我國豆粕基差波動的影響因素與交易策略研究

Abstract

Soybean meal is one of the main products after soybean pressing, mainly used in the feed and food industry. In recent years, with the rapid growth of soybean meal production and consumption in China, enterprises in the industry have generally used futures tools for hedging. However, due to differences in time and regional markets, the spot prices and futures prices of goods do not fully match for most of the time, and simply hedging cannot completely avoid price risk.

The difference between the spot price and the corresponding futures price is the basis, which can be avoided by designing corresponding over-the-counter contracts for trading. Basis trading has the advantages of low margin occupation, low volatility and frequency, flexible application, and effective connection between upstream and downstream industries. It has become the mainstream trading form in the soybean meal market. Studying the influencing factors of the fluctuation of soybean meal basis in China and applying them not only has practical guiding significance for the business decision-making of relevant enterprises, but also has important significance for the healthy development of the domestic grain and oil industry and feed industry.

There are many influencing factors on the basis difference of soybean meal, which can be analyzed from different perspectives. Firstly, according to the classical basis warehousing theory, the factors that affect the basis of soybean meal are various storage and transportation costs. Correspondingly, in China, where soybean imports are the main source, the costs related to soybean imports will affect the basis of soybean meal; Secondly, the supply and demand relationship in the soybean meal spot market affects both spot and futures prices, but the impact on both is different, thus forming the basis and direct influencing factor of the soybean meal basis; Finally, the trading situation in the market also affects the volatility of the basis. Studying the impact and interaction mechanisms of various factors on the fluctuation of soybean meal basis in China from different perspectives and mastering their changing patterns will be helpful for enterprise management and industry management.

This paper comprehensively utilizes actual business data of enterprises and publicly available market data, and uses time series analysis method to study the relevant factors of domestic soybean meal basis fluctuation.

Firstly, study the time series characteristics and applications of soybean meal basis differences in China. On the basis of verifying that the basis of soybean meal in China is a stationary time series, an ARMA (2,1) model was constructed to predict the basis. At the same time, an analysis was conducted on the relationship between China's soybean meal spot market and futures market. The study showed that although China's soybean meal futures market has a price discovery function, that is, there is a long-term cointegration relationship between soybean meal spot prices and futures prices, but there is no symmetrical price volatility spillover relationship between the two. Soybean meal futures prices have a volatility spillover effect on spot prices, and vice versa.

Secondly, study the impact of various factors on the basis difference of soybean meal in China from different perspectives. Firstly, the extension and validation of the basis warehousing theory. Based on the characteristics of soybean imports in China, relevant cost factors, including sea freight, interest rates, exchange rates, etc., are verified to have a significant correlation with the basis difference of soybean meal in China. Secondly, the relationship between basis and supply and demand fundamentals. While studying the Granger causal relationship between basis and cost difference, profit difference, disk profit and spot profit, the focus was on studying the relationship between variables representing supply and demand fundamentals, such as soybean meal spot inventory consumption ratio, soybean meal inventory consumption ratio, and inventory quantity, and basis. Research has shown that when the spot stock to consumption ratio of soybean meal is less than 4, it forms a Granger causality with the soybean meal basis, while the soybean meal stock to consumption ratio and inventory can also represent the supply and demand fundamentals, forming a Granger causality with the soybean meal basis. Thirdly, the relationship between basis and market trading conditions. Research has shown that there is a one-way Granger relationship between turnover rate and basis, but there is no significant relationship between increase in position ratio and basis.

Finally, study the relationship between soybean meal basis and related commodity basis. Mainly studied the relationship between soybean meal basis and imported soybean basis and soybean oil basis. Research has shown that the CNF premium on imported soybeans constitutes a Granger causality relationship with the basis, while the basis does not constitute a Granger causality relationship with the CNF premium on imported soybeans. In addition, although the soybean meal basis and soybean oil basis do not form a Granger causality relationship, they have a significant negative correlation.

Based on the above research on the basis of soybean meal in China, this article has optimized the basis trading strategies of relevant enterprises, including trading optimization based on basis prediction models, trading optimization based on supply and demand fundamentals, and cross commodity basis arbitrage strategies, all of which can achieve improvement in basis trading.

Date of Award	24 Oct 2023
Original language	Chinese (Traditional)
Awarding Institution	City University of Hong Kong
Supervisor	Tao LI (Supervisor) & Yifan Xu (External Supervisor)