中国黄金期货与现货市场的相关性及其套期保值研究

Relationship and Portfolio Hedging between Spot and Futures Returns:Evidence from Chinese Gold Markets

通过构建VAR-DCC-MVGARCH模型,检验2008—2011年中国黄金期货与现货市场的相关性,并分析最小化资产组合风险的最优套期保值率及其绩效,结果表明:黄金市场仅存在着现货收益率对期货收益率的单向影响;收益率的波动间具有高度正相关的时变特征;动态套期保值组合能够有效地规避黄金现货的投资风险。

By constructing a VAR-DCC-MVGARCH model, this paper studies relationships and hedg- ing strategies between spot and futures returns from 2008 to 2011 in Chinese gold markets. The research has useful information for formulating portfolio hedging, regulating markets and controlling risk. Results indi- cate that there only exists unidirection impact from spot to futures returns, and volatilities of returns exhibit have not only time-varying features but also highly positive correlation. Finally, the model is shown to pro- duce more efficient hedging strategieso