中国有色金属期货市场套期保值绩效的实证研究:2000-2004年被引量：14

Positive Research on Hedging Performance of China's Nonferrous Metal Futures:2000-2004

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摘要为了研究中国有色金属期货市场的套期保值绩效,笔者利用确定套期保值比率的简单最小二乘法(OLS)、双变量向量自回归(B-VAR)、误差修正(ECM)和广义自回归条件异方差(EC-GARCH)4个模型和套期保值绩效的衡量指标,对中国有色金属期货的套期保值比率和绩效进行实证研究。本文使用2000—2004年中国有色金属期货价格与现货价格的数据来进行单位根和协整检验等计量分析。研究显示,周数据的套期保值比率和绩效比日数据的套期保值比率和绩效高,考虑了协整关系的ECM模型和EC-GARCH模型的套期保值比率和绩效要比OLS模型和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。 In order to research hedging performance of China＇s nonferrous metal futures market, this articlemakes use of four models of ordinary least squares,bivariate-vector autoregression,error correction mechanism and error correction-generalized autoregressive conditional heteroscedasticity, together with the meas urement index, to empirically research the hedging ratio and performance of the China＇s nonferrous metal futures. The article econometrically analyzes the unit root,cointegration test and so on by using the data from 2000 to 2004. The results suggest that the week＇s hedging ratio exceeds the day＇s,that the hedging ratio of ECM and EC-GARCH with the cointegration relationship is higher than that of OLS and B-VAR and that the out-of-sample hedging effect is superior to inner sample＇s.

作者王骏张宗成

机构地区华中科技大学经济学院

出处《中国地质大学学报（社会科学版）》 2006年第1期46-51,共6页 Journal of China University of Geosciences(Social Sciences Edition)

基金国家自然科学基金资助项目(70441022) 中国期货业协会(第三期)联合研究计划资助项目(ZZ200507)

关键词中国有色金属期货套期保值比率与绩效协整误差修正模型广义自回归条件异方差模型 China＇s nonferrous metal futures hedging ratio and performance cointegration ECM ECGARCH

分类号 F832.5 [经济管理—金融学]

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