我国橡胶期货套期保值效率的研究

发布时间：2018-03-16 19:14

本文选题：橡胶期货　切入点：现货价格　出处：《上海师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：天然橡胶期货自1952年在日本上市以来，经历较长时期的平稳发展。当前，新加坡交易所、日本工业品交易所、泰国农产品交易所和上海期货交易所是全球最主要天然橡胶期货交易市场。特别是随着中国期货市场的迅猛发展，上海天然橡胶期货的市场规模和影响力得到显著提升。目前，沪胶期货交易量稳居全球天然橡胶期货首位。从市场规模、成交量和流动性三个方面比较，沪胶期货已全面超越东京市场，从而为获得天然橡胶国际定价权奠定了基础，所以研究国内沪胶现货和期货有着比较重要的意义。我国从上个世纪90年代开始探索建立期货市场，，套期保值功能，已经作为重要的规避风险工具而大量被各类企业、投资以及投资者使用，在对商品或者资产进行套期保值时，会买卖一定比例的期货合约。不同比例的期货合约，会对套期保值效果产生不同的影响，因为期货价格和现货价格波动幅度并不完全相同。因此确定最优套期保值比率使得经过套期保值的资产组合所面临的风险最小成为了企业在套期保值操作过程中极其重要的问题，同时最优套期保值比率的确定也是套期保值理论研究的核心和重点。本文基于以上的观点对于上海橡胶期货和国内的现货价格进行研究，利用OLS模型估计套期保值比率，再利用多元GARCH模型中的BEEK-GARCH模型、CCC-MVGARCH模型、DCC-MVGARCH模型对现货和期货日收益率进行研究，来估计最优套期保值率。发现用不同模型估计出的投资组合收益率同，规避风险程度也不同。应用静态OLS模型估计出的套期保值比率进行套期保值比没有进行套期保值的投资组合标准差小，也就是规避风险能力强，而应用动态模型估计出的套期保值比率做出的相应套期保值模型比没有进行套期保值或者OLS模型的规避风险能力更好，进一步的，使用动态DCC-GARCH模型规避风险能力最好。从而得出多元动态模型在研究套期保值比率方面具有比较好的有优势。这些研究可以为市场参与者期货监管部门提供有价值的市场信息，是十分具有意义的
[Abstract]:Natural rubber futures have been listed in Japan for a long time since 1952. At present, the Singapore Stock Exchange, the Japan Industrial products Exchange, The Thai Agricultural products Exchange and the Shanghai Futures Exchange are the world's leading natural rubber futures markets. In particular, with the rapid development of the Chinese futures market, the market size and influence of Shanghai Natural Rubber Futures have been significantly increased. At present, The trading volume of Shanghai Rubber Futures has steadily ranked first in the world's natural rubber futures. Compared with the market size, trading volume and liquidity, Shanghai Rubber Futures has overtaken the Tokyo market in an all-round way, thus laying the foundation for obtaining the international pricing power of natural rubber. Therefore, the study of domestic Shanghai glue spot and futures has a relatively important significance. In -10s, China began to explore the establishment of futures market, hedging function, as an important risk-averse tool, has been used by a large number of enterprises, investments and investors, in the hedging of commodities or assets, Will buy and sell a certain proportion of futures contracts. Different proportions of futures contracts will have different effects on the hedging effect. Because futures and spot prices do not fluctuate in exactly the same range. Therefore, determining the optimal hedging ratio makes it possible for a hedging portfolio to face the least risk in the course of a firm's hedging operation. Extremely important issues, At the same time, the determination of optimal hedging ratio is also the core and focus of hedging theory. Based on the above viewpoints, this paper studies Shanghai rubber futures and domestic spot prices, and uses OLS model to estimate hedging ratio. Then using the BEEK-GARCH model CCC-MVGARCH in the multivariate GARCH model to study the spot and futures daily rate of return, the optimal hedging rate is estimated. It is found that the return rate of the portfolio estimated by different models is the same. Using static OLS model to estimate the hedge ratio, the standard deviation of the portfolio without hedging is small, that is, the risk avoidance ability is strong. And the corresponding hedging model estimated by dynamic model is better than the one without hedging or OLS model. The dynamic DCC-GARCH model has the best ability to avoid risk, and it is concluded that the multivariate dynamic model has a good advantage in the study of hedging ratio. These studies can provide valuable market information for the futures regulatory authorities of market participants. Is very meaningful.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5;F224

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