我国豆类期货市场套期保值绩效研究
发布时间：2019-08-06 10:41
【摘要】：针对我国豆类期货市场的的套期保值的绩效,选取了豆粕、大豆和豆油三种商品期货作为研究对象,利用OLS、ECM和ECM-BGARCH模型分别估计豆粕、大豆和豆油的最优套期保值比例,通过构建套期保值绩效指标来评价套期保值效果.实证表明,利用豆油期货来套期保值能达到最好的效果,但豆粕较差;比较3种方法所估计出的最优套期保值比例的套保效果,发现ECMBGARCH模型用于估计套期保值比例最为合适.
[Abstract]:In view of the hedge performance of soybean futures market in China, three kinds of commodity futures, soybean meal, soybean and soybean oil, were selected as the research objects. OLS,ECM and ECM-BGARCH models were used to estimate the optimal hedge ratio of soybean meal, soybean and soybean oil, and the hedge effect was evaluated by constructing the performance index of hedge. The empirical results show that using soybean oil futures to hedge can achieve the best effect, but soybean meal is poor. Comparing the hedge effect of the optimal hedge ratio estimated by the three methods, it is found that ECMBGARCH model is the most suitable to estimate the hedge ratio.
【作者单位】： 安徽财经大学金融学院;安徽财经大学统计与应用数学学院;
【基金】：国家自然科学基金(11301001) 安徽省创新训练项目(201510378556)
【分类号】：F323.7;F724.5;F224
[Abstract]:In view of the hedge performance of soybean futures market in China, three kinds of commodity futures, soybean meal, soybean and soybean oil, were selected as the research objects. OLS,ECM and ECM-BGARCH models were used to estimate the optimal hedge ratio of soybean meal, soybean and soybean oil, and the hedge effect was evaluated by constructing the performance index of hedge. The empirical results show that using soybean oil futures to hedge can achieve the best effect, but soybean meal is poor. Comparing the hedge effect of the optimal hedge ratio estimated by the three methods, it is found that ECMBGARCH model is the most suitable to estimate the hedge ratio.
【作者单位】： 安徽财经大学金融学院;安徽财经大学统计与应用数学学院;
【基金】：国家自然科学基金(11301001) 安徽省创新训练项目(201510378556)
【分类号】：F323.7;F724.5;F224
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