本文關(guān)鍵詞： 套期保值 套期保值績效 OLS模型 GARCH模型　出處：《廣西師范大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：黃金作為重要的金融資產(chǎn)之一,被廣大的投資者熱愛,由于其具有的良好的物理特性,在人們的日常生活和生產(chǎn)中被廣泛的利用。而面對跌宕起伏猶如過山車似的黃金價(jià)格,我國的黃金生產(chǎn)消費(fèi)企業(yè)和眾多的投資者迫切需求金融工具來規(guī)避這一風(fēng)險(xiǎn)。2008年1月9日,在我國上海期貨交易所黃金期貨開始掛牌交易,給期盼已久的投資者帶來了規(guī)避風(fēng)險(xiǎn)的途徑。套期保值作為風(fēng)險(xiǎn)規(guī)避重要的手段,頗受廣大投資者和企業(yè)的青睞。近些年來對我國黃金期貨市場套期保值績效研究也層出不窮。2013年7月5日,黃金期貨市場夜盤的推出,黃金期貨市場進(jìn)入到了“夜盤時(shí)代”,把交易時(shí)間由原來的每周一至周五的北京時(shí)間9:00-11:30,13:30-15:00,延伸到每周一至周五的北京時(shí)間9:00-11:30,13:30-15:00,21:00至次日2:30。隨著交易時(shí)間的改變黃金期貨的日交易量,波動變化幅度等都有明顯的變化。本文是在這個(gè)基礎(chǔ)上,分別運(yùn)用靜態(tài)的套期保值模型最小二乘法OLS、雙變量向量自回歸VAR、誤差修正ECM模型、廣義自回歸條件異方差GARCH模型、ECM-GARCH模型以及二元GARCH模型進(jìn)行研究。通過對黃金夜盤推出前2009.9-2013.7和夜盤推出后2013.7-2017.2兩組數(shù)據(jù)實(shí)證檢驗(yàn),筆者計(jì)算出我國黃金期貨市場上的套期保值比率,并依托于套期保值比率的研究進(jìn)行套期保值效率的檢驗(yàn)和比對分析。從六種模型的績效結(jié)果看,夜盤前六種模型的績效都在0.81左右,夜盤后六種模型的績效都在0.76左右。無論夜盤前還是夜盤后,六種模型都能有效的規(guī)避現(xiàn)貨市場帶來的風(fēng)險(xiǎn)。夜盤前的績效值都大于夜盤后的績效值,說明六種模型在夜盤前套期保值效果要好于夜盤后套期保值的效果。從夜盤前的績效結(jié)果看,六種模型中OLS模型效果最好,二元GARCH模型效果最差。從夜盤后的績效結(jié)果看,其中OLS模型最好,GARCH(1,1)模型最差。實(shí)證結(jié)果表明:無論夜盤前還是夜盤后,六種模型中都是OLS模型最好。相比于其他模型OLS模型操作起來簡單方便,也不用像動態(tài)套期保值模型那樣要經(jīng)常變換套期保值比率,增加了交易成本。希望本研究能對我國的廣大黃金投資者和黃金生產(chǎn)、消費(fèi)企業(yè)能有所借鑒。
[Abstract]:As one of the important financial assets, gold is loved by the majority of investors because of its good physical characteristics. It is widely used in people's daily life and production. The price of gold is like a roller coaster in the face of ups and downs. Gold production and consumption enterprises and many investors in China urgently need financial instruments to avoid this risk. In January 9th 2008, gold futures began to be traded in Shanghai Futures Exchange. For long-awaited investors to bring a way to avoid risk. Hedging as an important means of risk aversion. In recent years, the research on hedging performance of gold futures market in China is also endless. In July 5th 2013, the launch of gold futures market night. The gold futures market has entered the "night-time era," trading time from the original Monday to Friday Beijing time from 9: 00-11: 30 30: 13: 30-15: 00. It extends to 9: 00-11: 30: 1330-15: 00 Beijing time every Monday to Friday, to 21: 00 to 2: 30 the next day. The daily trading volume of gold futures changes with the trading time. On this basis, we use the static hedging model least square method, bivariate vector autoregressive VARs, error correction ECM model. Generalized autoregressive conditional heteroscedasticity GARCH model. The ECM-GARCH model and the binary GARCH model were studied. Through the analysis of the two models before and after the launch of the Golden Night Disc, 2009.9-2013.7 and 2013.7-2017.2, respectively. Group data empirical test. The author calculates the hedge ratio in China's gold futures market, and relies on the study of hedging ratio to test and compare the hedging efficiency. The performance of the first six models is about 0.81, and the performance of the six models is about 0.76. The six models can effectively avoid the risk brought by the spot market. It shows that the six models have better hedging effect before and after the night disc. From the results of the performance before the night disc, the OLS model is the best. The effect of binary GARCH model is the worst. From the performance results after night disc, OLS model is the best one. The empirical results show that: before or after the night disc. Compared with other models, OLS model is simple and convenient to operate, and it does not need to change the hedge ratio as the dynamic hedging model. It is hoped that this study can be used as a reference for gold investors and gold production in China.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.54;F724.5

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