白糖企业套期保值实证检验

发布时间：2017-12-31 08:19

本文关键词：白糖企业套期保值实证检验　出处：《河南大学》2013年硕士论文　论文类型：学位论文

【摘要】：改革开放以来，我国金融市场不断的发展和深化，越来越多的金融工具被研发和使用，市场的自发调节功能已经占据了经济发展中三分之二以上的份额。市场经济是以市场作为资源配置的基础方式和主要调节手段的。在市场经济机制下,商品交易者都存在着价格发现和规避风险的问题。期货市场的独特功能对我国社会主义市场经济体制的建立有着重要的作用。为了加快推动国内金融衍生品的交易，逐步完善中国衍生品市场体系，可以更好的服务于实体经济，提高综合竞争力。郑州商品交易所、中国金融期货交易所借鉴国外的成功经推出进行白糖期权、股指期权模拟合约并进行一系列交易测试，旨在推动中国期权交易的发展，提高企业风险的可控性。虽然我国开开展期货交易已经有了很多年的经验，但是很多企业并没有真正意识到期货的巨大作用，，并没有好好利用期货市场规避风险的功能。本文在详细讲述了套期保值的历史、交易原理和套期保值原则的基础上，运用两种工具：期货和期权，进行具体的说明。并针对不同的白糖企业进行套期保值策略的运用与分析，使得企业在看到具体的效果的基础上提高规避风险的意识。旨在提高期货市场的套期保值功能，使得企业能够更好的现货价格的波动所带来的不确定性，以达到提高国内企业的核心竞争力的目的。传统的期货套期保值是利用在期货和现货市场上持有数量相等、方向相反头寸来进行对冲风险的。使得套期保值者把损失或者利润控制在一定范围之内。而期货价格的变化和现货价格的变化值并不能保持同方向同幅度的涨跌，这样1:1的套期保值比率并不能达到预期的目标。所以，本通过对模型的分析，加入所收集到的行情和数据做出来针对白糖期货合约的最有套期保值比率。在所得到的结果的基础上，以某个特定的企业为例，做出具体的套期保值策略，再运实际的数据做出来具体的实证效果。对比各套期保值策略的效果的优劣，给出相关的风险控制解决方案，通过这种具体策略的验证提高企业运用金融衍生工具的意识。通过Wind数据库中白糖期货、现货以及郑州商品交易所2012年在二十几家国内知名期货公司之间进行的白糖期权测试数据的分析，在对比OLS、VAR的基础上，以OLS模型为主要分析方法，运用不同的套期保值策略，分析不同套期保值组合之间效果的差异，分析影响套期保值效果不同的原因。
[Abstract]:Since the reform and opening up, China's financial market has been developing and deepening, more and more financial instruments have been developed and used. The spontaneous regulation function of the market has occupied more than 2/3 share in the economic development. The market economy is based on the market as the basic mode of resource allocation and the main means of adjustment. Under the market economy mechanism. The special function of futures market plays an important role in the establishment of socialist market economy system in China. In order to accelerate the domestic financial derivatives trading, gradually improve the Chinese derivatives market system, can better serve the real economy, improve comprehensive competitiveness. Zhengzhou Commodity Exchange. The Chinese Financial Futures Exchange uses the success of foreign countries to launch the white sugar option, the stock index option simulation contract and a series of trading tests, in order to promote the development of options trading in China. Improve the controllability of enterprise risk. Although China has many years of experience in developing futures trading, many enterprises do not really realize the great role of futures. This paper describes the history of hedging, trading principles and hedging principles on the basis of the use of two tools: futures and options. Specific explanation. And for different sugar enterprises to use and analyze the use of hedging strategies. The purpose of this paper is to improve the hedging function of the futures market and to make the enterprise better the uncertainty brought by the fluctuation of spot price. In order to improve the core competitiveness of domestic enterprises. Traditional futures hedging is based on holding equal amounts in futures and spot markets. Having a position in the opposite direction to hedge risk. It causes the hedger to limit the loss or profit within a certain range. The change in futures price and the change in spot price do not maintain a rise or fall in the same direction and by the same extent. . Such a hedging ratio of 1: 1 does not achieve the desired goal. Therefore, this paper through the analysis of the model. Add the price and data collected to make out the most hedging ratio of the sugar futures contract. On the basis of the results, take a specific enterprise as an example, make a specific hedging strategy. Then carry the actual data to make out the concrete demonstration effect. Compare the effect of each hedging strategy and give the relevant risk control solution. Through the verification of this specific strategy to improve the awareness of the use of financial derivatives. Through the Wind database of sugar futures, spot and Zhengzhou Commodity Exchange in 2012 in more than 20 well-known domestic futures companies in the analysis of white sugar options test data, in comparison with OLS. On the basis of VAR, using the OLS model as the main analysis method, using different hedging strategies, this paper analyzes the differences between the effects of different hedging combinations, and analyzes the reasons that affect the different hedging effects.
【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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