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1.
我国燃料油期货套期保值功能研究   总被引:2,自引:0,他引:2  
周璇 《时代金融》2008,(1):30-32
国际成品油现货市场的剧烈波动给我国燃料油期货市场功能发挥提出了新的挑战。本文采用了最新的交易数据对我国燃料油期货市场和现货市场进行了实证分析,研究我国燃料油期货市场的套期保值功能。通过比较基差风险和现货价格风险,检验期货价格和现货价格的相关性,讨论期货市场套期保值的效率问题,认为目前我国燃料油期货市场本身并不比现货市场风险小,但在一定程度上发挥了套期保值的功能。通过分析价格走势和基差波动特征,得出我国市场适合使用HKM模型来计算套保比,最后基于HKM模型本文给出了单个合约的最优套保比序列。  相似文献   

2.
选取2009-03-06到2015-11-30伦敦三月期铜与SHFE沪铜连续日收盘价序列,利用GARCH-M、GJR-GARCH模型,通过对其收益率序列的尖峰厚尾特性、波动群聚及杠杆效应的对比分析来研究期铜市场的风险变异性。基本结论是两市均达到了弱势有效,且均存在显著的波动群聚及杠杆效应。上海期铜市场受短期影响比伦敦小,但更易受到长期因素的影响,且外部冲击对上海期铜市场影响的持续性更强。在实证分析的基础上,为监管者及投资者提供有益的参考。  相似文献   

3.
在期货市场中,套期保值者作为其重要的交易主体,根据期货与现货市场的相关性程度,利用套期保值策略进行风险控制,规避价格波动风险,实现收益最优和风险最小.在学术界里,套期保值研究最为核心的是套期保值比率的测度.本文在相关研究的基础上,引入copula理论的尾部相关性测度指标-Kendall秩相关性系数.同时考虑到金融时间序列具有的尖峰厚尾性,运用阿基米德Gumbel copula函数测算时间序列的尾部相关性系数,进而测度棉花期货与现货市场的套期保值比率.实证分析表明,运用copula?GARCH模型测度的尾部相关系数比线性相关系数 r 在精度上有很大改善  相似文献   

4.
由于涨跌停板制度对期货市场价格发现功能的影响,使得利用未经调整的收益率数据计算涨跌停板水平存在一定的误差,鉴于此,本文首先对涨跌停板发生日的收益率进行了调整,然后利用调整后的收益率序列,采用极值理论的方法研究了上海期货交易所(SHFE)铜、锌、天胶合理涨跌停板水平的设置。结果表明调整后的收益率序列具有更为显著的厚尾特征,且若市场组织者有较高的风险承受能力或市场受到持续的外部信息冲击时,为保证市场功能的充分发挥,所需的涨跌停板水平较为宽松。  相似文献   

5.
经济高涨期的金融风险容易为宏观调控部门和微观市场主体所忽视,这是因为资产价格对实体经济的影响具有非对称性,资产价格上升对市场主体的投机行为具有刺激性,并对货币供给具有吸纳效果。风险管理的关口前移比风险的事后处置更为有效,因此在经济高涨期要揭示风险,并采取切实有效措施化解风险。本研究试就经济高位运行期间风险特征,风险隐藏的原因,以及治理对策作一探讨。  相似文献   

6.
价格发现和套期保值是期货市场的两大重要功能。本文首先利用协整分析、格兰杰因果检验并建立误差修正模型(ECM)实证研究了沪锌期货和现货价格之间的长期均衡关系以及对均衡偏离的短期调整;然后建立GARCH模型对沪锌价格的波动进行了分析;最后利用OLS回归估计了沪锌市场的最优套保率。实证研究发现,沪锌期货价格与现货价格之间存在这长期稳定的均衡关系,期货价格变动是现货价格变动的格兰杰原因,当短期价格偏离长期均衡后,期货价格和现货价格会以0.647的速度向长期均衡调整;CARCH(1,1)模型可以较好的拟合沪锌期货价格序列的波动,沪锌价格存在明显的"波动性集聚"现象,条件方差所受的冲击是持久的;沪锌市场的最优套保率为0.695。  相似文献   

7.
史尚卿 《云南金融》2011,(3Z):46-48
价格发现和套期保值是期货市场的两大重要功能。本文首先利用协整分析、格兰杰因果检验并建立误差修正模型(ECM)实证研究了沪锌期货和现货价格之间的长期均衡关系以及对均衡偏离的短期调整;然后建立GARCH模型对沪锌价格的波动进行了分析;最后利用OLS回归估计了沪锌市场的最优套保率。实证研究发现,沪锌期货价格与现货价格之间存在这长期稳定的均衡关系,期货价格变动是现货价格变动的格兰杰原因,当短期价格偏离长期均衡后,期货价格和现货价格会以0.647的速度向长期均衡调整;CARCH(1,1)模型可以较好的拟合沪锌期货价格序列的波动,沪锌价格存在明显的"波动性集聚"现象,条件方差所受的冲击是持久的;沪锌市场的最优套保率为0.695。  相似文献   

8.
《中国货币市场》2014,(12):85-86
有色金属市场:11月伦敦金属交易所(LME)期铜、期铝和期锌价格震荡下跌,期铅则震荡上扬。美国经济尤其是就业市场表现出良好的稳步复苏态势推动美元走强,而欧元区制造业数据疲弱显示欧元区陷入新一轮衰退的风险加大;下旬中国央行意外降息一度刺激金属价格冲高,但国际原油价格暴跌并带动金属市场全线下跌。  相似文献   

9.
价格发现和套期保值是期货市场的两大重要功能.本文首先利用协整分析、格兰杰因果检验并建立误差修正模型(ECM)实证研究了沪锌期货和现货价格之间的长期均衡关系以及对均衡偏离的短期调整:然后建立GARCH模型对沪锌价格的波动进行了分析;最后利用OLS回归估计了沪锌市场的最优套保率.实证研究发现,沪锌期货价格与现货价格之间存在这长期稳定的均衡关系,期货价格变动是现货价格变动的格兰杰原因,当短期价格偏离长期均衡后,期货价格和现货价格会以0.647的速度向长期均衡调整;CARCH(1,1)模型可以较好的拟合沪锌期货价格序列的波动,沪锌价格存在明显的"波动性集聚"现象,条件方差所受的冲击是持久的;沪锌市场的最优套保率为0.695.  相似文献   

10.
《中国货币市场》2009,(4):68-69
铜、铝、锌:3月伦敦金属交易所(LME)期铜、期铝和期锌的价格整体呈现为震荡上行,其中期铜、期锌上涨幅度较为明显,期铝上涨幅度较小。LME铜库存3月下降4.27万吨导致市场对中国需求上升预期增强,美联储新经济刺激计划也进一步推高铜价;在期铜冲高带领下,  相似文献   

11.
Both market timing and investment-based theories of corporate financing predict under-performance after firms raise capital, but only market timing predicts that the composition of financing (equity compared with debt) should also forecast returns. In cross-sectional tests, we find that the amount of net financing is more important than its composition in explaining future stock returns. In the time series, investment-based factor models explain abnormal stock performance following a variety of corporate financing events that previous studies link to market timing. At the aggregate level, the amount of new financing is also more important for future market returns than its composition. Overall, our joint tests reveal that measures of real investment are correlated with future returns and measures of managerial market timing are not.  相似文献   

12.
Studies analyzing return expectations of financial market participantslike fund managers, CFOs or individual investors are highlyinfluential in academia and practice. We argue and show thatthe results in these surveys above are easily influenced bythe elicitation mode of return expectations. Surveys that askfor future stock price levels are more likely to produce meanreverting expectations than surveys that directly ask for futurereturns. Furthermore, we conduct a questionnaire study thatexplicitly analyzes whether the specific elicitation mode affectsreturn expectations in the above direction. In our study, subjectswere asked to state mean forecasts for seven time series. Usinga between subject design, one half of the subjects was askedto state future price levels, the other group was directly askedfor returns. We observe a highly significant framing effect.For upward sloping time series, the return forecasts statedby investors in the return forecast mode are significantly higherthan those derived for investors in the price forecast mode.For downward sloping time series, the return forecasts givenby investors in the return forecast mode are significantly lowerthan those derived for investors in the price forecast mode.We argue that this finding is consistent with behavioral theoriesof investor expectation formation based on the representativenessheuristic.  相似文献   

13.
We investigate the leverage of hedge funds in the time series and cross-section. Hedge fund leverage is counter-cyclical to the leverage of listed financial intermediaries and decreases prior to the start of the financial crisis in mid-2007. Hedge fund leverage is lowest in early 2009 when the market leverage of investment banks is highest. Changes in hedge fund leverage tend to be more predictable by economy-wide factors than by fund-specific characteristics. In particular, decreases in funding costs and increases in market values both forecast increases in hedge fund leverage. Decreases in fund return volatilities predict future increases in leverage.  相似文献   

14.
证券市场的风险可以通过很多种方式测度出来,其中,稳定性是衡量股票市场风险程度的一个重要的指标,而对于稳定性的度量主要是通过方差的计算来实现的。所以通过预测方差就可以提供另一种描述股票市场未来风险的方式。本文通过对上证指数2009年3月到2012年1月每月的全部交易日收盘价的标准差系数进行研究,运用ARIMA时间序列技术,得出预测模型,对未来的标准差系数进行了预测。  相似文献   

15.
We show that dispersion‐based uncertainty about the future course of monetary policy is the single most important determinant of Treasury bond volatility across all maturities. The link between Treasury bond volatility and uncertainty about macroeconomic variables is much stronger than for the more traditional time series measures of macroeconomic volatility and adds beyond the information contained in lagged bond market volatility. Uncertainty about monetary policy subsumes the uncertainty about future inflation (consumer price index and the deflator) and economic activity (unemployment, real and nominal gross domestic product and industrial production). In addition, causality clearly runs one way: from monetary policy uncertainty to Treasury bond volatility.  相似文献   

16.
FORECASTING VOLATILITY FOR PORTFOLIO SELECTION   总被引:1,自引:0,他引:1  
The volatility of an asset is a primary input to the portfolio selection problem. Information about volatility is available from two sources, namely the share market and the option market. This paper examines the forecasting performance, over a three month investment horizon, of time series forecasts (from the share market) and option based implied volatilities. Three time series models, including GARCH, are used and twenty four implied volatility estimation models are employed. Using a data set of twelve UK companies, it is demonstrated that implied volatilities produce better individual forecasts than time series. However, more remarkably, forecasts combining implied volatilies and time series estimates significantly outperform both component forecasts.  相似文献   

17.
This study uses time‐series data to examine the relation between changes in the quality of corporate governance practices and subsequent market valuation among large listed companies in Hong Kong. The results indicate that firms that exhibit improvements in the quality of corporate governance display a subsequent increase in market valuation, whereas firms that exhibit deterioration in the quality of corporate governance practices tend to encounter a decline in market valuation. Additionally, the impact is greater for firms that are included in the MSCI index or with a China affiliation. The results provide evidence in support of the notion that good corporate governance can predict future market valuation.  相似文献   

18.
The concept of implied liquidity originates from the conic finance theory and more precisely from the law of two prices where market participants buy from the market at the ask price and sell to the market at the lower bid price. The implied liquidity λ of any financial instrument is determined such that both model prices fit as well as possible the bid and ask market quotes. It reflects the liquidity of the financial instrument: the lower the λ, the higher the liquidity. The aim of this paper is to study the evolution of the implied liquidity pre- and post-crisis under a wide range of models and to study implied liquidity time series which could give an insight for future stochastic liquidity modeling. In particular, we perform a maximum likelihood estimation of the CIR, Vasicek and CEV mean-reverting processes applied to liquidity and volatility time series. The results show that implied liquidity is far less persistent than implied volatility as the liquidity process reverts much faster to its long-run mean. Moreover, a comparison of the parameter estimates between the pre- and post-credit crisis periods indicates that liquidity tends to decrease and increase for long and short term options, respectively, during troubled periods.  相似文献   

19.
The main purpose of this paper is to examine empirically the time series properties of the French Market Volatility Index (VX1). We also examine the VX1's ability to forecast future realized market volatility and finds a strong relationship. More importantly, we show how the index can be used to generate volatility forecasts over different horizons and that these forecasts are reasonably accurate predictors of future realized volatility.  相似文献   

20.
We study the performance of conditional asset pricing models and multifactor models in explaining the German cross‐section of stock returns. We focus on several variables, which (according to previous research) are associated with market expectations on future market excess returns or business cycle conditions. Our results suggest that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved when allowing for time‐varying parameters of the stochastic discount factor. A conditional CAPM using the term spread explains the returns on our size and book‐to‐market sorted portfolios about as well as the Fama‐French three‐factor model and performs best in terms of the Hansen‐Jagannathan distance. Structural break tests do not necessarily indicate parameter instability of conditional model specifications. Another major finding of the paper is that the Fama‐French model – despite its generally good cross‐sectional performance – is subject to model instability. Unconditional models, however, do a better job than conditional ones at capturing time‐series predictability of the test portfolio returns.  相似文献   

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