本文關(guān)鍵詞：基于滬銅的展期套期保值研究　出處：《西南財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 展期套期保值 套期保值比率 期貨價差 風(fēng)險 收益

【摘要】：套期保值就是生產(chǎn)者、經(jīng)營者、消費者等利用期貨來對沖現(xiàn)貨價格波動的風(fēng)險,是人們管理風(fēng)險的重要途徑。正因為套期保值在現(xiàn)實生活中的重要性,國內(nèi)外許多學(xué)者都對套期保值進(jìn)行了研究。在Markwitz提出投資組合理論以后,用投資組合理論的視角來分析、解釋套期保值理論成為主流。在這種背景下,對最佳套期保值比率的研究成為套期保值的核心問題之一。在不同目標(biāo)函數(shù)之下,使用不同的計量估計方法,利用不同的效果評價標(biāo)準(zhǔn),對最佳套期保值比率的研究不斷發(fā)展。這也使得國內(nèi)外的相關(guān)研究可謂是汗牛充棟,并且隨著計量方法的不斷發(fā)展,對最佳套期保值比率的估計也會不斷擴(kuò)展。然而,各位學(xué)者的實證研究表明：并沒有一種計量方法估計出來的最佳套保比顯著優(yōu)于其它的最佳套保比。另一方面,套期保值中還有許多較小的問題值得研究,例如：套期保值的展期問題、套期保值的成本問題、套期保值的期限問題等等。這些問題對套期保值理論的發(fā)展也許顯得不是那么重要,但是它們是套期保值理論在現(xiàn)實應(yīng)用中必須解決的細(xì)節(jié)性問題,具有重要的現(xiàn)實意義,因此對這些問題的研究是具有必要性的。本文將集中研究展期套期保值策略,在借鑒其他學(xué)者相關(guān)研究的基礎(chǔ)上,提出自己的見解。 展期套期保值指套期保值者利用多個短期期貨合約的滾動來進(jìn)行長期的套期保值。套期保值之所以進(jìn)行展期操作,是由于套期保值的時間需求超過了期貨市場上相關(guān)期貨合約的最長到期期限或者由于長期合約缺乏流動性,只能選擇流動性較好的短期合約來進(jìn)行替代。當(dāng)然也有出于提高套期保值的收益而主動進(jìn)行展期的,因為許多研究表明：在正向市場上賣出期貨合約或者在反向市場上買入期貨合約能獲得可觀的收益。建立新中國以來,我國期貨市場的發(fā)展才20多年,相對國外發(fā)展比較成熟的期貨市場而言,還顯得比較年輕,其中的一個主要表現(xiàn)就是缺乏到期時期較長的品種,在期限較短的期貨品種中,相對到期時期較長的合約的流動性還不好,這就突出了在我國進(jìn)行展期套期保值的必要性和研究展期套期保值的現(xiàn)實意義。 本文希望通過對展期套期保值的研究,能識別展期套期保值的風(fēng)險因子,制定相應(yīng)的套期保值策略,并比較各種策略的相對優(yōu)劣,探討套期保值的展期時機(jī)問題和展期合約選擇問題。本文的主要結(jié)構(gòu)為： 第一章,導(dǎo)論部分,這章闡述了展期套期保值研究的選題背景、選題意義、研究方法和研究思路等相關(guān)問題。 第二章,文獻(xiàn)綜述部分,這章闡述了與本文相關(guān)的一些理論,包括期貨價格的定價理論、套期保值理論,并從套期保值的目標(biāo)函數(shù)、最佳套期保值比率的計量估計方法、套期保值效果評價三個角度總結(jié)了有關(guān)最佳套期保值比率的理論研究,最后總結(jié)國內(nèi)外有關(guān)展期套期保值的研究現(xiàn)狀。 第三章,展期套期保值風(fēng)險分析部分,這章分解了單期套期保值組合收益和展期套期保值組合收益的表達(dá)形式,并運(yùn)用持有成本理論進(jìn)一步分解,用規(guī)范分析得出展期套期保值的風(fēng)險因子為：現(xiàn)貨價格、利率、儲藏成本、便利收益。針對展期套期保值的風(fēng)險特點,結(jié)合不同的風(fēng)險對沖思路,提出了四種展期套期保值策略,包括簡單成堆展期套期保值、MV成堆展期套期保值、遞減型系列展期套期保值、不變型系列展期套期保值。 第四章,展期套期保值策略的構(gòu)建與實證,這章在第三章的基礎(chǔ)上具體構(gòu)建了四種展期套期保值策略的模型,在方差最小化的框架下,提出三種最佳套期保值比率的估計方法,分別是無遠(yuǎn)見策略、回溯遞推法、整體規(guī)劃策略,然后用這三種估計方法來估計除簡單成堆展期套期保值策略外的其它三種展期套保策略的最佳套期保值比率。最后,本章以2003年8月1日到2012年12月31日的滬銅和長江現(xiàn)貨銅數(shù)據(jù)為樣本,實證對比了這四種策略三種估計方法十個最佳套期保值比率,并比較了套期保值效率、套期保值成本等問題。 第五章,套期保值展期的時機(jī)和合約選擇部分,這章研究展期套期保值更加細(xì)節(jié)化的問題：展期時機(jī)選擇和展期合約選擇。本章從分析期貨價差的波動特征入手,以“期望+標(biāo)準(zhǔn)差”的組合形式來確定期貨價差的正常波動區(qū)間,以期貨價差突破正常波動區(qū)間作為主動展期的信號,并以滬銅數(shù)據(jù)為樣本進(jìn)行了實證分析；然后,本章以期貨價差的相對排序作為展期時選擇合約的依據(jù),同樣以滬銅數(shù)據(jù)為樣本進(jìn)行了實證分析,驗證策略的有效性。 第六章,總結(jié)和展望部分,這章總結(jié)了本文的研究,并指出了本文研究的不足和以后的研究方向。 本文研究的主要成果： 1、在持有成本理論框架內(nèi),用規(guī)范分析的方法分解出展期套期保值的風(fēng)險因子：現(xiàn)貨價格、利率、儲藏成本、便利收益。在此基礎(chǔ)上,結(jié)合不同風(fēng)險對沖思路,提出了四種展期套期保值策略。 2、全面對比研究了展期套期保值四種策略三種估計方法十個最佳套期保值比率。實證的結(jié)論如下： (1)從套保策略來看,系列展期套期保值的套保效率要高于成堆展期套期保值的套保效率。其中,不變型系列展期套期保值的套保效率要高于遞減型系列展期套期保值的套保效率,MV(方差最小)成堆展期套期保值的套保效率要高于簡單成堆展期套期保值的套保效率。 (2)從估計方法的效果來看,基于全階段的整體規(guī)劃策略取得的套保效率最高,而回溯遞推法取得的套保效果一般要好于無遠(yuǎn)見策略取得的套保效果。 (3)從估計方法的成本來看,在成堆展期套期保值策略中,這三種方法估計出來的交易成本基本相同,而在系列展期套期保值策略中,用整體規(guī)劃策略估計的交易成本最高,其次是用回溯遞推法估計的交易成本,而用無遠(yuǎn)見策略估計的交易成本最低,且具有穩(wěn)定性。 (4)從交易成本來看,系列展期套期保值的成本要高于成堆展期套期保值。其中,不變型系列展期套期保值的成本一般要高于遞減型系列展期套期保值的成本,簡單成堆展期套期保值的成本要高于MV成堆展期套期保值的成本。 (5)關(guān)于所選合約種類多少的問題。隨著所選合約種類的增加,系列展期套期保值的套保效率不斷提高,但是交易成本也急劇增加。然而對于不同的估計方法,交易成本的增加程度不同。其中,無遠(yuǎn)見策略的交易成本增加最小,回溯遞推法的所需交易成本增加幅度次之,而基于全階段的整體規(guī)劃策略的交易成本增加最多。 3、結(jié)合其他學(xué)者的投資交易策略,本文提出了主動展期的區(qū)間突破策略,實證表明該策略能有效的提高持有期貨的收益,從提高套期保值的收益；同時本文以期貨價差相對大小來作為展期合約選擇標(biāo)準(zhǔn),從收益性和兼顧收益風(fēng)險兩個角度來看,該策略實證都取得不錯的效果。 本文的不足之處在于： 1、在計量方法的運(yùn)用上,計量方法單一。在方差最小化的框架下,本文只簡單運(yùn)用了樣本矩來進(jìn)行估計,沒考慮存在異方差和自相關(guān)的情況,沒有應(yīng)用比較新的計量方法,例如：雙變量自回歸模型、協(xié)整模型、M—GARCH模型、SV模型等,方法較為單一。 2、在實證對象的范圍上,實證品種單一。由于我國同時擁有幾個流動性較好的不同到期日的期貨品種較少,本文只以我國比較成熟的滬銅為樣本進(jìn)行了實證研究。因此,本文提出的策略在其他期貨品種上的效果如何,有待檢驗。 3、在展期套期保值的期限上,考查期限較短。為了便于橫向比較,本文假定套期保值的期限僅為3個月,未涉及到長期的展期套期保值的實證研究。因此,本文未涉及到套期保值組合收益的時間價值問題以及現(xiàn)貨數(shù)量是變化的情況。
[Abstract]:Hedging is a producer, operator, consumer risk using futures to hedge stock price fluctuations, the risk management is an important way for people. Because of the importance of hedging in real life, many domestic and foreign scholars on hedging are studied. After the proposed portfolio theory in Markwitz, with the portfolio theory to analyze, explain the theory of hedging has become the mainstream. In this background, the research on the optimal hedging ratio of hedging has become one of the core problems. Under different objective functions, using different methods of estimation, evaluation to the effect of different standards, research on the optimal hedge ratio of the development. It also makes related researches at home and abroad is an immense number of books, and with the continuous development of measurement methods, to estimate the optimal hedge ratio will continue Extended. However, empirical studies show that the scholars and no one measure of the estimated optimal hedging ratio was significantly better than the other optimal hedging ratio. On the other hand, hedging and many smaller problems worthy of study, for example: the extension of hedging, the cost of hedging, hedging period problems and so on. These problems in the development of the theory of hedging may become less important, but they are the details of the hedging theory must be solved in the practical application, has important practical significance, so the research on these issues is necessary. This paper will focus on the extension of the hedging strategy, on the basis of the related Research of other scholars, put forward their own views.
Renewal hedging refers to a number of rolling short-term futures contracts to long-term hedging hedging. The hedging is extended, hedging is due to the time demand exceeds the underlying futures contract on the futures market the longest maturity or long-term contract due to lack of liquidity, liquidity can only choose better short-term contracts to replace. Of course there are for improving hedging gains but active extension, because many studies have shown that: the sale of futures contracts in the forward market or in reverse on the market buy futures contracts can get considerable income. Since the establishment of new Chinese, the development of China's futures market is only 20 years, relative to foreign development the mature futures market, is still relatively young, a major manifestation of which is the lack of maturity of long period varieties, in In a shorter futures market, the liquidity of a relatively long maturity contract is not good, which highlights the necessity of carrying out the hedging in our country and the practical significance of studying the hedging.
We hope that through the study of hedges, can risk identification renewal hedging, formulate the corresponding hedging strategy, and compare the relative merits of various strategies, explore the hedging problem and extended contract renewal opportunity selection problem. In this paper the main structure:
The first chapter, the introduction part, this chapter describes the background of the study of hedging, the significance of the topic, research methods and research ideas and other related issues.
The second chapter, the literature review, this chapter expounds some theories related to this paper, including futures pricing theory, hedging theory, and the objective function of hedging, optimal hedging ratio estimation method of measurement, the hedging effect evaluation of the three angles summed up the theoretical research on the hedge ratio finally, summarizes the status of Research on hedges at home and abroad.
The third chapter, renewal hedging risk analysis part, this chapter decomposition expression form of the single period hedging portfolio return and renewal hedging portfolio returns, and the use of cost theory further decomposition, normative analysis risk factor to obtain renewal hedging for the cash price, interest rate, storage cost, convenience yield for the risk. The characteristics of rolling hedge, hedging with different ideas, put forward four kinds of rolling hedge strategy, including simple piles of hedges, MV stack and rolling hedge, decreasing series exhibition period hedging, the same series of hedges.
The fourth chapter, the construction and empirical renewal hedging strategy, this chapter on the basis of the third chapter of four kinds of rolling hedge strategy model in the framework of minimum variance estimation method is proposed under the three optimal hedge ratio, respectively, without vision strategy, backtracking recursive method, the overall planning strategy then, using the three estimation method to estimate than simple stack and rolling hedge strategy of the other three kinds of rollover hedging strategy the optimal hedging ratio. Finally, this chapter from August 1, 2003 to December 31, 2012 and the Yangtze River copper copper spot data as samples, the empirical comparison of the four strategies, three estimation methods for the ten best the hedging ratio, and compare the efficiency of hedging, hedging costs and other issues.
The fifth chapter, the timing and hedging delay selection part, this chapter studies the hedges more details of the problem: the extension of timing and extension. This chapter from the analysis of futures price volatility characteristics, to determine the normal range of the futures price to form expectations + standard deviation ", to the futures price break the normal fluctuation range as a signal of active extension, and empirical analysis to copper data sample; then, in this chapter, the relative ranking of the futures price as the extension when the choice of contract basis, the same with copper as the sample data for the empirical analysis, verify the effectiveness of strategies.
The sixth chapter, summary and prospect part, this chapter summarizes the study of this paper, and points out the shortcomings of this paper and the future research direction.
The main achievements of this paper are as follows:
In 1, the cost of holding within the theoretical framework, risk factor method with normative analysis exhibited decomposition period Hedging: spot price, interest rate, storage cost, convenience yield. On this basis, combined with the idea of different risk hedge, puts forward four kinds of rolling hedge strategy.
2, a comprehensive comparison is made to study the four kinds of hedging strategies, three methods, and ten best hedging ratios. The conclusions are as follows:
(1) from the hedging strategy, a series of rolling hedge hedging efficiency is higher than the efficiency of Paul set piles of rolling hedge. Among them, the same type of rolling hedge hedging efficiency is higher than the set of Paul efficiency decreasing series of hedges, MV (minimum variance) stack and rolling hedge sets Paul is more efficient than the simple and efficient set of piles of hedges.
(2) from the effect of the estimation method, the overall plan strategy based on the whole stage is the most effective, while the backtracking method is generally better than the hedging strategy.
(3) from the cost estimation method, in the stack and rolling hedge strategy, the transaction costs of the three methods estimated is basically the same, and in the series of rolling hedge strategy, transaction cost estimation of overall planning strategy is the highest, followed by the transaction cost by backtracking recursive method of estimation, and the lowest the transaction cost estimation strategy without vision, and has stability.
(4) from the view of transaction costs, the cost of a series of rolling hedge is higher than that of piles of rolling hedge. Among them, the same type of rolling hedge costs are generally higher than the decreasing series renewal hedging cost, simple stack and rolling hedge cost must be higher than the MV stack and rolling hedge cost.
(5) to a selected type of contract many problems. With the increase of the selected type of contract, a series of rolling hedge hedging efficiency continues to improve, but the transaction cost has increased dramatically. However, different estimation methods, increase the degree of transaction cost is different. Among them, the transaction cost improvident strategies increase the minimum, the should the transaction cost backtracking recursive method increases the transaction cost and the overall planning strategy of the whole stage based on the largest increase.
3, combined with the investment trading strategy of other scholars, this paper proposes active extension of the range of Breakthrough Strategies, empirical evidence shows that the strategy can effectively improve the income from holding futures hedging, increase income; at the same time based on the relative size of the futures price as an extension of selection criteria, from income and taking into account the income risk in two aspects the empirical strategy, have achieved good effect.
The shortcomings of this paper are as follows:
In 1, using the measurement method, the measurement method is single. In the framework of minimum variance, this paper simply uses the sample moments to estimate, not considering the heteroskedasticity and autocorrelation of the situation, there is no measurement method, a relatively new application such as double variable regression model, cointegration model, M GARCH model, SV model etc. the method is relatively simple.
2, in the range of empirical study on the empirical single species. In our country also have several good fluidity of different maturity futures, this paper makes an empirical study on China's only mature copper samples. Therefore, how to effect, this paper puts forward the strategy in other futures to be tested.
3, in the period of hedging period, examine a shorter period of time. In order to facilitate the comparison, this paper assumes that the hedging period of only 3 months, not related to the empirical research on long-term renewal hedging. Therefore, this paper did not involve the hedged portfolio return time value and quantity of the spot is change the situation.

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F724.5;F764.2

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本文編號：1420721