中国棉花期货市场套期保值功能实证研究

Empirical Study of Hedging Function of China's Cotton Futures Market

运用OLS、B-VAR、ECM和B-GARCH方法对中国棉花期货市场套期保值比率进行了分析,并利用套期保值的绩效衡量指标对中国棉花期货市场套期保值功能发挥情况作了实证研究。研究结果表明:采用OLS和B-VAR套期保值模型计算得到的套期保值比率和绩效要优于考虑了协整关系的ECM和B-GARCH模型计算的结果;在棉花现货经营周期内,中国棉花期货市场套期保值功能的发挥随着套期保值期限的延长而逐渐提高。

The paper uses Ordinary Least Squares （OLS） , Bivariate Vector Autoregressive （B-VAR） , Error Correction Mechanism （ECM） and Bivariate Generalized Autoregressive Conditional Heteroscedastieity （B-GARCH） models to analyze the hedge ratio of China＇ s cotton futures market, and studies the hedging function of China＇ s cotton futures market with hedging perfermance index. The results indicate that hedge ratio and hedging performance of OLS and B-VAR models are better than those of ECM and B-GARCH models taking cointegration into account. In general, the hedging performance is shown more efficiently with the hedging period being prolonged.