首页 | 本学科首页   官方微博 | 高级检索  
     检索      

钢材期货套期保值功能研究
引用本文:汤乐明,张群.钢材期货套期保值功能研究[J].技术经济与管理研究,2011(3):86-90.
作者姓名:汤乐明  张群
作者单位:北京科技大学经济管理学院,北京,100083
摘    要:本文利用最小方差理论、OLSA方法、简单套期保值和EWMA模型,根据滚动套保的思路,对螺纹钢期货和线材期货的套期保值功能进行了实证研究,得出如下结论:螺纹钢期货和线材期货基于EWMA模型的套保绩效分别D38%@40%,钢材期货套保功能初显;线材期货成交量和持仓量远小于螺纹钢期货,套保功能仅在理论上存在可能;简单套期保值方法(套期比为1)在钢材期货上基本无效;基于EWMA模型的套保方案在一定程度上解决了波动积聚和现货收益率变化不明显的问题。明显优于其他三种套保方案。

关 键 词:套期效率  EWMA模型  钢材期货  套期保值

Empirical Study on Steel Futures' Hedging Function
TANG Le-ming,ZHANG Qun.Empirical Study on Steel Futures' Hedging Function[J].Technoeconomics & Management Research,2011(3):86-90.
Authors:TANG Le-ming  ZHANG Qun
Institution:(School of Economics and Management of University of Science & Technology Beijing,Beijing 100083,China)
Abstract:This paper studies the Steel futures" hedging function by using several dynamic hedging methods, including minimum variance, OLS, Naive and EWMA models. Empirical study indicates that, the mean of Steel Rebar's and Steel Wire Rod's hedging effectiveness is 0.38 and 0.40 based on EWMA model. The steel futures" hedging function begins to occur. But Steel Wire Rod's trading volume and position are far less than that of Steel Rebar's, so the hedging function of Steel Wire Rod is impossible. The naive hedging method is invalid in Steel futures. Because of solving the problems of fluctuating aggregating and spot's lowly returns, the EWMA model is superior to traditional hedging methods in the aspect of hedging effectiveness and fund demand.
Keywords:Hedging efficiency  EWMA methods  Steel futures  Hedging
本文献已被 CNKI 维普 万方数据 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号