商品期货的风险分散效果研究

发布时间：2018-09-04 17:22

【摘要】：目前,世界经济的发展日新月异,全球金融的发展已经进入趋势增长的新阶段,这些都推动着商品期货这一新兴的衍生品工具在国内的迅猛发展。投资者在进行资产配置时逐渐倾向于将商品期货加入到原有资产组合,商品期货投资作为新兴的风险管理手段已经进入了新的发展阶段。马克维茨的证券投资组合理论曾提出在原有的资产组合中加入与其相关程度较低的资产能够使该资产组合的风险降低。那么,商品期货与传统资产之间的相关性如何?能否切实有效地改善投资者效用呢?国外的很多文献指出:商品期货具备价格发现、套期保值功能,除此,由于其金属类资产具备特有的金融属性,以及商品期货本身与现货之间的关系,商品期货还具有抵御通胀、分散投资风险的功效,因此很多国外投资者将商品期货添加到传统投资组合里以优化资产配置,这些做法目前都取得了显著的成果。只是由于国内商品期货起步时间比较晚,期货市场发展还不够成熟,因此结合本国国情来研究商品期货风险分散价值的文章较为有限。本文试图从商品期货与传统资产之间的相关性出发,再通过对比在投资组合中加入商品期货前和后夏普比率的变化来研究商品期货的风险分散价值功效。本文应用MATLAB软件通过DCC-MVGARCH模型得出我国以上证综指、中证债券为代表的股票市场、债券市场和以大连期货交易所的玉米、大豆期货合约,郑州商品交易所的棉花期货合约,上海期货交易所的黄金、铝、铜、橡胶期货合约为代表的商品期货市场之间的时变动态相关性。从时变动态相关系数的波动率以及长期趋势来看,沪金和玉米这两种期货产品与股票、债券之间的相关性程度较低。本文对商品期货风险分散能力进行实证检验,以马克维茨的证券组合理论作为依据,将样本商品期货逐步加入到资产组合中,通过MATLAB编程得到当无风险报酬率是0.004时各资产配比,从而得到以股票、债券、期货作为一揽子资产组合时的投资策略。经过实证检验研究比较发现,在国内市场,当无风险收益率为0.004时,将样本商品期货进行两两组合后加入到传统投资组合中,夏普比率会有不同幅度提高,进一步验证了商品期货可以有效分散资产组合风险,提高投资组合的效用。由此,从投资者分散投资风险、提高投资效用的角度看,建立一个成熟稳定的商品期货市场具有重要的现实意义。
[Abstract]:At present, with the rapid development of the world economy, the development of global finance has entered a new stage of trend growth, which has promoted the rapid development of commodity futures, a new derivative tool in China. Investors tend to add commodity futures to the original portfolio when they allocate assets. As a new risk management means, commodity futures investment has entered a new stage of development. Markowitz's portfolio theory once proposed that the risk of the portfolio can be reduced by adding the assets with low correlation to the original portfolio. So what is the correlation between commodity futures and traditional assets? Can the effectiveness of investors be effectively improved? Many foreign literatures have pointed out that commodity futures have the function of price discovery and hedging. In addition, because of the unique financial properties of their metal assets, and the relationship between commodity futures themselves and spot, Commodity futures can also resist inflation and diversify investment risk, so many foreign investors add commodity futures to traditional portfolios to optimize asset allocation, which have achieved remarkable results. Only because of the late start time of domestic commodity futures, the futures market is not mature enough, so the article to study the dispersed value of commodity futures risk is limited. Based on the correlation between commodity futures and traditional assets, this paper tries to study the effect of risk dispersion value of commodity futures by comparing the changes of the ratio of commodity futures before and after the addition of commodity futures to the portfolio. This paper applies MATLAB software through DCC-MVGARCH model to obtain the stock market, bond market, corn, soybean futures contract and cotton futures contract of Zhengzhou Commodity Exchange, which are represented by Shanghai Composite Index and China Stock Exchange. The time-varying dynamic correlation among commodity futures markets represented by Shanghai Futures Exchange's gold, aluminum, copper and rubber futures contracts. According to the volatility of time-varying dynamic correlation coefficient and the long-term trend, the correlation between Shanghai gold and corn futures products and stocks and bonds is low. Based on Markowitz's portfolio theory, the sample commodity futures are gradually added to the portfolio. Through MATLAB programming, the ratio of each asset is obtained when the risk-free return rate is 0.004, and the investment strategy is obtained when stocks, bonds and futures are used as a portfolio of assets. The empirical study shows that in the domestic market, when the risk-free yield is 0.004, the sample commodity futures will be added to the traditional portfolio after pairwise portfolio, and the Sharp ratio will increase by different degrees. It further verifies that commodity futures can effectively disperse portfolio risk and improve the utility of portfolio. Therefore, it is of great practical significance to establish a mature and stable commodity futures market from the point of view of investors' diversification of investment risk and improvement of investment utility.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5

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