“保险+期货”的套期保值比率和绩效评估研究--以黄玉米为例

An Experimental Study on the Hedging Ratio and Performance of“Insurance+Futures”:Taking Yellow Corn as an Example

以2015年1月5日至2020年2月28日大连商品交易所黄玉米期货合约和三级黄玉米现货为样本,使用OLS、B-VAR、GARCH等模型计算套期保值绩效,确定最优套期保值比率。研究发现:保险公司只要参加套期保值,皆可降低风险;OLS模型确定的套期保值比率具备最佳的套期保值效果;延长套期保值期限可获得更强的套期保值效果;农业保险对应“保险+期货”的套期保值期限远长于经销商等主体时,风险降低效果显著;我国期货市场的有效性还有待提高,保险公司在参与“保险+期货”时须保持谨慎。

In this paper,the closing price of yellow corn futures contract and the three-level yellow corn spot quotation containing 14%moisture were taken as samples from January 5,2015 to February 28,2020.OLS,B-VAR,GARCH and other models were used to calculate hedging performance and determine the optimal hedging ratio.The study found that:insurance companies can reduce risks as long as they participate in hedging;The hedging ratio determined by OLS model has the best hedging effect.Prolonging the hedging period can get stronger hedging effect.When the hedging period of agri-cultural insurance corresponding to“insurance+futures”is much longer than that of dealers,the risk reduction effect is significant;The effectiveness of China’s futures market needs to be improved,and insurance companies need to be cautious when participating in“insurance+futures”.