中国期货市场流动性成本研究——以棉花为例

根据郑州棉花期货市场日内交易高频数据,首先基于Thompson-Waller模型测度了棉花期货市场不同交割月份期货合约的流动性成本大小。实证研究表明:不同合约流动性成本大小受交易量和合约距交割期时间长短的影响,除此之外还有其他因素影响流动性成本,并且棉花期货市场符合萨缪尔森假说;而后以买卖价差代替流动性成本,根据LSB模型考察了流动性成本的日内变化特征,实证研究显示流动性成本中的信息不对称成分、指令处理成分、指令持续成分呈现明显的日内变化特征。     

中国农产品期货主力及近月合约套期保值效果研究

主力合约和近月合约的偏离是中国期货市场特有的现实问题。文章以ZCE棉花和DCE豆一期货为代表对中国农产品期货市场进行研究,在构造出ZCE棉花期货、DCE豆一期货主力合约价格和近月合约价格序列后,首先对它们与现货价格的协整关系进行了检验,在此基础上用误差修正模型进一步研究了二者套期保值效果的不同。研究发现:中国ZCE棉花和DCE豆一期货的近月合约套期保值效果明显优于主力合约套期保值效果,这一结果对于企业正确利用期货市场和交易所进一步开展促进期货市场功能发挥工作都具有重要的现实意义。     

中国农产品期货主力及近月合约套期保值效果研究

主力合约和近月合约的偏离是中国期货市场特有的现实问题,它在一定程度上阻碍对中国期货市场功能的发挥。文章以ZCE棉花和DCE豆一期货为代表对中国农产品期货市场进行研究,研究发现,中国ZCE棉花和DCE豆一期货的近月合约套期保值效果明显优于主力合约套期保值效果,但均远远低于发达期货市场的套期保值效果。根据研究结果,本研究结合实际提出几个有针对性的措施,以利于中国农产品期货功能的发挥。     

中国期货市场流动性分析:以棉花为例

本文选取交易量、持仓量、期现比率和价格波动性作为衡量指标,对中国棉花期货市场流动性进行实证分析。实证结果表明:2004年至今,棉花期货的月度成交量、月度持仓量、月度期现比率都呈现先升后降趋势,价格波动的范围也较大。无论是成交量、持仓量、期现比率,还是价格波动性,我国棉花期货市场流动性要比国内和国际上较成熟的期货产品低。为了改善市场环境,提高市场流动性,中国棉花期货市场应该积极改革交易制度,合理设计期货合约;同时,还应加大对投资者的教育力度,大力培育套期保值者,促进期货合约的成功交易。     

我国棉花期货市场跨期套利研究

商品期货套利是指通过同一品种不同时期期货合约之间的价格差异来赚取利润。本文根据跨期套利理论,借助Eviews软件进行相关性分析、平稳性检验和协整性检验证明虽然不同时间的棉花期货合约间存在长期稳定关系,但在短期内,这种长期稳定关系会发生偏离,两个合约间的价格差会出现异常波动,我国棉花期货市场可能存在跨期套利的机会,后在此前提下,通过运用模型跨期套利证明在我国棉花期货市场中存在跨期套利机会。     

郑州棉花期货市场弱式有效性实证研究

现以我国郑州商品交易所棉花期货合约的每日收盘价格为研究对象,采用的研究方法是序列相关性检验和游程检验相结合,通过检验棉花期货的价格序列是否符合随机游走过程来判断郑州棉花期货市场是否具有弱式有效性。序列相关检验和游程检验的结果均表明,郑州棉花期货合约的价格服从随机游走过程,即：郑州棉花期货市场具有弱式有效性。     

棉花期货交易量与收益率及其波动性的关系研究

期货市场合约的价格反映了投资者对未来的预期,并且期货市场中的买空和卖空机制为套期保值者提供了良好的风险规避工具。针对农产品期货市场特征的研究可以为国内农产品的价格变动提供充足的理论基础。本文以国内棉花期货市场为例,研究交易量、收益率及收益率波动性之间的关系。结果发现,棉花期货交易量与价格收益率之间不存在显著的相关关系,棉花期货的价格波动与收益率、价格波动与交易量之间均存在显著的正相关关系。     

AL201001合约套期率研究

期货合约被认为是上游企业和下游企业对冲价格风险的有效工具而越来越受到重视,而其中最关键的是如何确定最优套期率.本文利用最小方差模型,计算AL201001合约的最优套期率,并通过和现贷价格的波动对比,评价对冲效果.结果发现,最小方差模型计算出的最优套期率并不能很好的对冲价格风险.而在加入滞后项后,对回归模型进行修正,得出...     

浅析无风险利率对股指期货合约价格波动抑制

在发达的股票现货市场,对股票价格的预期可以引起股指期货合约价格的变化。但是通过对股指期货持仓成本模型的分析,我们发现无风险利率在理论上对股指期货合约的价格也会施以影响。从对由持仓成本模型结合无风险套利原理推导出的股指期货合约价格模型分析,指出无风险利率与股指期货合约价格的关系,借助于对无风险利率的控制从而减弱因股票现货市场价格波动而使期货市场股指期货合约价格的波动效应。     

基于高频数据的豆类期货套利实证研究

豆类期货跨品种套利一直以来是期货市场研究的热点。文章利用大连商品交易所豆类期货合约5分钟高频数据,构建V A R模型,通过脉冲效应分析、方差分解分析等方法对我国豆类期货高频数据套利进行了实证性研究,发现我国豆类期货合约高频数据存在长期均衡关系,可以基于此进行套利,但相互之间的影响关系不同于现货市场一般的生产关系,豆油对豆粕、豆粕对大豆的影响关系最为明显,其他之间的关系影响甚微。     

Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management

In this article we take a recent generalized VAR-GARCH approach to examine the extent of volatility transmission between oil and stock markets in Europe and the United States at the sector-level. The empirical model is advantageous in that it typically allows simultaneous shock transmission in the conditional returns and volatilities. Insofar as volatility transmission across oil and stock sector markets is a crucial element for portfolio designs and risk management, we also analyze the optimal weights and hedge ratios for oil-stock portfolio holdings with respect to the results. Our findings point to the existence of significant volatility spillover between oil and sector stock returns. However, the spillover is usually unidirectional from oil markets to stock markets in Europe, but bidirectional in the United States. Our back-testing procedures, finally, suggest that taking the cross-market volatility spillovers estimated from the VAR-GARCH models often leads to diversification benefits and hedging effectiveness better than those of commonly used multivariate volatility models such as the CCC-GARCH of Bollerslev (1990), the diagonal BEKK-GARCH of Engle and Kroner (1995) and the DCC-GARCH of Engle (2002).     

沪深300股指期货套期保值模型选择与绩效评价

摘要：基于不同套期保值模型,本文对沪深300股指期货的套期保值效应进行了实证分析,并通过“风险最小化”原则和“效用最大化”原则分别比较不同模型的套期保值绩效。结果发现,在“风险最小化”原则下,无论是对于样本内还是样本外数据,对角ECM．BGARCH（1,1）模型的套期保值绩效都为最优;在“效用最大化”原则下,无论风险系数水平如何,样本内DCC．GARCH模型的套期保值绩效最优,样本外标量ECM—BGARCH（1,1）模型的套期保值绩效最优。     

Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market

This paper evaluates the effectiveness of cross-commodity hedging between China's base metal spot and futures markets, using daily data of metal spot and futures prices in the Shanghai Futures Exchange. The main findings suggest that, compared to unhedged spot portfolios, a naïve hedge increases risk exposure, while static and dynamic hedges can significantly reduce the risk of holding spot assets. Zinc futures and nickel futures outperform other base metal futures in individually hedging lead spot and tin spot respectively, while copper futures constitute a moderately optimal instrument to hedge both lead and tin spot assets.     

Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets

This paper examines the impact of hedging and speculative pressures on the transition of the spot-futures relationship in metal and energy markets. We build a Markov regime switching (MRS) model where hedging and speculative pressures affect the transition probabilities between a stronger and weaker spot-futures relationship. It is found that hedging pressure increases the likelihood of transition, i.e. destabilises the existing spot-futures relationship, while speculative pressure reduces it, i.e. stabilises the relationship, in the copper, crude oil and natural gas markets, but this effect is relatively weak in the silver and heating oil markets. We also examine whether these findings generate practical benefits by testing the hedging effectiveness of the minimum variance hedge ratios (MVH) derived from the MRS models with hedging and speculative pressures. A relatively strong reduction of the portfolio variance, hedger's utility and value at risk (VaR) is observed in the energy markets.     

Did U.S. and Chinese investors respond differently to the exogenous shocks from COVID-19 and the war in Ukraine?

This paper investigates the U.S. and Chinese stock markets' long-run responses to COVID-19 and the Russia–Ukraine war, the main shocks that have recently battered the globalized economy. The investigation uses both static data analysis and ARMA-GARCH and DCC-GARCH dynamic risk models incorporating both events' impacts. Model fitting reveals opposite reactions of the two stock markets' long-run volatilities to the pandemic, but both volatilities have been enhanced by the war, with a much stronger reaction from the U.S. than from the Chinese market. Furthermore, the war has reduced the linkage between the two markets, while the pandemic has had no significant effect. The different responses of U.S. and Chinese investors may be attributed to the two countries' very different virus containment strategies, pandemic severities, and policy approaches to the geopolitical conflict. Our results have important practical implications for regulators' risk mitigation policy design and investors' cross-market hedging strategy development.     

Time and frequency dynamics of connectedness and hedging performance in global stock markets: Bitcoin versus conventional hedges

Some studies have revealed the hedging ability of Bitcoin against stock markets, but the knowledge of how it compares with other hedges is in its infancy. This paper presents the first study on time-frequency domain connectedness and hedging among five hedges (Bitcoin, crude oil, commodities, gold and the U.S. dollar (USD) index) and four stock indices (developed markets ex U.S., emerging markets ex China, U.S. and China). We find that the connectedness between hedges and stock markets varies by time across time horizons. Specifically, the connectedness between Bitcoin and stock indices is the smallest among all hedges, especially for the short horizon. Gold and USD are isolated from other markets at longer horizons. The hedging ratio, optimal portfolio weights and hedging effectiveness also vary across investment horizons. For short-term investment, gold has better hedging effectiveness, especially for emerging stock markets and the U.S. stock market. For median- and long-term investment, USD has better performance, especially for developed markets ex U.S. and emerging stock markets. Additionally, although Bitcoin has good hedging properties, it has high volatility compared with other hedging assets. In other words, if Bitcoin is included in a portfolio, investors should pay attention to its wide variation. These empirical findings highlight the important role that gold and USD play in hedging against global stock markets.     

Hedging with Chinese metal futures

This paper evaluates different hedging strategies for aluminum and copper futures contracts traded at Shanghai Futures Exchange. In addition to usual candidates such as the traditional regression hedge ratio and the hedging strategy constructed from bivariate fractionally integrated generalized autoregressive conditional heteroskedasticity (BFIGARCH) model, two advanced specifications are proposed to account for impacts of the basis on market volatility and co-movements between spot and futures returns. Empirical results suggest that the basis has asymmetric effects and optimal hedging strategy constructed from the asymmetric BFIGARCH model tends to produce the best in-sample and out-of-sample hedging performance.     

Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach

This study analyzes the dynamic connectedness between the ESG stock index, the renewable energy stock index, the green bond stock index, the sustainability stock index, and the carbon emission futures by employing a novel method: the DCC-GARCH-based dynamic connectedness approach. Given the strong volatility spillover among these indexes, we adopt the DCC-GARCH t-copula model to calculate these indexes' hedging ratios and portfolio weights. Our findings show that the carbon emission futures are the volatility transmitter, and the green bond is the volatility receiver. The total dynamic connectedness is affected by international political, economic, and other events. Furthermore, for stock market volatility investors, taking the long position in carbon emission futures and the short position in renewable energy stock can achieve the highest hedging effect.     

Corporate Hedging: The Relevance of Contract Specifications and Banking Relationships

This article examines the contribution of hedging to firm value and the cost of hedging in a unified framework. Optimal hedging and firm value are explicitly linked to firm risk, the type of debt covenants and the relative priority of the hedging contract. It is shown that in some cases hedging is possible only if the counterparty to the forward contract also holds a significant portion of the debt. Also, the spread in the hedging contract reduces the optimal amount of hedging to less than the minimum-variance hedge ratio. Among other results this article elucidates why some firms hedge using forward contracts while other firms hedge in the futures markets, as well as why higher priority forward contracts are more efficient hedging vehicles.