我国玉米期货套期保值比率研究

发布时间：2018-10-24 19:18

【摘要】：由于各种因素,农产品的现货价格波动频繁,导致那些对农产品有大量需求的企业面临着巨大的由于农产品价格波动引起的市场风险。因此这些企业急需利用农产品期货进行套期保值,以达到规避或转移现货价格风险的目的。因为基差风险的存在,利用传统的套期保值策略(套期保值比率为1)来规避现货价格风险的效果并不显著。为了更有效的规避现货价格风险,这些企业有必要采取比例套期保值策略。此时,如何确定套期保值比率便成为了这些农产品企业最为关心的问题。于是,为了解决套期保值比率的问题,本文选择了农产品中最具代表性的玉米作为研究对象。首先,本文选择了大连商品交易所公布的玉米期货价格和天琪期货网站公布的玉米现货价格作为样本数据。其次,本文对样本数据进行了统计检验,检验结果显示期货价格和现货价格均为非平稳序列,而且两个序列之间存在协整关系,并且存在ARCH效应。再次,在进行了统计检验的基础上,考虑到交易成本的因素,选用了误差修正模型(VEC)来估计玉米期货和现货的套期保值比率。最后,针对此套期保值比率到底能降低多少风险的问题,本文对估计出的套期保值比率进行了绩效评估。本文的研究结果为：样本数据中期货价格和现货价格的套期保值比率为0.794,也就是说,如果持有一份玉米现货头寸,可以购买0.794份玉米期货头寸进行套期保值。本文中的套期保值策略相对于不进行套期保值时可减少75.4%的风险,相对于进行等比例套期保值时可减少39.4%的风险。研究结果表明,我国玉米企业非常有必要利用玉米期货进行套期保值,而且比例套期保值效果明显优于传统套期保值(套期保值比率为1)。
[Abstract]:Due to various factors, the spot price of agricultural products fluctuates frequently, which leads to a huge market risk caused by the fluctuation of agricultural product prices for those enterprises that have a large demand for agricultural products. Therefore, these enterprises urgently need to use agricultural futures to hedge in order to avoid or transfer the spot price risk. Because of the existence of base risk, the effect of using traditional hedging strategy (hedging ratio is 1) to avoid spot price risk is not significant. In order to avoid the spot price risk more effectively, these enterprises need to adopt the proportional hedging strategy. At this time, how to determine the hedge ratio has become the most concerned about these agricultural enterprises. Therefore, in order to solve the problem of hedging ratio, the most representative corn in agricultural products is chosen as the research object. Firstly, this paper chooses the corn futures price published by Dalian Commodity Exchange and the spot corn price published by Tianqi Futures website as sample data. Secondly, this paper makes a statistical test on the sample data. The results show that the futures price and spot price are both non-stationary series, and there is a cointegration relationship between the two sequences, and there is a ARCH effect. Thirdly, on the basis of statistical test, considering the factors of transaction cost, the error correction model (VEC) is used to estimate the hedge ratio of corn futures and spot. Finally, aiming at the problem of how much risk can be reduced by the hedge ratio, this paper evaluates the performance of the estimated hedge ratio. The results of this study are as follows: the hedging ratio of futures price to spot price in the sample data is 0.794, that is to say, if we hold a spot position of corn, we can buy 0.794 corn futures positions for hedging. The hedging strategy in this paper can reduce the risk by 75.4% compared with that without hedging and by 39.4% compared with the equal proportion hedging. The results show that it is very necessary for Chinese corn enterprises to use corn futures for hedging and the effect of proportional hedging is obviously better than that of traditional hedging (the hedge ratio is 1).
【学位授予单位】：五邑大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F323.7;F724.5

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