棉花期货套期保值策略及其效率比较研究  

Comparative Research on Cotton Futures Hedging Strategies and Efficiency

作　　者：阮坚 RUAN Jian(School of Finance and Investment,Guangdong University of Finance,Guangzhou 510521,China)

机构地区：[1]广东金融学院金融与投资学院,广州510521

出　　处：《价值工程》2021年第20期7-10,共4页Value Engineering

摘　　要：选取中国全部六个交割月份棉花期货合约价格和中国棉花3128B价格指数作为研究对象,构建OLS,B-VAR,ECM和ECM-BGARCH四种模型来估算最优套期保值比率,并应用Ederington法评估套期保值的效率,分析中国棉花期货最佳的套保模型。结果表明,1月、5月、11月份合约的套期保值都能在一定程度上规避价格风险,其中OLS和B-VAR模型的效果最好,最后提出完善期货市场的建议。Selecting the total six delivery months China's cotton futures price and the CC Index3128B as the research objects,four models of OLS,B-VAR,ECM and ECM-BGARCH are constructed to estimate the optimal hedging ratio,and the Ederington method is used to evaluate the hedging efficiency,and analyze the best hedging model for China's cotton futures on the hedging efficiency.The results show that the hedging of January,May,and November contracts can avoid price risk.Among them,the OLS and B-VAR models have the best hedging efficiency.Finally,suggestions for perfecting the futures market are put forward.

关 键 词：棉花期货 套期保值 套期保值效率 OLS 

分 类 号：F830.59[经济管理—金融学]