金杯电工股份有限公司铜期货套期保值研究

发布时间：2018-04-21 07:23

本文选题：套期保值 + 铜期货　；参考：《湘潭大学》2013年硕士论文

【摘要】：21世纪以来，随着国内监督制度的进一步完善，我国期货市场的运行稳定，其风险管理功能也得到了大幅度的提高，并伴随着我国资本市场的飞速发展，其风险功能将得到有效提升。随着经济全球进程的加快，我国的生产企业进入了国际贸易的各个环节，而由于原材料价格的大幅变动，将会对企业的生产经营造成了很大的困扰。如何应对价格波动风险，是当前众多企业需要解决的难题。如何应对价格波动风险，是当前众多企业需要解决的难题。因此，作为涉铜企业，通过铜期货价格运行规律的分析以及套期保值模型的构建，建立合理有效的套期保值方案，不仅能够有效指导企业更为灵活更为科学的进行套期保值，而且也希望能对有色金属企业的套期保值提供借鉴意义。本文首先阐述了套期保值的相关理论及国内外研究现状并了解了套期保值的原理、功能及作用。随后，对铜期货价格的运行规律进行分析，研究铜期货价格与现货价格之间的关系以及影响铜期货价格波动的因素，进而对涉铜企业在当前的市场环境下参与套期保值的现状进行分析，指出套期保值对涉铜企业的重要性。同时，通过对该企业进行调研后，，对该企业套期保值业务中存在的主要问题进行了梳理，利用Copula-GARCH模型计算套期保值比率以便于指导铜期货套期保值方案的实施。最后，在此基础上，结合模型的估计结果与金杯电工股份有限公司的实际生产经营状况来设计铜期货套期保值方案。
[Abstract]:Since the 21st century, with the further improvement of domestic supervision system, the operation of China's futures market has been stable, its risk management function has also been greatly improved, and accompanied by the rapid development of China's capital market. Its risk function will be effectively enhanced. With the acceleration of the global process of economy, the production enterprises of our country have entered every link of international trade. However, due to the large changes in the prices of raw materials, the production and management of enterprises will be greatly troubled. How to deal with the risk of price fluctuation is a difficult problem that many enterprises need to solve. How to deal with the risk of price fluctuation is a difficult problem that many enterprises need to solve. Therefore, as a copper-related enterprise, through the analysis of the operation law of copper futures price and the construction of hedging model, the establishment of a reasonable and effective hedging scheme can not only effectively guide enterprises to carry out hedging more flexibly and scientifically. And also hope to be able to non-ferrous metal enterprises to provide reference for hedging. This paper first describes the theory of hedging and the current research situation at home and abroad, and understand the principle, function and function of hedging. Then, the paper analyzes the operation law of copper futures price, studies the relationship between copper futures price and spot price and the factors that affect the fluctuation of copper futures price. Then the paper analyzes the current situation of copper enterprises participating in hedging under the current market environment, and points out the importance of hedging to copper enterprises. At the same time, through the investigation of the enterprise, this paper combs the main problems in the hedging business of the enterprise, and calculates the hedging ratio by using Copula-GARCH model to guide the implementation of the copper futures hedging scheme. Finally, based on the results of the model and the actual production and operation situation of Jinbei Electric Co., Ltd, the hedging scheme of copper futures is designed.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F426.32;F724.5

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