摘要
对自2004年"国九条"颁布以来SHFE铝期货市场的长期限合约的套期保值比率与绩效进行研究,给出了一个寻求长期限合约的最优套期保值比率的新方法。为克服数据量较小的困难,运用新技术——协整序列分解模型进行研究,采用更一般的数据选取方法,发现不同的铝期、现货价格序列(二周、三周)均存在显著的协整关系;在此基础上得到任意期限的最优套期保值比率,所得结果与现有研究有明显不同:对于较长的套期保值期限,利用不同的时间单位进行套期保值,最优套期保值比率存在明显差异,但相差不大;利用较长时间单位的数据,得到的最优套期保值比率越大,对应的套期保值绩效也越好。
Optimal hedging ratio and performance of multi - horizon futures contract in SHFE AL futures markets after the issuing of ＂Some suggestions on developing security markets from State Council＂ in 2004 is investigated in this paper. A new method for finding optimal hedging ratio and measuring performance is demonstrated. The decomposition model for Co - integration time series is employed in order to avoid a small sample size. Through a general method coinciding with practice for data selection, Co - integration between different spot and futures price time series is found. Based on this fact, some different results from the earlier are obtained. There are significantly different hedging ratios with small difference between these two different horizons. Longer time unit corresponds to lager hedging ratio, and in tum higher hedging performance.
出处
《软科学》
CSSCI
2008年第3期45-48,共4页
Soft Science
基金
国家自然科学基金项目(70501025
70572089)
关键词
期货
套期保值比率
协整
长期限合约
futures
hedge ratio
Co - integration
long - horizon futures contract
