天然橡胶期货套期保值绩效的国际比较  

International Comparison of Hedging Performance of Natural Rubber Futures

作　　者：栾昕 鞠荣华[1,2] LUAN Xin;JU Ronghua(College of Economics and Management,China Agricultural University,Beijing 100083,China;Center for Futures and Financial Derivatives Research,Beijing 100083,China)

机构地区：[1]中国农业大学,北京100083 [2]中国期货与金融衍生品研究中心,北京100083

出　　处：《中国证券期货》2023年第4期26-37,共12页Securities & Futures of China

基　　金：国家社会科学基金资助项目“中国农产品期货套期保值效果评价及优化研究”(21BJY211)。

摘　　要：研究国际天然橡胶期货市场上不同期货合约的套期保值绩效可以指导企业选择套期保值工具。本文使用2014—2021年中国、日本和新加坡天然橡胶期、现货价格的周数据,利用最小方差法测度三个国家天然橡胶期货的最优套期保值比率及绩效,并比较其差异。结果显示:中国天然橡胶期货市场具有良好的避险功能;RSS3期货在日本市场的避险能力更高;新加坡TSR20期货的套期保值绩效高于同交易所的RSS3期货;建议采用历史前两年数据预测本年套期保值比率。The research on the hedging performance of different futures contracts in the international natural rubber futures market can guide enterprises to choose hedging tools.Based on the weekly data of natural rubber futures and spot prices in China,Japan and Singapore from 2014 to 2021,the minimum variance method was used to measure the optimal hedging ratio and performance of natural rubber futures in the three countries,and the differences were compared.The results show that China s natural rubber futures market has good hedging function.RSS3 futures are more safe havens in Japanese market.The hedging performance of Singapore s TSR20 futures is higher than that of RSS3 futures in the same exchange.It is suggested using the data of the previous two years to forecast the hedging ratio of this year.

关 键 词：天然橡胶 期货市场 套期保值绩效 风险规避 

分 类 号：F83[经济管理—金融学]