中国铜期货套期保值有效性的实证研究.docVIP

PAGE PAGE 19 中国铜期货套期保值有效性的实证研究 摘要：期货的套期保值，就是在期货市场上进行价格风险的转移，具体操作就是将期货合约暂时代替将来要在现货市场上进行交易的现货商品，而对将来需要买进商品的价格进行保险或对其现在买进准备以后售出的商品的交易活动。据此，就可以把期货套期保值分为两类，即多头套期保值（即买入当期保值）与空头套期保值（卖出套期保值）。 本文所进行的实证研究，将利用上海期货交易所（SHFE）的铜期货2010-01-04～2015-03-31共1270个收盘价，以及其所对应的铜现货价格数据进行分析，采用的方法是最小风险套期保值方法，并且假定套期保值者是进行卖出套期保值的。最后将从套期保值有效性和进行套期保值后的风险与套期前的风险比较分析中得出结论：( 1 )在我国的铜期货市场上，套期保值是有效的，而且可以大大地降低投资者面临的风险；( 2 )随着年份的增加，套期保值的有效性指标基本在逐年增加，也就是说我国的铜期货市场基本上是日益趋于有效的。 关键词：套期保值；有效性；风险管理；最小风险套期保值 Empirical Research of Hedging Effect on Copper Futures of China Abstract: Hedging, means a trading activity that referring futures market as a means to transfer price risk, and referring futures contract as a temporary substitution of the spot goods which will be traded on the spot market, in order to insure the price of the products that will be bought in the future or that have been bought and will be sold in the future. Accordingly, it can be divided into two categories hedging, ie bull hedging (ie, the buying hedge ) and short hedging (selling hedging). This article will use 1270 closing prices of copper futures from 2010-01-04 to 2015-03-31 of the Shanghai Futures Exchange (SHFE), as well as its corresponding spot price of copper to make an empirical research. The approach is minimum risk hedging method. And we assumes that hedgers choose the selling hedging. Finally, we will make conclusions through a comparative analysis of risk from hedge effectiveness and risks before hedging and after hedging: (1) In our countrys copper futures market, hedging is effective and the risk of price after hedging is much smaller than the risk before hedging; (2) With the increase of the year, the effectiveness of hedging in the copper futures market can be considered to be substantially increased year by year, that is, our countrys copper market is basically becoming more and more effective. Keywords: Hedging; Effectiveness; Risk Management; Minimum Risk Hedging 一、引言 （一）选题背景与研究意义 现代经济的核心是金融，金融市场的核心是资本市场，而以期货为代表的衍生工具