钢材期货套期保值功能研究  

Empirical Study on Steel Futures' Hedging Function

作　　者：汤乐明[1] 张群[1] 

机构地区：[1]北京科技大学经济管理学院,北京100083

出　　处：《技术经济与管理研究》2011年第3期86-90,共5页Journal of Technical Economics & Management

基　　金：国家自然科学基金(70672102)

摘　　要：本文利用最小方差理论、OLS方法、简单套期保值和EWMA模型,根据滚动套保的思路,对螺纹钢期货和线材期货的套期保值功能进行了实证研究,得出如下结论:螺纹钢期货和线材期货基于EWMA模型的套保绩效分别为38%和40%,钢材期货套保功能初显;线材期货成交量和持仓量远小于螺纹钢期货,套保功能仅在理论上存在可能;简单套期保值方法(套期比为1)在钢材期货上基本无效;基于EWMA模型的套保方案在一定程度上解决了波动积聚和现货收益率变化不明显的问题,明显优于其他三种套保方案。This paper studies the Steel futures＂ hedging function by using several dynamic hedging methods, including minimum variance, OLS, Naive and EWMA models. Empirical study indicates that, the mean of Steel Rebar＇s and Steel Wire Rod＇s hedging effectiveness is 0.38 and 0.40 based on EWMA model. The steel futures＂ hedging function begins to occur. But Steel Wire Rod＇s trading volume and position are far less than that of Steel Rebar＇s, so the hedging function of Steel Wire Rod is impossible. The naive hedging method is invalid in Steel futures. Because of solving the problems of fluctuating aggregating and spot＇s lowly returns, the EWMA model is superior to traditional hedging methods in the aspect of hedging effectiveness and fund demand.

关 键 词：套期效率 EWMA模型 钢材期货 套期保值 

分 类 号：F724.5[经济管理—产业经济]