中国农产品期货主力及近月合约套期保值效果研究

A Study of the Hedging Effect of Recent Main Chinese Agricultural Future

主力合约和近月合约的偏离是中国期货市场特有的现实问题,它在一定程度上阻碍对中国期货市场功能的发挥。文章以ZCE棉花和DCE豆一期货为代表对中国农产品期货市场进行研究,研究发现,中国ZCE棉花和DCE豆一期货的近月合约套期保值效果明显优于主力合约套期保值效果,但均远远低于发达期货市场的套期保值效果。根据研究结果,本研究结合实际提出几个有针对性的措施,以利于中国农产品期货功能的发挥。

The deviation between dominant contracts and nearby contracts is an extraordinary thing in Chinese Futures markets. After constructing the time series of dominant contracts and nearby contracts of ZCE cotton futures and DCE soybean futures, tests for Co-integration between them are carried out. Their different hedging performances are also studied by employing the Error Correct Model in this paper. Some interesting results are obtained. The hedging performance of DCE soybean futures and ZCE cotton futures nearby contracts are better than dominant contracts＇ significantly. But their hedging performances are worse than theirs in developed futures markets. Based on this fact, some advices are proposed. Chinese enterprises related to soybean and cotton would hedge by using DCE soybean futures and ZCE cotton futures nearby contracts. More works would be done for the consistence of dominant contracts and nearby contracts in order to the functioning of DCE soybean futures and ZCE cotton futures.