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。     

大豆期货套期保值比率的实证分析

近些年来,我国的期货市场在不断地发展,大豆作为我国的主要农产品之一,其商品期货合约的套期保值比率的研究具有十分重要的意义。因此,本文选用豆一期货为主要研究对象,选取一定量的样本数据,并对数据进行平稳性检验与协整检验,运用普通最小二乘回归模型(OLS模型)、双变量向量自回归模型(B-VAR)以及误差修正模型(ECM)分别估算出套期保值比率,经过一系列的检验最终确定最优套期保值比率。     

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。     

沪深300股指期货的套期保值比率研究--基于多种模型的结果对比分析

套期保值的作用是股指期货在金融市场上的一次重要的应用,其效果取决于合理的套期保值比率。文章基于最小方差套期保值原理,建立VAR、VECM、GARCH-BEEK模型对股指期货的套期保值效果进行分析,进而得出套期保值的最优比率。研究结果发现：在进行套期保值时,从模型类型上看,动态模型估计的最优比率进行套期保值的效果要好于静态模型,从合约类型上看,月度合约估计的最优比率进行套期保值的效果要高于季度合约,在静态模型中当月合约的套期保值效果最好,在动态模型中下月合约的套期保值效果最好。     

我国燃料油期货套期保值功能研究

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。     

中国玉米期货市场套期保值绩效实证研究

本文运用2004年9月至2010年12月中国玉米期货市场和现货市场交易数据,借助OLS、B-VAR、ECM和B-GARCH等计量模型对中国玉米期货市场套期保值的比率进行了测度,并利用套期保值的绩效衡量指标对中国玉米期货市场套期保值的绩效进行了实证研究.研究结果表明:中国玉米期货价格和现货价格之间存在着长期均衡关系;套期保值的期限越长,绩效越明显,说明中国玉米期货市场初步发挥了规避玉米现货价格波动风险的功能.对同一套期保值期限来说,运用不同的套期保值策略,套期保值的绩效差别较大,因此,套期保值者要根据自身现货经营情况选择适当的策略来进行套期保值操作,以最大限度地规避现货生产和经营风险.     

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。     

我国小麦期货市场功能发挥状况实证研究

本文从三个方面来考察期货市场功能的发展状况,一是先行性,二是预测性,三是期货市场套期保值比率及套期保值绩效.通过对三个方面的实证分析,得出小麦现货价格与小麦期货价格的波动方向具有一致性,且小麦期货价格对合约到期日的现货价格具有较强的预测能力,但期货市场的套期保值绩效却很差.     

关于商品期货套期保值风险的实证分析——以大连商品交易所大豆商品期货为例

<正>套期保值是期货市场产生和发展的原动力,是生产经营企业进行价格风险规避的手段,然而,套期保值的最终结果并未必将风险全部转移出去。近年来,我国期货市场上套期保值风险事件屡屡发生,例如,近几年的"中航油"和"国储铜"事件,都给套保企业带来了巨大的损失。另外,中盛粮油利用CBOT大豆和豆油的期货和期权合约从事套保交易,价格背离走势使该企业遭受双重亏损。因此,套期保值交易中存在的风险值得警惕。     

郑棉期货最优套期保值实证研究

本文以目前期货市场上的郑棉期货和棉花现货为研究对象,运用各种估计模型估计出棉花期、现货之间不同周期数据的实际最优套期保值比率,并基于风险最小化的原则对各模型的套期保值绩效进行评估和分析.实证发现,简单套期保值不能达到最优效果,棉花期、现货之间的最优套期保值比率随着数据周期性变化而变化,并且发现样本内的套期保值效果均比样本外数据好,误差修正模型的套期保值绩效最佳.     

Hedging effectiveness of the Athens stock index futures contracts

This paper examines the hedging effectiveness of the FTSE/ATHEX-20 and FTSE/ATHEX Mid-40 stock index futures contracts in the relatively new and fairly unresearched futures market of Greece. Both in-sample and out-of-sample hedging performances using weekly and daily data are examined, considering both constant and time-varying hedge ratios. Results indicate that time-varying hedging strategies provide incremental risk-reduction benefits in-sample, but under-perform simple constant hedging strategies out-of-sample. Moreover, futures contracts serve effectively their risk management role and compare favourably with results in other international stock index futures markets. Estimation of investor utility functions and corresponding optimal utility maximising hedge ratios yields similar results, in terms of model selection. For the FTSE/ATHEX Mid-40 contracts we identify the existence of speculative components, which lead to utility-maximising hedge ratios, that are different to the minimum variance hedge ratio solutions.     

Alternative settlement methods and Australian individual share futures contracts

Individual share futures contracts have been introduced in Australia since 1994. Initially, the contracts were settled in cash. In 1996, cash settlement was gradually replaced by physical delivery. This study investigates the effects of the settlement method change on Australian individual stock and its futures markets. Specifically, we examine whether return and volatility of each market, correlation between the two markets, basis behavior, and hedging performance of futures markets differ across cash settlement period and physical delivery period. We find that, after the switch from cash settlement to physical delivery, the futures market, the spot market, and the basis all become more volatile. However, each individual share futures contract becomes a more effective hedging instrument. The improvement in hedging effectiveness is particularly impressive for the most recently established individual share futures contracts.     

DCC-GARCH、M-Copula-GARCH和Copula-SV在商品期货对冲中的应用研究

中国商品期货市场已经成为全球期货市场不可或缺的重要组成部分。文章比较研究了DCC-GARCH、M-Copula-GARCH和Copula-SV三种模型对我国最重要的期货合约——铜和棉花的对冲比率的影响。结果表明:Copula-SV是最优的对冲模型,文章还发现:二月期的铜期货合约和三月期的棉花期货合约对冲现货的效率最高。     

Jump-Dependent Model for Optimal Index Futures Hedging in Five Major Asian Stock Markets

This article develops a jump-dependent model to capture the dependences between spot and futures returns and their jumps simultaneously, named JD model. We examine hedging performance of the presenting JD model for the futures contracts of Hong Kong, Japan, Korea, Singapore, and Taiwan. The results have shown that the JD model has better out-of-sample performance than the OLS for Korea, Singapore, and Taiwan. Since these three markets have higher jump dependence between spot and futures, we consider that jump dependence plays an important role in hedging performance. The higher jump dependence means spot and futures markets move more closely when unusual news reveals itself and thus futures could hedge the spot more effectively when extreme unusual news arrives.     

中国期货市场套期保值绩效实证研究

为了研究中国期货市场的套期保值绩效，本文利用确定套期保值比率的OLS、B-VAR、ECHM和EC—GARCH四个模型和套期保值绩效的衡量指标，对中国期货的小麦、大豆、铜和铝的套期保值比率和绩效进行了实证研究，使用1998～2004年中国期货与现货价格的周数据来进行单位根和协整检验等计量分析。研究显示，金属期货品种的套期保值比率和绩效比农产品期货品种的套期保值比率和绩效都要高。考虑了协整关系的ECHM和EC—GARCH模型的套期保值比率和绩效比没有考虑协整关系的OLS和B—VAR模型高，样本区间外的套期保值绩效优于样本区间内的绩效。本文认为采用ECMH和EC—GARCH模型进行套朔保值是最佳的策略。     

Futures-Style Options on Euro-deposit Futures: Nihil sub Sole Novi?

Euro-deposit futures play a relevant role among the derivative products traded in official markets. As opposed to most futures contracts, the underlying instrument is not represented by a traded asset but by a linear transformation of an interest rate, the Libor. The options written on Euro-deposit futures that are traded at the London International Financial Futures & Options Exchange (LIFFE) are subject to daily marking to market, as the underlying futures; thus, they are called futures-style options or pure futures options. These options are often priced with the Black (1976) formula, whose use entails several shortcomings. A more realistic alternative is represented by the univariate Cox, Ingersoll and Ross (1985) model. The closed-form solutions for the prices of Euro-deposit futures and futures-style options on Euro-deposit futures obtained in the CIR model are two major original contributions presented in this paper. Other original contributions involve the determination of the relation between futures rates and forward rates and the derivation of the equivalent portfolio for the hedging of futures-style options on Euro-deposit futures.     

Swap variance hedging and efficiency: The role of high moments

In this article, we propose a new theoretical approach for developing hedging strategies based on swap variance (SwV). SwV is a generalized risk measure equivalent to a polynomial combination of all moments of a return distribution. Using the S&P 500 index and West Texas Intermediate (WTI) crude oil spot and futures price data, as well as simulations by varying the distribution of asset returns, we investigate the dynamic differences between hedge ratios and portfolio performances based on SwV (with high moments) and variance (without high moments). We find that, on average, the minimizing-SwV hedging suggests more short futures contracts than minimizing-variance hedging; however, when market conditions deteriorate, the minimizing-SwV hedging suggests fewer short positions in futures. The superior posthedge performances of the mean-SwV hedged portfolios over the mean-variance hedged portfolios in highly volatile or extremely calm markets confirm the efficiency of the mean-SwV hedging strategy.     

Optimal Hedging in Futures Markets with Multiple Delivery Specifications

Nearly all futures contracts allow delivery of any of several qualities of the underlying asset. Consequently, the price of the futures contract is associated more with the price of the expected cheapest deliverable variety than with the price of the par-delivery variety. The delivery specifications introduce a delivery risk for every hedger in the market. We derive the optimal hedging strategies in these markets. Their hedging effectiveness is evaluated for wheat futures contracts in Chicago. Hedging optimally would have significantly reduced the variance of the rates of return on hedges while yielding similar mean returns.     

Dynamic Hedging Effectiveness in South Korean Index Futures and the Impact of the Asian Financial Crisis

This paper focuses on the impact of the 1997 Asian financial market crisis upon hedging effectiveness within the KOSPI 200 stock index and index futures markets. The paper utilizes the inter-temporal relationship between the two markets to examine the characteristics of several minimum variance hedge ratios. It also examines the performances of alternative hedging strategies for dynamic portfolio management in the presence of cointegrated time-varying risks. The results show a decline in the persistence of conditional volatility within market prices after the crisis. This decline leads to the relative performance of utilizing constant hedge ratios to increase, though not significantly so to guarantee a superior performance over more sophisticated time-varying hedge ratio strategies.     

Explicit versus Implicit Contracts: The Case of DIFF and CROSS Futures

This paper investigates the potential success of an explicit futures contract when an implicit one, which can duplicate it, exists. It is hypothesized that the success of the explicit futures contract depends on its value added being greater than that of its implicit counterpart given that sufficient hedging demand exists for it. Following a discussion of value added analysis, hedging effectiveness of the Euro-rate Differential (DIFF), the Currency Cross-rate (CROSS) futures contracts, and their implicit counterparts are calculated and tests of relative hedging effectiveness of these contracts are performed. Test results support the hypothesis of the paper and their implications for new futures contract development are discussed.