中国大豆套期保值绩效实证研究

The empirical research on soybean hedging and hedging effectsof china

利用大豆期货的套期保值功能系统研究套期保值比率和套期保值绩效。现系统研究大商所0811大豆期货合约和该期货合约存续期间我国东北地区大豆现货价格之间的关系,利用最小二乘法、套期保值绩效和套期保值最优比率和套期保值绩效回归方程三个模型从时间和空间上考察套期保值比率和绩效的关系,分析中国大豆期货市场的套期保值功能是否得到了充分发挥。

The paper studied the ratio and effects of the hedge by using the soybean futures'functional system. The paper studied the relationship between the Dalian commodity exchange's 0811 soybean futures' contract and the soybean's spot price in northeast of China while this contract is coming into force,and the relationship between the ratio and effects of the hedge from the points of time and space by using ordinary least square,hedge effects and regression equation of the hedge effects,and then analyzed whether the function of the hedge in china's soybean's futures market can be given into full play.This paper is going to find an answer through empirical study.