基于沪铜期货的套期保值比率与效率比较的实证分析  

An Empirical Analysis on the Hedging Proportion and the Efficiency of Shanghai Copper Future

作　　者：陈青[1] 夏佑涛[1] 

机构地区：[1]西南财经大学统计学院,四川成都611130

出　　处：《金融发展研究》2009年第8期62-64,共3页Journal Of Financial Development Research

摘　　要：本文以沪铜期货的多头套期保值为研究对象,分别利用OLS模型、ECM模型和GARCH模型对一月期铜和三月期铜的套期保值比例及保值效果进行了分析,发现OLS模型对一月期铜的套期保值效果要优于其他模型的保值效果,而ECM模型和GARCH模型在三月期铜的套期保值方面显示的效果更好。这说明在一般情况下,具有动态特征的计量模型适合于较长的期货合约,其套期保值效果更好。Based on Shanghai copper tutures of bull hedging tor research obJeCt, this paper studied the copper hedge ratio and hedging effectiveness of January and March period copper by using OLS model, ECM model and GARCH model, and found that in January the copper hedging effect estimated from the OLS model is superior to others models, while the ECM model and GARCH model are more appropriate on March copper hedging.Explain the futures contracts are longer , the better the effect of hedging estimated from the dynamic econometric models.

关 键 词：套期保值 套期保值比率 GARCH模型 

分 类 号：F835.9[经济管理—金融学]