钢材期货套期保值实证分析

An Empirical Analysis of Hedging in the Steel Futures Market

期货价格与现货价格的走势具有趋同性与趋合性的特征,使期货套期保值交易能够对冲现货市场价格波动风险,钢材套期保值者可根据钢材价格的基差变化进行相应的买入或卖出交易,以锁定成本甚至获利。但在实际操作中,套期保值者还必须考虑运输、吊装等费用以及不同市场的价格贴水情况,确定一种合理基差。同时,本文认为决定套期保值效果的唯一因素是套期保值开始和套期保值结束时的基差变化,选择最理想的基差时机进行套期保值,能够实现预期的套期保值效果。

The reason why hedging can help offset the risk of price fluctuation in the spot market is that the futures and spot price will be converging with each other. Hedgers in the steel futures market can lock the cost or gain profit by buying or selling in this market according to the steel price. But, in practice, they have to put the transportation cost, hoisting cost and the premium into consideration to determine a rational basis. The author believes that the only determinant of hedging effect is the changes in basis at the beginning and the end of the hedging. Only with the help of the hedging began at the most ideal opportunity in terms of the basis, will the expected hedging effect be realized.