上海金属期货市场避险效率探究.docVIP

上海金属期货市场避险效率探究摘 要：对期货市场避险效率的研究无论是对投资者，还是对期货市场监管部门都具有极其重要的指导意义。本文运用一元线性回归（通常称为OLS）、向量自回归(VAR)模型、向量误差修正模型(VECM)以及VAR-MGARCH模型四种方法研究了上海期货市场的铜、铝、锌三种期货产品的避险比率和避险效率。通过样本外滚动预测分析发现：(1)OLS在铜和锌中表现较好，VAR和VECM在铝中表现较好，VAR-MGARCH在各种情况下表现均较差；(2)随着期限的增加，避险效率呈现出减小的趋势；(3)锌的避险效率最高，并且随期限增加而减小的速度最慢；(4)铜的避险效率最高可达到78%以上，铝最高可以达到82%以上，锌最高可以达到87%以上,总体来讲,上海金属期货市场效率较高。 关键词：避险比率；避险效率；金属期货市场 中图分类号：F830.9 文献标识码：A 文章编号：1003-5192(2012)04-0039-07 A Study on Hedging Effectiveness in Shanghai Metal Futures Market CHUN Wei-de1, LI Xiao-yan1,2, CHEN Wang2, WANG Pu1 (1.Business School, Chengdu University of Technology, Chengdu 610059, China; 2.School of Economics Management, Southwest Jiaotong University, Chengdu 610031, China) Abstract:The study on effectiveness of futures market is useful and helpful for both the investors and regulator of futures market. In this paper, we research the hedging effectiveness of copper, aluminum and zinc which listed in Shanghai Futures Exchange(SHFE). Various models are used to estimate hedging ratio: Linear Regression(often referred to as OLS), Vector Autoregressive(VAR), Vector Error Correction Model(VECM)and VAR-MGARCH model. The results of out-of-sample prediction show that: (1)OLS performance is better for copper and zinc, VAR and VECM performance is better for aluminum, and VAR-MGARCH performance is poor in all cases; (2)The hedging effectiveness decreases with the deadline increasing; (3)The hedging effectiveness of zinc is best, and reducing slowest with the deadline increasing; (4)The optimal hedging effectiveness of copper could be above 78%, aluminum could be above 82% and zinc could be above 87%, generally speaking, Shanghai metal futures markets are efficient. Key words:hedging ratio; hedging effectiveness; metal futures market 1 引言 避险（又称套期保值）是期货市场的重要职能之一。通常情况下可以将参与期货合约交易的投资者分为三类：避险者、投机者和套利者，避险者参与期货合约的交易是为了规避现货市场价格波动的风险，投机者和套利者是为了获取高额收益通常也需要承担更大的风险，这些风险就是由于避险者不愿意承担转而由投机者和套利者承接下来以换取获得高额收益的机会；另一方面，通过期货市场避险也是可行的，若期货市场与现货市场的价格差异较大，便会出现套利