中国期货市场套期保值绩效实证研究

Empirical Study on Hedging Performance of Chinese Futures Market

为了研究中国期货市场的套期保值绩效,本文利用确定套期保值比率的OLS、B-VAR、ECHM和EC-GARCH四个模型和套期保值绩效的衡量指标,对中国期货的小麦、大豆、铜和铝的套期保值比率和绩效进行了实证研究,使用1998￣2004年中国期货与现货价格的周数据来进行单位根和协整检验等计量分析。研究显示,金属期货品种的套期保值比率和绩效比农产品期货品种的套期保值比率和绩效都要高。考虑了协整关系的ECHM和EC-GARCH模型的套期保值比率和绩效比没有考虑协整关系的OLS和B-VAR模型高,样本区间外的套期保值绩效优于样本区间内的绩效。本文认为采用ECMH和EC-GARCH模型进行套期保值是最佳的策略。

Four hedging models of OLS,B-VAR, ECHM and EC-GARCH and measurement index are used for an empirical study of hedging ratio and effect of Chinese commodity futures products, for the purpose of an empirical study of Chinese hard wheat, soybean,copper and aluminum futures market.Weekly data of Chinese futures and cash market 1998-2004 were used for an analysis of a co-integration test of unit root.The results suggest the hedging ratio and performance of nonferrous metal futures exceeds those of farm product futures.The hedging ratio and performance of the ECHM and EC-GARCH exceeds these of OLS and B-VAR,out-of-sample hedging effect is superior to that of inner-sample.It is therefore believed that it is the best strategy to use ECHM and EC-GARCH.