中国铜和铝期货最优套期保值比率与持有期效应的对比分析  

Comparative analysis of optimal hedging ratio and holding period effect of chinese copper and aluminum futures

作　　者：侯为波[1] 邓芹 HOU Wei-bo;DENG Qin(College of Mathematical Science,Huaibei Normal University,Huaibei 235000,China)

机构地区：[1]淮北师范大学数学科学学院

出　　处：《吉林师范大学学报（自然科学版）》2019年第3期41-46,共6页Journal of Jilin Normal University:Natural Science Edition

基　　金：安徽省高校自然科学基金项目(KJ2018A034)

摘　　要：研究在最小方差思想下中国铜期货和铝期货的最优套期保值比率以及持有期效应,有利于投资者更好规避风险.利用现货和期货数据并基于OLS模型和双变量自回归(B-VAR)模型对其进行检验.得到了在同一模型下铝期货的套期保值效果比铜期货好,且铜和铝期货都不具有持有期效应,以及当研究期限为6周时铜的最佳持有期是5周,铝的最佳持有期是4周.同时,验证了B-VAR模型计算的套期保值比优于OLS模型.Research in the optimal hedging ratio and holding period effect of Chinese copper and aluminum futures under the minimum variance thought help investors avoid risks better.Using the spot and futures data and based on OLS model and bivariate autoregressive(B-VAR) model to test it,the following conclusions were obtained.The aluminum futures hedging effect was better than copper futures under the same model;the effects of copper and aluminum futures were not holding period;the best holding period of copper was 5 weeks and the best holding period of aluminum was 4 weeks when the research period was 6 weeks.At the same time, the hedged value calculated by the B-VAR model was verified to be better than the OLS model.

关 键 词：最优套期保值比率 OLS模型 B-VAR模型 持有期效应 

分 类 号：F832.5[经济管理—金融学]