| 中国黄金期货与现货市场的相关性及其套期保值研究 |
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| 引用本文： | 李红霞,傅强,袁晨.中国黄金期货与现货市场的相关性及其套期保值研究[J].财贸研究,2012,23(3):85-92. |
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| 作者姓名： | 李红霞 傅强 袁晨 |
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| 作者单位： | 重庆大学经济与工商管理学院,重庆,400030 |
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| 摘 要： | 通过构建VAR-DCC-MVGARCH模型,检验2008—2011年中国黄金期货与现货市场的相关性,并分析最小化资产组合风险的最优套期保值率及其绩效,结果表明:黄金市场仅存在着现货收益率对期货收益率的单向影响;收益率的波动间具有高度正相关的时变特征;动态套期保值组合能够有效地规避黄金现货的投资风险。
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| 关 键 词： | 黄金市场 期货 现货 套期保值 |
Relationship and Portfolio Hedging between Spot and Futures Returns:Evidence from Chinese Gold Markets |
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| LI Hong-xia
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FU Qiang
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YUAN Chen.Relationship and Portfolio Hedging between Spot and Futures Returns:Evidence from Chinese Gold Markets[J].Finance and Trade Research,2012,23(3):85-92. |
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| Authors: | LI Hong-xia FU Qiang YUAN Chen |
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| Institution: | (College of Economy and Business Administration,Chongqing University,Chongqing 400030) |
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| Abstract: | By constructing a VAR-DCC-MVGARCH model,this paper studies relationships and hedging strategies between spot and futures returns from 2008 to 2011 in Chinese gold markets.The research has useful information for formulating portfolio hedging,regulating markets and controlling risk.Results indicate that there only exists unidirection impact from spot to futures returns,and volatilities of returns exhibit have not only time-varying features but also highly positive correlation.Finally,the model is shown to produce more efficient hedging strategies。 |
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| Keywords: | gold markets futures spot hedging |
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