基于沪铜的展期套期保值研究

发布时间：2018-01-13 22:04

本文关键词：基于沪铜的展期套期保值研究　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：套期保值就是生产者、经营者、消费者等利用期货来对冲现货价格波动的风险,是人们管理风险的重要途径。正因为套期保值在现实生活中的重要性,国内外许多学者都对套期保值进行了研究。在Markwitz提出投资组合理论以后,用投资组合理论的视角来分析、解释套期保值理论成为主流。在这种背景下,对最佳套期保值比率的研究成为套期保值的核心问题之一。在不同目标函数之下,使用不同的计量估计方法,利用不同的效果评价标准,对最佳套期保值比率的研究不断发展。这也使得国内外的相关研究可谓是汗牛充栋,并且随着计量方法的不断发展,对最佳套期保值比率的估计也会不断扩展。然而,各位学者的实证研究表明：并没有一种计量方法估计出来的最佳套保比显著优于其它的最佳套保比。另一方面,套期保值中还有许多较小的问题值得研究,例如：套期保值的展期问题、套期保值的成本问题、套期保值的期限问题等等。这些问题对套期保值理论的发展也许显得不是那么重要,但是它们是套期保值理论在现实应用中必须解决的细节性问题,具有重要的现实意义,因此对这些问题的研究是具有必要性的。本文将集中研究展期套期保值策略,在借鉴其他学者相关研究的基础上,提出自己的见解。展期套期保值指套期保值者利用多个短期期货合约的滚动来进行长期的套期保值。套期保值之所以进行展期操作,是由于套期保值的时间需求超过了期货市场上相关期货合约的最长到期期限或者由于长期合约缺乏流动性,只能选择流动性较好的短期合约来进行替代。当然也有出于提高套期保值的收益而主动进行展期的,因为许多研究表明：在正向市场上卖出期货合约或者在反向市场上买入期货合约能获得可观的收益。建立新中国以来,我国期货市场的发展才20多年,相对国外发展比较成熟的期货市场而言,还显得比较年轻,其中的一个主要表现就是缺乏到期时期较长的品种,在期限较短的期货品种中,相对到期时期较长的合约的流动性还不好,这就突出了在我国进行展期套期保值的必要性和研究展期套期保值的现实意义。本文希望通过对展期套期保值的研究,能识别展期套期保值的风险因子,制定相应的套期保值策略,并比较各种策略的相对优劣,探讨套期保值的展期时机问题和展期合约选择问题。本文的主要结构为：第一章,导论部分,这章阐述了展期套期保值研究的选题背景、选题意义、研究方法和研究思路等相关问题。第二章,文献综述部分,这章阐述了与本文相关的一些理论,包括期货价格的定价理论、套期保值理论,并从套期保值的目标函数、最佳套期保值比率的计量估计方法、套期保值效果评价三个角度总结了有关最佳套期保值比率的理论研究,最后总结国内外有关展期套期保值的研究现状。第三章,展期套期保值风险分析部分,这章分解了单期套期保值组合收益和展期套期保值组合收益的表达形式,并运用持有成本理论进一步分解,用规范分析得出展期套期保值的风险因子为：现货价格、利率、储藏成本、便利收益。针对展期套期保值的风险特点,结合不同的风险对冲思路,提出了四种展期套期保值策略,包括简单成堆展期套期保值、MV成堆展期套期保值、递减型系列展期套期保值、不变型系列展期套期保值。第四章,展期套期保值策略的构建与实证,这章在第三章的基础上具体构建了四种展期套期保值策略的模型,在方差最小化的框架下,提出三种最佳套期保值比率的估计方法,分别是无远见策略、回溯递推法、整体规划策略,然后用这三种估计方法来估计除简单成堆展期套期保值策略外的其它三种展期套保策略的最佳套期保值比率。最后,本章以2003年8月1日到2012年12月31日的沪铜和长江现货铜数据为样本,实证对比了这四种策略三种估计方法十个最佳套期保值比率,并比较了套期保值效率、套期保值成本等问题。第五章,套期保值展期的时机和合约选择部分,这章研究展期套期保值更加细节化的问题：展期时机选择和展期合约选择。本章从分析期货价差的波动特征入手,以“期望+标准差”的组合形式来确定期货价差的正常波动区间,以期货价差突破正常波动区间作为主动展期的信号,并以沪铜数据为样本进行了实证分析；然后,本章以期货价差的相对排序作为展期时选择合约的依据,同样以沪铜数据为样本进行了实证分析,验证策略的有效性。第六章,总结和展望部分,这章总结了本文的研究,并指出了本文研究的不足和以后的研究方向。本文研究的主要成果： 1、在持有成本理论框架内,用规范分析的方法分解出展期套期保值的风险因子：现货价格、利率、储藏成本、便利收益。在此基础上,结合不同风险对冲思路,提出了四种展期套期保值策略。 2、全面对比研究了展期套期保值四种策略三种估计方法十个最佳套期保值比率。实证的结论如下： (1)从套保策略来看,系列展期套期保值的套保效率要高于成堆展期套期保值的套保效率。其中,不变型系列展期套期保值的套保效率要高于递减型系列展期套期保值的套保效率,MV(方差最小)成堆展期套期保值的套保效率要高于简单成堆展期套期保值的套保效率。 (2)从估计方法的效果来看,基于全阶段的整体规划策略取得的套保效率最高,而回溯递推法取得的套保效果一般要好于无远见策略取得的套保效果。 (3)从估计方法的成本来看,在成堆展期套期保值策略中,这三种方法估计出来的交易成本基本相同,而在系列展期套期保值策略中,用整体规划策略估计的交易成本最高,其次是用回溯递推法估计的交易成本,而用无远见策略估计的交易成本最低,且具有稳定性。 (4)从交易成本来看,系列展期套期保值的成本要高于成堆展期套期保值。其中,不变型系列展期套期保值的成本一般要高于递减型系列展期套期保值的成本,简单成堆展期套期保值的成本要高于MV成堆展期套期保值的成本。 (5)关于所选合约种类多少的问题。随着所选合约种类的增加,系列展期套期保值的套保效率不断提高,但是交易成本也急剧增加。然而对于不同的估计方法,交易成本的增加程度不同。其中,无远见策略的交易成本增加最小,回溯递推法的所需交易成本增加幅度次之,而基于全阶段的整体规划策略的交易成本增加最多。 3、结合其他学者的投资交易策略,本文提出了主动展期的区间突破策略,实证表明该策略能有效的提高持有期货的收益,从提高套期保值的收益；同时本文以期货价差相对大小来作为展期合约选择标准,从收益性和兼顾收益风险两个角度来看,该策略实证都取得不错的效果。本文的不足之处在于： 1、在计量方法的运用上,计量方法单一。在方差最小化的框架下,本文只简单运用了样本矩来进行估计,没考虑存在异方差和自相关的情况,没有应用比较新的计量方法,例如：双变量自回归模型、协整模型、M—GARCH模型、SV模型等,方法较为单一。 2、在实证对象的范围上,实证品种单一。由于我国同时拥有几个流动性较好的不同到期日的期货品种较少,本文只以我国比较成熟的沪铜为样本进行了实证研究。因此,本文提出的策略在其他期货品种上的效果如何,有待检验。 3、在展期套期保值的期限上,考查期限较短。为了便于横向比较,本文假定套期保值的期限仅为3个月,未涉及到长期的展期套期保值的实证研究。因此,本文未涉及到套期保值组合收益的时间价值问题以及现货数量是变化的情况。
[Abstract]:Hedging is a producer, operator, consumer risk using futures to hedge stock price fluctuations, the risk management is an important way for people. Because of the importance of hedging in real life, many domestic and foreign scholars on hedging are studied. After the proposed portfolio theory in Markwitz, with the portfolio theory to analyze, explain the theory of hedging has become the mainstream. In this background, the research on the optimal hedging ratio of hedging has become one of the core problems. Under different objective functions, using different methods of estimation, evaluation to the effect of different standards, research on the optimal hedge ratio of the development. It also makes related researches at home and abroad is an immense number of books, and with the continuous development of measurement methods, to estimate the optimal hedge ratio will continue Extended. However, empirical studies show that the scholars and no one measure of the estimated optimal hedging ratio was significantly better than the other optimal hedging ratio. On the other hand, hedging and many smaller problems worthy of study, for example: the extension of hedging, the cost of hedging, hedging period problems and so on. These problems in the development of the theory of hedging may become less important, but they are the details of the hedging theory must be solved in the practical application, has important practical significance, so the research on these issues is necessary. This paper will focus on the extension of the hedging strategy, on the basis of the related Research of other scholars, put forward their own views.
Renewal hedging refers to a number of rolling short-term futures contracts to long-term hedging hedging. The hedging is extended, hedging is due to the time demand exceeds the underlying futures contract on the futures market the longest maturity or long-term contract due to lack of liquidity, liquidity can only choose better short-term contracts to replace. Of course there are for improving hedging gains but active extension, because many studies have shown that: the sale of futures contracts in the forward market or in reverse on the market buy futures contracts can get considerable income. Since the establishment of new Chinese, the development of China's futures market is only 20 years, relative to foreign development the mature futures market, is still relatively young, a major manifestation of which is the lack of maturity of long period varieties, in In a shorter futures market, the liquidity of a relatively long maturity contract is not good, which highlights the necessity of carrying out the hedging in our country and the practical significance of studying the hedging.
We hope that through the study of hedges, can risk identification renewal hedging, formulate the corresponding hedging strategy, and compare the relative merits of various strategies, explore the hedging problem and extended contract renewal opportunity selection problem. In this paper the main structure:
The first chapter, the introduction part, this chapter describes the background of the study of hedging, the significance of the topic, research methods and research ideas and other related issues.
The second chapter, the literature review, this chapter expounds some theories related to this paper, including futures pricing theory, hedging theory, and the objective function of hedging, optimal hedging ratio estimation method of measurement, the hedging effect evaluation of the three angles summed up the theoretical research on the hedge ratio finally, summarizes the status of Research on hedges at home and abroad.
The third chapter, renewal hedging risk analysis part, this chapter decomposition expression form of the single period hedging portfolio return and renewal hedging portfolio returns, and the use of cost theory further decomposition, normative analysis risk factor to obtain renewal hedging for the cash price, interest rate, storage cost, convenience yield for the risk. The characteristics of rolling hedge, hedging with different ideas, put forward four kinds of rolling hedge strategy, including simple piles of hedges, MV stack and rolling hedge, decreasing series exhibition period hedging, the same series of hedges.
The fourth chapter, the construction and empirical renewal hedging strategy, this chapter on the basis of the third chapter of four kinds of rolling hedge strategy model in the framework of minimum variance estimation method is proposed under the three optimal hedge ratio, respectively, without vision strategy, backtracking recursive method, the overall planning strategy then, using the three estimation method to estimate than simple stack and rolling hedge strategy of the other three kinds of rollover hedging strategy the optimal hedging ratio. Finally, this chapter from August 1, 2003 to December 31, 2012 and the Yangtze River copper copper spot data as samples, the empirical comparison of the four strategies, three estimation methods for the ten best the hedging ratio, and compare the efficiency of hedging, hedging costs and other issues.
The fifth chapter, the timing and hedging delay selection part, this chapter studies the hedges more details of the problem: the extension of timing and extension. This chapter from the analysis of futures price volatility characteristics, to determine the normal range of the futures price to form expectations + standard deviation ", to the futures price break the normal fluctuation range as a signal of active extension, and empirical analysis to copper data sample; then, in this chapter, the relative ranking of the futures price as the extension when the choice of contract basis, the same with copper as the sample data for the empirical analysis, verify the effectiveness of strategies.
The sixth chapter, summary and prospect part, this chapter summarizes the study of this paper, and points out the shortcomings of this paper and the future research direction.
The main achievements of this paper are as follows:
In 1, the cost of holding within the theoretical framework, risk factor method with normative analysis exhibited decomposition period Hedging: spot price, interest rate, storage cost, convenience yield. On this basis, combined with the idea of different risk hedge, puts forward four kinds of rolling hedge strategy.
2, a comprehensive comparison is made to study the four kinds of hedging strategies, three methods, and ten best hedging ratios. The conclusions are as follows:
(1) from the hedging strategy, a series of rolling hedge hedging efficiency is higher than the efficiency of Paul set piles of rolling hedge. Among them, the same type of rolling hedge hedging efficiency is higher than the set of Paul efficiency decreasing series of hedges, MV (minimum variance) stack and rolling hedge sets Paul is more efficient than the simple and efficient set of piles of hedges.
(2) from the effect of the estimation method, the overall plan strategy based on the whole stage is the most effective, while the backtracking method is generally better than the hedging strategy.
(3) from the cost estimation method, in the stack and rolling hedge strategy, the transaction costs of the three methods estimated is basically the same, and in the series of rolling hedge strategy, transaction cost estimation of overall planning strategy is the highest, followed by the transaction cost by backtracking recursive method of estimation, and the lowest the transaction cost estimation strategy without vision, and has stability.
(4) from the view of transaction costs, the cost of a series of rolling hedge is higher than that of piles of rolling hedge. Among them, the same type of rolling hedge costs are generally higher than the decreasing series renewal hedging cost, simple stack and rolling hedge cost must be higher than the MV stack and rolling hedge cost.
(5) to a selected type of contract many problems. With the increase of the selected type of contract, a series of rolling hedge hedging efficiency continues to improve, but the transaction cost has increased dramatically. However, different estimation methods, increase the degree of transaction cost is different. Among them, the transaction cost improvident strategies increase the minimum, the should the transaction cost backtracking recursive method increases the transaction cost and the overall planning strategy of the whole stage based on the largest increase.
3, combined with the investment trading strategy of other scholars, this paper proposes active extension of the range of Breakthrough Strategies, empirical evidence shows that the strategy can effectively improve the income from holding futures hedging, increase income; at the same time based on the relative size of the futures price as an extension of selection criteria, from income and taking into account the income risk in two aspects the empirical strategy, have achieved good effect.
The shortcomings of this paper are as follows:
In 1, using the measurement method, the measurement method is single. In the framework of minimum variance, this paper simply uses the sample moments to estimate, not considering the heteroskedasticity and autocorrelation of the situation, there is no measurement method, a relatively new application such as double variable regression model, cointegration model, M GARCH model, SV model etc. the method is relatively simple.
2, in the range of empirical study on the empirical single species. In our country also have several good fluidity of different maturity futures, this paper makes an empirical study on China's only mature copper samples. Therefore, how to effect, this paper puts forward the strategy in other futures to be tested.
3, in the period of hedging period, examine a shorter period of time. In order to facilitate the comparison, this paper assumes that the hedging period of only 3 months, not related to the empirical research on long-term renewal hedging. Therefore, this paper did not involve the hedged portfolio return time value and quantity of the spot is change the situation.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F764.2

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