套期保值期限、期货合约选择与最优套期保值比率--基于中国铜、铝期货市场的实证研究

本文采用更接近套期保值实践的数据选取方法,基于中国铜、铝期货市场分别对套期保值期限与最优套期保值比率、套期保值绩效之间的关系,以及期货合约选择与最优套期保值比率、套期保值绩效之间的关系进行了系统的研究。本文的主要实证结果如下:首先,与现有文献的结论不同,不同套期保值期限的套期保值比率比较接近,而且套期保值期限对最优套期保值比率、套期保值绩效的影响不显著;其次,在套期保值时选择的期货合约距离最后交割月越近,最优套期保值比率越大,套期套期保值绩效越好。

The Effects of the Length of Hedging Horizon and Futures Contract Selection on the Optimal Hedge Ratio: an Empirical Research on China Copper and Aluminum Futures Market

By using an approach close to the real hedging practice, the paper is to study the effects of the length of hedging horizon and futures contract selection on the optimal hedge ratio and hedge effectiveness in the copper and aluminum futures market in China. The main empirical results indicate: firstly, the hedge ratios of different length of hedging horizons are very close, and the length of hedging horizon has no statistically significant effects on the optimal hedge ratio and hedge effectiveness, which is different from the empirical results in current literatures; secondly, the optimal hedge ratio and hedge effectiveness are generally larger and better by buying a futures contract with near delivery date than those by buying a distant futures contract.