中国沿海煤炭运价期货套期保值效率研究

发布时间：2018-07-03 10:00

本文选题：中国沿海煤炭运价期货 + 最优套期保值率　；参考：《上海交通大学》2013年硕士论文

【摘要】：中国沿海煤炭运价期货于2011年12月推出，填补了中国沿海煤炭运价无衍生品对冲工具的空白，为沿海煤炭运输市场提供了新的投资产品和套期保值工具。然而，与国际市场上FFA的活跃相比，中国沿海煤炭运价期货推出至今仅仅一年多。企业在对冲现货市场风险敞口的期货合约数量上并没有自觉意识，市场对于套期保值的效率也尚无研究。为此，本文运用常用的估算模型，对中国沿海煤炭运价期货的最优套期保值率进行测算，并对套期保值效率进行检验。论文首先介绍了中国沿海煤炭运输市场的特点，同时分析沿海煤炭运输套期保值的必要性，，并对中国沿海煤炭运价指数、沿海煤炭运价期货交易市场进行介绍。接着，介绍了套期保值理论及常用的最优套期保值率的计算方法。本文运用OLS模型、VAR模型对沿海煤炭运价期货的最优套期保值率进行估算，并分析了套期保值的效率及其影响原因。论文研究成果对中国沿海煤炭运价期货市场的发展具有参考价值。
[Abstract]:China's coastal coal freight futures were launched in December 2011, filling the gap of non-derivative hedging tools for China's coastal coal freight rates, and providing new investment products and hedging tools for the coastal coal transport market. However, compared with the active FFA in the international market, China's coastal coal freight futures have been launched for only over a year. There is no conscious awareness of the number of futures contracts for hedging exposure in the spot market, and there is no research on the efficiency of hedging in the market. Therefore, this paper uses the commonly used estimation model to calculate the optimal hedging rate of China's coastal coal futures, and to test the efficiency of hedging. Firstly, the paper introduces the characteristics of China's coastal coal transport market, analyzes the necessity of the coastal coal transport hedging, and introduces the China coastal coal transport price index and the coastal coal transport price futures trading market. Then, the theory of hedging and the calculation method of optimal hedging rate are introduced. In this paper, the OLS model and VAR model are used to estimate the optimal hedging rate of coastal coal futures, and the efficiency of hedging and its influencing reasons are analyzed. The research results of this paper have reference value for the development of China's coastal coal futures market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F724.5

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