中国硬麦和大豆期货市场套期保值绩效的实证研究  

Empirical research on hedging performance of China's hard wheat and soybean futures market

作　　者：王骏[1] 张宗成[1] 赵昌旭[1] 

机构地区：[1]华中科技大学经济学院,湖北武汉430074

出　　处：《中国农业大学学报》2005年第4期131-137,共7页Journal of China Agricultural University

基　　金：国家自然科学基金(70441022);中国期货业协会联合研究计划(第三期)资助项目(ZZ200507)

摘　　要：为了研究中国硬麦和大豆期货市场的套期保值功能,本文利用确定套期保值比率的OLS、B VAR、ECM和EC GARCH四个模型和套期保值绩效的衡量指标,对上述2个期货市场的套期保值比率和绩效进行了实证研究。结果显示,硬麦期货和大豆期货4周数据的最佳套期保值比率分别是0.28和0.48,它们的套期保值绩效分别是10.27和18.85,都比其1周和2周数据的套期保值比率与绩效要高;中国大豆期货市场套期保值比率与绩效要优于硬麦期货市场。从模型上看,ECM和EC GARCH模型的套期保值比率和绩效比OLS和B VAR模型要高,从样本区间看,样本区间外的套期保值绩效要优于样本区间内的绩效。随着全国范围内实施减免农业税政策和其他“三农”政策的落实,中国农产品期货市场的套期保值功能将得到更好发挥,在我国国民经济中将发挥更重要作用。In order to research hedging performance of China＇s hard wheat and soybean futures market, this article will make use of ordinary least squares, bivariate-vector autoregression, error correction mechanism and error correctiongeneralized autoregressive conditional heteroscedasticity four hedging models and measurement index to empirically research the hedging ratio and performance of the two futures market. The results of research suggest the four-week＇ s best hedging ratio of hard wheat and soybean futures exceed those of week and two-weeks＇ , which separately is 0.28 and 0.48, and the four-week＇s performance of hard wheat and soybean futures separately is 10.27 and 18.85, which exceed those of week and two-weeks＇. The hedging ratio and performance of China＇s soybean futures market is superior to these of hard wheat futures market. From the four models, the hedging ratio and performance of ECM and ECGARCH excel those of OLS and B-VAR, out-of-sample＇ s hedging performance is superior to inner-sample＇ s. With carrying on remission of agricultural tax and other rural, agriculture and farmer policies, China＇s farm product futures market will bring into play the better hedging function, and will play a more important role in our country economy.

关 键 词：中国农产品 期货市场 套期保值比率 套期保值绩效 误差修正模型 广义自回归条件异方差模型 

分 类 号：F830.9[经济管理—金融学]