中国农产品期货主力及近月合约套期保值效果研究魏振祥.pdfVIP

微观结构 中国农产品期货主力及近月合约套期保值效果研究 1 22, 3, 3 魏魏振祥振祥 高 勇 高 勇 ((1. 西安交通大学管理学院， 陕西 西安 710049；2. 北京大学经济学院，北京 100871；1. 西安交通大学管理学院， 陕西 西安 710049；2. 北京大学经济学院，北京 100871； 33. 郑州商品交易所博士后工作站，河南 郑州 450008). 郑州商品交易所博士后工作站，河南 郑州 450008) 摘要：主力合约和近月合约的偏离是中国期货市场特有的现实问题，它在一定程度上阻碍对中国期货市场功能的发挥。 文章以ZCE棉花和DCE豆一期货为代表对中国农产品期货市场进行研究，研究发现，中国ZCE棉花和DCE豆一期货的近月合 约套期保值效果明显优于主力合约套期保值效果，但均远远低于发达期货市场的套期保值效果。根据研究结果，本研究 结合实际提出几个有针对性的措施，以利于中国农产品期货功能的发挥。 关键词：棉花期货；豆一期货；套期保值效果；主力合约；近月合约 Abstract: The deviation between dominant contracts and nearby contracts is an extraordinary thing in Chinese Futures markets. After constructing the time series of dominant contracts and nearby contracts of ZCE cotton futures and DCE soybean futures, tests for Co-integration between them are carried out. Their different hedging performances are also studied by employing the Error Correct Model in this paper. Some interesting results are obtained. The hedging performance of DCE soybean futures and ZCE cotton futures nearby contracts are better than dominant contracts’ signifi cantly. But their hedging performances are worse than theirs in developed futures markets. Based on this fact, some advices are proposed. Chinese enterprises related to soybean and cotton would hedge by using DCE soybean futures and ZCE cotton futures nearby contracts. More works would be done for the consistence of dominant contracts and nearby contracts in order to the functioning of DCE soybean futures and ZCE cotton futures. Keywords: cotton futures, soybean futures, hedging performance, dominant contract, nearby contract 作者简介：魏振祥，西安交通大学管理学院博士生，郑州商品交易所产品部总监，研究方向：期货和期权金融衍生品。 高勇，北京大学经济学院和郑州商品交易所博士后，研究方向：金融工程和公司理财。 中图分类号：F830.9 文献标示码：A 场，由