股指期货的套期保值交易

套期保值是股票指数期货(简称股指期货)的主要经济功能之一,套期保值交易也叫“对冲”交易,即保值者基于期货价格和现货价格受相同经济因素影响而具有基本相似的走势,在期货市场上进行与现货或将要拥有的现货头寸方向相反的操作,在一定期间内,如果一个市场亏损,则另一个市场盈利,否则相反。这样,无论现货市场因股市波动损失多大,或盈利多高,都因为套期保值的操作而互相抵偿即锁定现在就有的正常的利润达到“保值”的目的,从而规避了股市系统性风险。一、套期保值类型股指期货与其它金融期货和商品期货一样,其套期保值可分为多头套期保值和空…     

期货套期保值是怎样实现的

期货套期保值是怎样实现的中央财政金融学院研究所刘姝威１期货市场有两大功能：规避风险和价格发现。对于参加期货交易的企业法人来说，最重要的是利用期货规避风险，也就是说，利用期货套期保值。传统的套期保值概念是指商品期货与现货市场已经有的或将要有的同种商品数...     

上证50股指期货核心功能研究

上证50股指期货的出现对股票市场的价格形成机制和市场风险规避能力产生了重要的影响.本文将研究上证50股指期货的核心功能,一方面通过ADF检验、协整检验和格兰杰因果检验验证了上证50股指期货和现货之间的价格发现功能,发现上证50股指期货对现货具有价格发现功能,现货对期货没有价格发现功能;另一方面通过使用OLS模型、VAR模型和ECM模型等静态套期保值模型研究上证50股指期货和现货之间的套期保值功能,发现上证50股指期货的套期保值的有效性较好,并且给出上证50股指期货市场的最优套期保值比率,用于实现现货市场风险的有效转移.     

浅谈企业套期保值

原材料价格的大幅波动将给企业生产、销售计划带来很大困难,为了规避价格波动风险,企业必须利用衍生品期货做套期保值,以对冲现货价格波动带来的风险及锁定成本和预期利润,保证经营计划顺利完成。然而,不少中资企业在。套期保值。上遭受巨亏事件频发。本文试图分析造成企业在套期保值中亏损的原因,并尝试分析企业如何进行套期保值。     

浅谈企业套期保值

原材料价格的大幅波动将给企业生产、销售计划带来很大困难,为了规避价格波动风险,企业必须利用衍生品期货做套期保值,以对冲现货价格波动带来的风险及锁定成本和预期利润,保证经营计划顺利完成.然而,不少中资企业在"套期保值"上遭受巨亏事件频发.本文试图分析造成企业在套期保位中亏损的原因,并尝试分析企业如何进行套期保值.     

钢材企业开展期货套期保值业务的会计处理研究

期货套期保值作为企业规避现货价格波动风险的有效工具逐渐被企业所了解和应用。本文分别对钢材企业进行期货公允价值套期和现金流量套期两种套期活动下会计处理及信息披露进行了梳理,以期为钢材企业开展套期保值业务的会计处理提供一定的借鉴作用。     

国际碳市场与能源市场动态相依关系研究与启示——基于DCC-MVGARCH模型

本文应用基于条件多元t分布的DCC-MVGARCH模型研究CERs期货价格收益同能源期货价格收益之间的动态相依关系,旨在探讨跨品种套期保值的可行性及操作策略,为国内减排企业及时对冲CERs价格波动风险提供经验依据。实证结果显示:CERs期货价格收益和能源期货价格收益之间存在正相关性;相较Euro天然气期货合约与GlobalCoaL期货合约,BRenT原油期货合约更适用于构造套期保值组合;以动态条件相关系数测算时变套期保值比率明显降低了组合收益的方差并提升了组合收益的均值,其套期保值绩效要优于条件相关系数。基于此结果本文认为,国内减排企业应当积极采取相关套期保值策略并定期更新动态条件相关系数均值,政府主管部门亦应着手实施碳资源战略储备以对冲风险。     

股指期货最小风险保值比率的MABM模型初探

一、股指期货不确定性最小风险保值比率 股票指数期货(简称股指期货)用于规避股票系统风险,是通过套期保值实现的.实质上套期保值交易无论做多还是做空都是一种防御性的策略,所谓最小风险套期保值即在进行套期保值操作后,如果股票价格果然如保值者所担心的那样,出现对自己不利的变化,股票指数期货市场盈利基本上能弥补现货市场上的亏损,因而使股票现货损失达到风险最小化,此时的现货头寸与期货头寸的比率称为股票指数期货最小风险保值比率.     

运用股指期货有效规避系统性风险之方法研究

股指期货可以有效地规避系统性风险，其基本原理是股份指数组合与股指期货合约的变动率呈正相关，只要在现货市场和期货市场进行相反的操作，就可以控制风险水平，股指数货规避系统性风险的方法包括套期保值，套利，利用股指期货规避系统性风险的实质是风险转移。我国股市的系统性风险比较大，开设股指期货显得日益重要。     

基于国际原油市场中不同交易者行为的原油价格动态分析

原油的期货价格是市场对未来现货市场价格的预估值,文章根据期货市场出清时,期货合约的总需求为零的条件建立包含套利、套期保值和期货投机交易行为的原油期货价格模型。采用FMOLS估计和Phillips-Ouliaris残差单位根检验法考察原油期货市场上的三类主体,套利者、套期保值者和期货投机者的市场交易行为与NYMEX的不同到期月份的WTI原油期货合约价格的动态关系。结果表明,原油期货市场已成为期货投机者的乐土,而对承担套期保值者转嫁风险的作用有限,原油期货投机对期货价格的决定作用远大于套利交易和套期保值交易,未来现货价格预期对期货价格的影响也非常小。     

John Stuart Mill's Theory Of Justice

John Stuart Mill has traditionally been portrayed as self-contradictory and failing to construct a unified social theory. Recent scholarship, however, has challenged this view, finding Mill's work to be creatively synthetic in bridging the antinomies inherent in liberal democratic thought. This revisionist interpretation of Mill is advanced by an understanding of his theory of justice and its role in shaping his policy positions on issues such as welfare, education, voting rights, property rights, taxation, government intervention, and the future of capitalism.     

A Rich Vein for “Reality Mining”北大核心CSSCISSCI

Arik Hesseldahl In the aftermath of the September 11 attacks, U.S. officials quickly turned their attention to other potential targets, including California's Golden Gate Bridge. What would happen if terrorists took down the bridge between San Francisco and Marin County? How much of the region would be affected and for how long?     

中国养活自己能力的长期预测:技术和政策分析

中国拥有世界五分之一强的人口 ,收入又在迅速增长。因此 ,国际上很自然地会考虑或推测她在今后的几十年是否有能力养活自己。中国的人口预计将从 2 0 0 0年的 1 2 8亿增长到 2 0 2 0年的 1 4 6亿 ,和 2 0 3 0年的 1 4 9亿。与此同时 ,人均收入的增长将导致对家畜和鱼类产品更大的需求 ,因而对饲料的需求也将有很大的增长     

John Stuart Mill's Theories of Wealth and Income Distribution

Although he was much influenced by David Ricardo when he wrote the classical part of his Principles , John Stuart Mill was not a Ricardian when he penned his theories of wealth and distribution. They are based on a triple foundation. First, a belief that economics is a moral discipline. Second a theory of custom-driven human behavior. Third, an empirically formed conviction that the institutions of state, education and business cooperate to structure the distribution of income. On the basis of these presuppositions, Mill formulated 1) an institutional theory of the formation of human and non-human wealth and 2) an even more institutional theory of distribution demonstrating how the aforementioned institutions malignantly skew the distribution of income to the advantage of the propertied classes and to the extreme disadvantage of the working class. As a social economist, Mill recommended institutional reforms designed to eradicate the poverty of the working class.     

Toward a Phylogenetic Reconstruction of Organizational Life

Synopsis Classification is an important activity that facilitates theory development in many academic disciplines. Scholars in fields such as organizational science, management science and economics and have long recognized that classification offers an approach for ordering and understanding the diversity of organizational taxa (groups of one or more similar organizational entities). However, even the most prominent organizational classifications have limited utility, as they tend to be shaped by a specific research bias, inadequate units of analysis and a standard neoclassical economic view that does not naturally accommodate the disequilibrium dynamics of modern competition. The result is a relatively large number of individual and unconnected organizational classifications, which tend to ignore the processes of change responsible for organizational diversity. Collectively they fail to provide any sort of universal system for ordering, compiling and presenting knowledge on organizational diversity. This paper has two purposes. First, it reviews the general status of the major theoretical approaches to biological and organizational classification and compares the methods and resulting classifications derived from each approach. Definitions of key terms and a discussion on the three principal schools of biological classification (evolutionary systematics, phenetics and cladistics) are included in this review. Second, this paper aims to encourage critical thinking and debate about the use of the cladistic classification approach for inferring and representing the historical relationships underpinning organizational diversity. This involves examining the feasibility of applying the logic of common ancestry to populations of organizations. Consequently, this paper is exploratory and preparatory in style, with illustrations and assertions concerning the study and classification of organizational diversity.     

Information infrastructure: Who builds broadband networks?

This paper examines the essential difference between the U.S. and Japan, when one considers information infrastructure. There are seven perception gaps between the U.S. and Japan concerning Information Infrastructure policies. These gaps must be understood in order to compare the countries' governmental policies in this area. In looking at the present circumstances, the essential question to answer concerns who is to build, own and operate the network(s) of the infrastructure. Liberalization is certain to be a central factor in the ongoing telecommunications debates. Now that customers have had a taste of the liberalized market-place, the movement toward more open markets will be difficult to stop. When considering options, it is necessary to pay close attention to standardized network access and the increasingly important role software plays. These issues are causing us to take a new approach to the traditional role played by regulators. They also force a closer look at the appropriate structure of utility companies. This paper addresses the above issues in hopes of stimulating dialog on the new telecommunications infrastructure paradigm.     

海岛地区产业演替及资源基础分析--以舟山群岛为例

改革开放以来,舟山市产业构成发生了显著变化,其经济发展过程可以划分为三个阶段。1992年前,是以产业结构渔业占绝对地位的单一结构阶段;1993—1998年,以旅游业为主的第三产业快速发展阶段;上世纪末以来,又进入了新一轮的经济发展时期,即工业产值比重快速增加阶段。根据海岛的自然资源基础和特点,在新世纪的经济发展过程中,舟山市应定位为生态型的港口旅游城市。以港口及临港工业为主导,以海岛旅游和海洋经济为特色,大力发展第二产业和第三产业。海岛地区的主导产业应体现海岛资源优势及区位优势,以集群性环保型产业为主。同时由于海岛地区淡水资源缺乏,主导产业也应着重选择低耗水型产业。     

风险视角下企业治理结构和研发创新——基于委托代理模型的研究

本文基于委托代理模型,从风险的视角研究企业治理结构对研发创新能力的影响。本文构建了一个包含创新活动的委托代理模型进行理论分析,利用动态DEA 模型测算创新能力,并使用2015-2018年我国上市制造业企业数据进行实证检验。实证部分检验了理论结论:委托代理问题不利于企业提升研发创新能力,且客观风险和主观风险厌恶会加剧该负面影响。基于此,本文认为上市企业应根据企业自身研发活动特点有针对性地改善企业治理结构,提出了适当延长代理人任期、推动股权激励计划、提升代理人的风险承担能力等建议。     

生物群落结构原型的仿生学模拟

模拟生命系统管理规律的科学即管理仿生学,是知识时代仿生学研究的新领域与前沿.基于模拟生物群落结构规律的研究目的,采用仿生学模拟的研究方法,以生物群落结构为原型,建立了仿生群落结构模型.结论为:垂直结构、水平结构、时间结构与交错区结构是支持生物群落生命活动的结构规律,以该规律为原型,推理建立了仿生分层结构、仿生优化结构、仿生动态结构与仿生相邻结构,四种仿生结构分别侧重于管理资源的分层管理、局部优化管理、动态过程管理、相邻关系管理,该模型为建立类似生物群落的人造管理系统即仿生群落管理系统提供了仿生结构模型.可以预测,该模型具有广泛的应用价值,能够推动管理仿生学的发展.