| 协整关系对期货套期保值率影响的实证研究 |
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| 引用本文： | 刘列励,严美艺.协整关系对期货套期保值率影响的实证研究[J].北京理工大学学报(社会科学版),2006,8(5):72-74. |
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| 作者姓名： | 刘列励 严美艺 |
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| 作者单位： | 北京航空航天大学,经济管理学院,北京,100083;北京航空航天大学,经济管理学院,北京,100083 |
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| 摘 要： | 通过协整关系检验得出上海期货交易所期货价格与现货价格之间存在着明显的协整关系。利用误差修正模型对套期保值率进行估计,通过对比传统方法和误差修正模型所估计出的套期保值率,发现传统回归方法将低估用来规避风险的期货合约的数量。在比较不同套期保值期限所得出的套期保值效果后,得出期限长的套期保值效果优于期限短的套期保值效果。
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| 关 键 词： | 期货 套期保值 协整 误差修正模型 |
| 文章编号： | 1009-3370(2006)05-0072-03 |
| 收稿时间： | 2006/3/28 0:00:00 |
| 修稿时间： | 2006年3月28日 |
Futures Hedge Ratio under Co-Integration Relationship:an Empirical Study |
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| LIU Lie-li and YAN Mei-yi.Futures Hedge Ratio under Co-Integration Relationship:an Empirical Study[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2006,8(5):72-74. |
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| Authors: | LIU Lie-li and YAN Mei-yi |
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| Institution: | 1.School of Economics and Management,Beijing University of Aeronautics and Astronautics,Beijing 100083 |
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| Abstract: | In this study co-integration test is performed to find out whether there is a co-integration relationship between copper spot price and futures price in Shanghai Futures Exchange.Error correct model is exploited to estimate the futures hedge ratio,aiming at comparing the hedge ratios of the conventional method and error correct model.The findings of this study indicate that the conventional model underestimates the number of futures contracts needed to hedge the spot portfolio.It is also found in this study that futures market appears to be more effective in reducing the price change risk over long-run hedge period than over short ones. |
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| Keywords: | futures hedge co-integration error correct mode |
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