协整关系对期货套期保值策略的影响

The effect of the cointegration relationship on futures hedge strategy

经过研究发现 ,在有效市场中 ,现货和期货价格间存在着协整关系 ,而我们在实际的操作中 ,经常忽略这种关系 ,本文通过对相关模型的推导 ,给出了考虑与不考虑两种情况下的套期保值比率的公式 。

In many empirical studies,both spot and futures prices were shown to contain cointegration relationship on the basis of efficient markets hypothesis.However the cointegration relationship is always ignored in practice.In this article authors compare two kinds of formula of hedge ratios.one takes cointegration relationship into consideration,while the other does not.The difference results show that the cointegration relationship effect a lot on futures hedge strategy.