中国农产品期货套期保值绩效实证分析

运用误差修正模型估计了中国棉花、玉米、豆粕和硬麦四种期货的套期保值比率,并计算了相应的套期保值绩效,发现豆粕的套期保值比率最高,为0．079195,硬麦的套期保值比率最低,仅为0．002221;玉米的套期保值绩效最高,其样本内和样本外套期保值绩效分别为13．74％和13．99％,硬麦的套期保值绩效最差,其样本内和样本外套期保值绩效分别仅为0．25％和0．55％;棉花、玉米和硬麦三种期货的样本外套期保值绩效优于样本内套期保值绩效,与国内外许多学者的研究结论一致。总体看,中国期货市场的套期保值功能并耒得羽I充分发挥．

An Empirical Analysis Oil Agricultural Products Futures Hedging Performance in China

This paper use ECM to estimate the futures hedging ratio of cotton, corn, bean cake and hard wheat in China and calculates the corresponding hedging performance. The results show that： the hedging ratio of bean cake is the highest （0. 079 195）, the one of hard wheat is the lowest （0. 002 221）; the hedging performance of corn is the highest and the values of out - of - sample and in - sample are respectively 13.74% and 13.99 % ; the hedging performance of hard wheat is the worst and the values of out - of - sample and in - sample are only 0.25 % and 0.55 %. Except the one of bean cake, the futures hedging performance of out - of- sample is better than that of in - sample. This result is consistent with the one of many domestic and foreign scholars. As a whole, the hedging function of futures market in China has not been fully displayed.