本文選題：橡膠期貨　切入點(diǎn)：現(xiàn)貨價(jià)格　出處：《上海師范大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：天然橡膠期貨自1952年在日本上市以來(lái)，經(jīng)歷較長(zhǎng)時(shí)期的平穩(wěn)發(fā)展。當(dāng)前，新加坡交易所、日本工業(yè)品交易所、泰國(guó)農(nóng)產(chǎn)品交易所和上海期貨交易所是全球最主要天然橡膠期貨交易市場(chǎng)。特別是隨著中國(guó)期貨市場(chǎng)的迅猛發(fā)展，上海天然橡膠期貨的市場(chǎng)規(guī)模和影響力得到顯著提升。目前，滬膠期貨交易量穩(wěn)居全球天然橡膠期貨首位。從市場(chǎng)規(guī)模、成交量和流動(dòng)性三個(gè)方面比較，滬膠期貨已全面超越東京市場(chǎng)，從而為獲得天然橡膠國(guó)際定價(jià)權(quán)奠定了基礎(chǔ)，所以研究國(guó)內(nèi)滬膠現(xiàn)貨和期貨有著比較重要的意義。 我國(guó)從上個(gè)世紀(jì)90年代開(kāi)始探索建立期貨市場(chǎng)，，套期保值功能，已經(jīng)作為重要的規(guī)避風(fēng)險(xiǎn)工具而大量被各類(lèi)企業(yè)、投資以及投資者使用，在對(duì)商品或者資產(chǎn)進(jìn)行套期保值時(shí)，會(huì)買(mǎi)賣(mài)一定比例的期貨合約。不同比例的期貨合約，會(huì)對(duì)套期保值效果產(chǎn)生不同的影響，因?yàn)槠谪泝r(jià)格和現(xiàn)貨價(jià)格波動(dòng)幅度并不完全相同。因此確定最優(yōu)套期保值比率使得經(jīng)過(guò)套期保值的資產(chǎn)組合所面臨的風(fēng)險(xiǎn)最小成為了企業(yè)在套期保值操作過(guò)程中極其重要的問(wèn)題，同時(shí)最優(yōu)套期保值比率的確定也是套期保值理論研究的核心和重點(diǎn)。 本文基于以上的觀點(diǎn)對(duì)于上海橡膠期貨和國(guó)內(nèi)的現(xiàn)貨價(jià)格進(jìn)行研究，利用OLS模型估計(jì)套期保值比率，再利用多元GARCH模型中的BEEK-GARCH模型、CCC-MVGARCH模型、DCC-MVGARCH模型對(duì)現(xiàn)貨和期貨日收益率進(jìn)行研究，來(lái)估計(jì)最優(yōu)套期保值率。發(fā)現(xiàn)用不同模型估計(jì)出的投資組合收益率同，規(guī)避風(fēng)險(xiǎn)程度也不同。應(yīng)用靜態(tài)OLS模型估計(jì)出的套期保值比率進(jìn)行套期保值比沒(méi)有進(jìn)行套期保值的投資組合標(biāo)準(zhǔn)差小，也就是規(guī)避風(fēng)險(xiǎn)能力強(qiáng)，而應(yīng)用動(dòng)態(tài)模型估計(jì)出的套期保值比率做出的相應(yīng)套期保值模型比沒(méi)有進(jìn)行套期保值或者OLS模型的規(guī)避風(fēng)險(xiǎn)能力更好，進(jìn)一步的，使用動(dòng)態(tài)DCC-GARCH模型規(guī)避風(fēng)險(xiǎn)能力最好。從而得出多元?jiǎng)討B(tài)模型在研究套期保值比率方面具有比較好的有優(yōu)勢(shì)。這些研究可以為市場(chǎng)參與者期貨監(jiān)管部門(mén)提供有價(jià)值的市場(chǎng)信息，是十分具有意義的
[Abstract]:Natural rubber futures have been listed in Japan for a long time since 1952. At present, the Singapore Stock Exchange, the Japan Industrial products Exchange, The Thai Agricultural products Exchange and the Shanghai Futures Exchange are the world's leading natural rubber futures markets. In particular, with the rapid development of the Chinese futures market, the market size and influence of Shanghai Natural Rubber Futures have been significantly increased. At present, The trading volume of Shanghai Rubber Futures has steadily ranked first in the world's natural rubber futures. Compared with the market size, trading volume and liquidity, Shanghai Rubber Futures has overtaken the Tokyo market in an all-round way, thus laying the foundation for obtaining the international pricing power of natural rubber. Therefore, the study of domestic Shanghai glue spot and futures has a relatively important significance. In -10s, China began to explore the establishment of futures market, hedging function, as an important risk-averse tool, has been used by a large number of enterprises, investments and investors, in the hedging of commodities or assets, Will buy and sell a certain proportion of futures contracts. Different proportions of futures contracts will have different effects on the hedging effect. Because futures and spot prices do not fluctuate in exactly the same range. Therefore, determining the optimal hedging ratio makes it possible for a hedging portfolio to face the least risk in the course of a firm's hedging operation. Extremely important issues, At the same time, the determination of optimal hedging ratio is also the core and focus of hedging theory. Based on the above viewpoints, this paper studies Shanghai rubber futures and domestic spot prices, and uses OLS model to estimate hedging ratio. Then using the BEEK-GARCH model CCC-MVGARCH in the multivariate GARCH model to study the spot and futures daily rate of return, the optimal hedging rate is estimated. It is found that the return rate of the portfolio estimated by different models is the same. Using static OLS model to estimate the hedge ratio, the standard deviation of the portfolio without hedging is small, that is, the risk avoidance ability is strong. And the corresponding hedging model estimated by dynamic model is better than the one without hedging or OLS model. The dynamic DCC-GARCH model has the best ability to avoid risk, and it is concluded that the multivariate dynamic model has a good advantage in the study of hedging ratio. These studies can provide valuable market information for the futures regulatory authorities of market participants. Is very meaningful.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F724.5;F224

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