基于高频数据的铜期货核心功能研究

Research on Core Functions of Copper Futures Based on High Frequency Data

期货市场始终以服务实体经济为核心,铜期货对于服务铜上下游企业等实体经济具有重要的参考价值和意义。通过高频数据,实证研究沪铜期货和长江有色市场铜现货的价格发现和套期保值功能。首先通过Granger因果检验等工具验证沪铜期货和长江有色市场铜现货之间的价格发现功能,发现二者具有相互的价格发现功能,但是铜期货对铜现货的价格引领作用更加明显;其次通过VAR和ECM等套期保值模型,实证研究了沪铜期货对长江有色市场铜现货的套期保值功能,套期保值效果较为明显;最后则是通过测算和分析,确定了沪铜期货对长江有色市场铜现货的最优套保率,铜上下游企业则可以通过最优套保率管理风险敞口,实现市场风险的有效转移。

The futures market always centers on the service for the real economy,so does that of copper futures as a member of the futures market.Therefore,the core roles of price discovery and hedging function the Shanghai copper futures play are of important reference value and significance for serving the upstream and downstream copper enterprises and other real economy.This paper will empirically study the price discovery and hedging functions of copper futures in Shanghai and copper spot in Yangtze River non-ferrous market on the base of high-frequency data.Firstly,the price discovery function between copper futures in Shanghai and copper spot in Yangtze River nonferrous market is verified through Granger Causality Test and other tools,it is found that copper futures in Shanghai and copper spot in Yangtze River nonferrous market have functions of mutual price discovery,but the leading role of copper futures in price of copper spot is more obvious;Secondly,the hedging function of the Shanghai copper futures on copper spot in Yangtze River nonferrous market is empirically studied through VAR and ECM hedging model,which shows a relatively obvious hedging effect.Finally,the optimal hedge ratio of Shanghai copper futures to copper spot in the Yangtze River non-ferrous market is determined through calculation and analysis,and the upstream and downstream copper enterprises can manage their risk exposure through the optimal hedge ratio,so as to realize the effective transfer of market risk.