| 钢材跨品种套期保值计算方法研究 |
| |
| 引用本文： | 王立民,邹继秋,刘小达. 钢材跨品种套期保值计算方法研究[J]. 北京科技大学学报(社会科学版), 2010, 26(4): 117-121. DOI: 10.3969/j.issn.1008-2689.2010.04.021 |
| |
| 作者姓名： | 王立民 邹继秋 刘小达 |
| |
| 作者单位： | 北京科技大学 经济管理学院, 北京 100083 |
| |
| 摘 要： | 应用2006年2月至2009年9月的现货样本数据以及2009年3月27日以后的线材期货WR0909周样本数据，研究发现热轧和线材现货具有长期相关性，可以进行跨品种套期保值。跨品种套保采用价值相等法，并利用最优套保比率对合约份数进行调整。跨品种套保为钢铁企业提供了新的风险规避的途径，实现了期货市场的基本功能。
|
| 关 键 词： | 钢材期货 套期保值 最优套保比率 |
| 收稿时间： | 2010-11-25 |
The Cross-species Hedge between Hot-rolled and WR0909 Based on Shanghai Market |
| |
| WANG Li-min,ZOU Ji-qiu,LIU Xiao-da. The Cross-species Hedge between Hot-rolled and WR0909 Based on Shanghai Market[J]. Journal of University of Science and Technology Beijing(Social Sciences Edition), 2010, 26(4): 117-121. DOI: 10.3969/j.issn.1008-2689.2010.04.021 |
| |
| Authors: | WANG Li-min ZOU Ji-qiu LIU Xiao-da |
| |
| Affiliation: | School of Economics and Management University of Science and Technology Beijing, Beijing 100083, China |
| |
| Abstract: | Based on the sample data dating from February 2006 to September 2009,as well as futures' data after March 27 2009 of WR0909,the study found that the hot-rolled and WR0909 had a long-term relevance and could be cross-species hedge.The cross-species hedge which uses the law of the same value is adjusted by the optimal hedge ratio.It not only provides a means of risk aversion for the steel enterprises,but also implements the basic functions of futures market. |
| |
| Keywords: | steel futures cross-species hedge optimal hedge ratio |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
| 点击此处可从《北京科技大学学报(社会科学版)》浏览原始摘要信息 |
|
点击此处可从《北京科技大学学报(社会科学版)》下载免费的PDF全文 |
