极端事件冲击下商品期货是好的避险工具吗?——来自新冠疫情冲击的经验证据  

Are Commodity Futures Good Hedging Instruments under Extreme Shocks:Evidence from the COVID-19 Shock

作　　者：凌爱凡[1] 游欣 Ling Aifan;You Xin(School of Finance,Jiangxi University of Finance and Economics)

机构地区：[1]江西财经大学金融学院,330013

出　　处：《经济评论》2021年第3期105-125,共21页Economic Review

基　　金：国家自然科学基金项目“系统性风险鲁棒度量及系统性风险对资产价格的影响机制研究”(项目批准号:71771107);“区块链技术下企业融资模式的鲁棒设计及动态均衡模型研究”(项目批准号:72071098);国家社会科学基金重大项目“中央银行的逻辑与现代中央银行制度的建设”(项目批准号:21ZDA045)的资助。

摘　　要：新冠疫情引起了商品市场价格的剧烈波动,导致商品期货的对冲需求在短期内快速上升,加速了期货市场的风险积累。本文以中国58种商品期货的面板数据为研究对象,从商品期货价格的日波动率、期现货对冲组合的日收益率和夏普比三个角度研究了商品期货的对冲风险和对冲效果。研究发现,商品期货的日波动率风险与疫情严重程度呈显著的正相关关系;"期货长头寸+现货短头寸"组建的对冲组合日收益率与疫情严重程度呈显著的正相关关系,疫情发生后,该组合能获得正的平均收益率和较高的、正的夏普比,具有较好的对冲价值和风险规避功能。进一步的实证研究表明,对于非对冲目的期货投资者而言,疫情之后的商品期货波动率风险显著上升,投资性能较弱,"期货短头寸+现货长头寸"构建的对冲组合具有较差的对冲效果。本文研究为重大突发公共事件下投资者如何选择商品期货进行投资或对冲,提供了实证依据。The COVID-19 pandemic leads to extreme price fluctuation of commodities.It drives up the demand for commodity futures and speeds up the risk accumulation in futures market.Using panel data of 58 commodity futures in China,this paper checks the hedging risk and the effects of hedging based on volatility,daily return rates and Sharpe ratios.The empirical results show that:The volatility risk of the commodity futures market and the severity of the pandemic are positively correlated.After the COVID-19,the hedging portfolio can obtain positive average rates of returns and high,positive Sharpe ratios.Further empirical analysis shows that for futures investors who do not invest to hedge,the volatility risk of commodity futures after the pandemic significantly increases,which is unfriendly for investment.A hedging combination of short futures and long spot goods performs quite weak.These facts provide empirical evidence for investors to choose investment strategies under extreme public events.

关 键 词：新冠疫情 商品期货 期货风险 风险对冲 

分 类 号：F832.5[经济管理—金融学]