品期货市场套利并不充分，交易者也不是完全理性的。本文假设农产品期货市场有限套利、交易者异质信念并遵循“经验法则”预期，构建了农产品期货投机均衡定价模型，并认为集中竞价规则下产生的农产品期货价格是由交易者的预期决定的；前期期货价格水平、现货价格和前期期货价格的变动趋势、不同类型交易者的比例结构及其预期模式共同影响农产品期货价格的形成与波动；基本分析法交易者占主导地位的农产品期货市场具有更高的套期保值与价格发现效率。针对中国七种主要农产品期货的实证结果显示，农产品期货投机均衡定价模型对解释中国农产品期货价格的形成与波动是有效的。这意味着在期货行情系统中实时披露现货价格信息，培育和引导交易者运用基本分析法预测期货价格走势，有助于提升农产品期货市场的效率。
Abstract： Agricultural commodity futures market is limited arbitrage and bounded rationality Assumed traders heterogeneous beliefs and expected in “rule of thumb”,this paper constructs a speculative equilibrium pricing model of agricultural commodity futuresThe model displays that agricultural commodity futures price is determined by traders expectationsThe futures price is influenced by pre futures price,spot and futures price change trend,traders structure and their expectation patternHedging and price discovery efficiency are higher in the market dominated by basic analysis tradersThe empirical tests on Chinas seven major agricultural commodity futures show that the equilibrium pricing model is effectiveIt means that disclosing spot price information,nurturing and guiding traders to predict with basic analysis can improve the efficiency of agricultural commodity futures markets