商品期货指数的追踪和对冲策略研究  

Strategy Research on Tracking and Hedging of Commodity Futures Index

作　　者：周亮[1] 沈春华[1] 肖坚 

机构地区：[1]湖南财政经济学院,湖南长沙410205 [2]江西省发展改革研究院,江西南昌330036

出　　处：《金融教育研究》2017年第6期15-20,共6页Research of Finance and Education

基　　金：湖南省教育厅科学研究项目"金融服务功能视角下区域金融深化与经济发展的空间耦合关系研究"(14B031)

摘　　要：采用2016年交易量或交易金额较大的螺纹钢、橡胶、沪锌、铁矿石、棕榈、甲醇、白糖、豆粕等八个品种来构造能够综合反映期货市场状况的综合指数,选取这八个期货品种主力合约2015年9月1日至2017年8月31日的日线数据,通过协整模型进行指数追踪分析后发现:无论是采用对数价格序列还是原始价格序列,对原指数的追踪效果均较好,但是对增强指数和减弱指数的拟合在样本外就难以继续取得良好的效果;通过增强指数与减弱指数进行对冲以寻求alpha收益时,采用对数数据模型可以获得不错的对冲收益,但是原始数据模型的效果却并不理想。Based on the eight varieties of rebar,rubber,Shanghai zinc,iron ore,palm,methanol,sugar and soybean meal,the comprehensive index which can reflect the futures market situation is constructed by using 2016 market transactions or large transaction amount. By using daily data of the eight main varieties of the futures contract from September 1,2015 to August 31,2017,this paper analyzed the index tracking through the co-integration model and found that: whether the use of logarithmic price sequence or the original price sequence,the track of the original index is better,but the expansion of the index and the weakening index is difficult to continue to achieve good results outside the sample; by enhancing the index and weaken the index to hedge to seek alpha earnings,the logarithmic data model can obtain good hedge earnings,but the effect of the original data model is not prominent.

关 键 词：指数追踪 指数增强 对冲 

分 类 号：F830.59[经济管理—金融学]