我国黄金期货套期保值绩效的实证研究

Empirical Analysis on Gold Products Futures Hedging Functions in China

运用协整检验、误差修正模型等对2008年1月9日到2008年11月14日上海期货交易所黄金期货合约的套期保值功能进行研究,结果表明:我国黄金期货套期保值比率为0.643983,套期保值绩效为0.72052996,黄金期货市场具有良好的套期保值功能。

This paper investigates the hedging function of gold futures contracts in Shanghai Futures Exchange from January 9, 2008 to November 14, 2008 by using Cointegration Test and ECM .It shows that the hedging ratio is 0.643983 and the hedging function is 0.72052996 in gold futures market and the hedging function of futures market in China has been displayed mainly.