摘要
通过对上交所期铜合约的套期保值功能进行实证分析 ,发现套期保值的效果与选择的策略和套期保值比率紧密相关。上交所期铜合约的最优套期保值比率低于 1 ,在短期内 ,最优的套期保值比率仅为 0 .5。随着套期保值期限的增加 ,最优的套期保值比率也不断变大。在风险最小化的框架下比较了不同套期保值策略的效绩 ,结果表明虽然传统的套期保值在一定程度上可以起到转移风险的作用 ,但是基于最小方差的套期保值策略优于传统的策略。
the paper analyzes the hedging function of Shanghai Future Exchange in China, and finds that the selecting strategy of hedging and the estimated hedge ratio play an important role in the practice of hedging. The optimal hedge ratio is less than 1, and with the increase of hedge horizon, the optimal hedge ratio increases at the same time. Under the frame of minimizing the risk, the performance of different strategies is also compared. Though, in general, the conventional hedging can transfer the risk of spot market, the strategy of minimum variance hedge prefers the conventional hedge.
出处
《华中科技大学学报（社会科学版）》
2004年第2期51-54,共4页
Journal of Huazhong University of Science and Technology(Social Science Edition)
基金
国家自然科学基金资助项目 (70 1 72 0 46)
关键词
期货市场
现货市场
最优套期保值比率
futures markets
merchandise on hand markets
Optimal Hedge Ratio
