价格异常与不对称相关结构下套期保值策略——来自亚洲股指期货市场的实证

Abnormal price behavior and the hedging strategy with the asymmetric structure

在不对称相关结构下,尾部区域期货和现货价格联动模式异常复杂,传统套期保值策略在极端价格行为下将不可避免地出现系统性偏差。为此,恰当的连接函数被引入描述尾部区域的价格联动模式,依据MV框架构建局部套期保值策略,以解决极端价格行为下的套期保值问题。对亚洲市场日经指数和恒生指数期货套期保值的实证研究表明:(1)采用Rotated Gumbel连接函数,在传统MV策略(全局策略)下,虽然在降低套保组合方差方面没有明显优势,但日经指数和恒生指数期货的套期保值成本将显著下降,套保组合收益/组合方差的比率显著上升;(2)如果套期保值者能够对未来形成可靠预期,套期保值的成本将进一步下降,并且现货价格风险也得到有效控制。

Under traditional hedging framework, the factor of extreme volatility has been ignored. As the existence of asymmetric correlation, tail dependence of the prices of futures with its underlying asset, become very complicated, which will cause hedging strategy to be unavoidable and systematic deviation when OLS adapted. So proper copulas will be introduced to describe the price co-movement, and partial hedging strategy should be constructed based on MV, in order to solve the hedging dilemma when extreme volatility exists. The empirical study on the NIKKI 225 index futures and HSI index futures shows that, （1） Although the variance reduction based on Gumbel copulas-GARCH doesn＇t significantly decrease, hedging cost reduction of both the markets is outstanding; （2） If hedgers have the reliable expectation on future price movement, partial hedging can decrease the hedging cost more without having negative effects on risk control.