上海金属期货市场避险效率研究  

A Study on Hedging Effectiveness in Shanghai Metal Futures Market

作　　者：淳伟德[1] 李晓燕[1,2] 陈王[2] 王璞[1] 

机构地区：[1]成都理工大学商学院,四川成都610059 [2]西南交通大学经济管理学院,四川成都610031

出　　处：《预测》2012年第4期39-45,共7页Forecasting

基　　金：国家自然科学基金资助项目(71171025);国家社会科学基金资助项目(12BGL024);教育部人文社会科学研究青年基金资助项目(10YJCZH086)

摘　　要：对期货市场避险效率的研究无论是对投资者,还是对期货市场监管部门都具有极其重要的指导意义。本文运用一元线性回归(通常称为OLS)、向量自回归(VAR)模型、向量误差修正模型(VECM)以及VAR-MGARCH模型四种方法研究了上海期货市场的铜、铝、锌三种期货产品的避险比率和避险效率。通过样本外滚动预测分析发现:(1)OLS在铜和锌中表现较好,VAR和VECM在铝中表现较好,VAR-MGARCH在各种情况下表现均较差;(2)随着期限的增加,避险效率呈现出减小的趋势;(3)锌的避险效率最高,并且随期限增加而减小的速度最慢;(4)铜的避险效率最高可达到78%以上,铝最高可以达到82%以上,锌最高可以达到87%以上,总体来讲,上海金属期货市场效率较高。The study on effectiveness of futures market is useful and helpful for both the investors and regulator of futures market. In this paper, we research the hedging effectiveness of copper, aluminum and zinc which listed in Shanghai Futures Exchange （SHFE）. Various models are used to estimate hedging ratio： Linear Regression （often referred to as OLS） , Vector Autoregressive（VAR） , Vector Error Correction Model（VECM） and VAR-MGARCH model. The results of out-of-sample prediction show that： （1）OLS performance is better for aluminum, and VAR-MGARCH performance is is better for copper and zinc, VAR and VECM performance poor in all cases; （2）The hedging effectiveness decreases with the deadline increasing; （3）The hedging effectiveness of zinc is best, and reducing slowest with the deadline in- creasing; （4）The ophmal hedging effectiveness of copper could be above 78% , aluminum could be above 82% and zinc could be above 87% , generally speaking, Shanghai metal futures markets are efficient.

关 键 词：避险比率 避险效率 金属期货市场 

分 类 号：F830.9[经济管理—金融学]