PTA生产企业套期保值策略研究

PTA市场价格波动频繁,作为生产厂商,需要确保利润不会因价格波动而减少,因此,可以选择PTA期货品种进行套期保值。在多种套期保值方法和评价指标中,本文选择Markowitz组合投资理论解释的套期保值方法和JohnC．Hul的改进模型以收益方差最小化推导出的最优套期保值比率作为评价指标,并用Ederington提出的评价套期保值有效性指标分析套期保值效果。通过2013年上半年数据,实证分析,证明套期保值可以减少生产企业大部分风险。

The Study of Hedging Strategies of PTA Production Enterprises

In order to make sure that the profits may not decrease for the price fluctuation, the manufacturers of PTA can choose PTA futures for hedging. Among a variety of methods and evaluation indicators for hedging, we use Markowitz portfolio theory and the optimal hedging ratio derived by John C.Hul as evaluation indicators, and use the hedging effectiveness evaluation indicators proposed by Ederington to analyze the hedging effectiveness. The empirical analysis with the data from the first half of 2013 proves that hedging can reduce most risk for manufacturing enterprises.