我国商品期货市场套期保值效率评价与提升对策  

Systematic Evaluation and Promotion Countermeasures of the Commodity Futures Markets’Hedging Efficiency

作　　者：张国胜 刘晨 武晓婷 ZHANG Guo-sheng;LIU Chen;WU Xiao-ting(College of Economics,Beijing Wuzi University,Beijing 101149,China)

机构地区：[1]北京物资学院经济学院,北京市101149

出　　处：《中国流通经济》2021年第5期42-51,共10页China Business and Market

基　　金：北京物资学院科研专项“中国期货市场运行与创新”(035200120918);北京市教委社会科学计划一般项目“北京市涉农中小企业‘银行+保险+期货’新型融资模式设计及效果评价研究”(SM202110037004)。

摘　　要：套期保值是期货市场基本功能之一。基于我国农产品、黑色金属、有色金属、化工四大板块的期货市场套期保值效率结构全景图,选择最小二乘回归(OLS)等五种普适性模型,时间跨度为2017年10月-2018年9月、2018年10月-2019年9月和2019年10月-2020年9月三个时段,针对四大板块的13个期货主要品种开展套期保值比率优化研究,并运用最小方差标准,从横向和纵向两个维度就我国商品期货市场的套期保值效率结构开展系统性评价。研究表明:有色金属(铜、铝、镍)和黑色金属(铁矿石、螺纹钢)的套期保值效率较高;豆粕、棕榈油和精对苯二甲酸(PTA)等产品效率次之;农产品(玉米、白糖、棉花)和化工品(聚乙烯、天然橡胶)期货等套期保值功能普遍较差。虽受新冠肺炎疫情影响,但期货市场套期保值效率三年格局并未发生明显变化。我国期货和现货市场发展迅速,且部分品种套期保值功能日趋成熟,但与发达国家成熟的期货市场相比仍有较大差距,因此,要有针对性地降低交易所保证金比例,提高国内企业套期保值的参与度;健全现货市场标准化程度;推进商品期权市场建设,促进期货市场平稳运行;稳步推进期货市场国际化,减少政府过度干预。Hedging is one of the basic functions of the futures market.Based on the overall picture of the futures market's hedging efficiency structure concerning the four major sections such as agricultural products,ferrous metal,non-ferrous metal,and chemical engineering,the authors select five universal models(e.g.OLS)and three periods of time to draw up a research on optimization evaluation of hedging ratios aiming at thirteen major varieties from the four major sectors.Furthermore,a systematic evaluation of the hedging efficiency structure of commodity futures market is carried out from both horizontal and vertical dimensions.The results show that:the hedging efficiency of the non-ferrous metal(copper,aluminum,nickel)and ferrous metal(Iron ore,Deformed steel bar)is higher;that of soybean meal,palm oil and PTA is the lower;and that of agricultural products(maize,sugar and cotton)and chemical products(polyethylene and rubber)is the lowest.Though influenced by COVID-19,the three-year pattern of futures markets hedging efficiency has not changed significantly.China’s futures market is developed rapidly,the hedging functions in some sub-markets are increasingly mature,though there are still significant gaps comparing to futures markets in the advanced countries.So we should reduce the margin ratio in some sub-markets to encourage more domestic enterprises to participate hedging transaction,perfect the market standardization,promote the construction of the options market to promote the stable operation of the futures market,and steadily promote the internationalization of the futures market and reduce the undue government intervention.

关 键 词：期货市场 套期保值 最优套期保值比率 套期保值效率 

分 类 号：F279.33[经济管理—企业管理]